Credit risk stress testing : an exercise for colombian banks

dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorCabrera-Rodríguez, Wilmar Alexander
dc.creatorGutiérrez-Rueda, Javier
dc.creatorMendoza-Gutiérrez, Juan Carlos
dc.date.accessioned2012-09-01T08:30:10Zeng
dc.date.available2015-12-06T08:30:10Zeng
dc.date.available2015-12-14T08:30:10Zeng
dc.date.available2017-10-24T08:30:10Zeng
dc.date.created2012-09-01eng
dc.date.issued2012-09eng
dc.description.abstractIn this paper we seek to assess the ability of banks to withstand the effects of an increase in credit risk as a result of changes in the macroeconomic environment. To do so we estimate a credit risk model for each loan type as a function of four macroeconomic variables commonly used in the literature. Then, we forecast the dynamics of non-performing loans (NPL) and total loans in a stressed scenario in a time span of 8 quarters. Using these results, we quantify the effects of the macroeconomic shock on bank’s performance indicators, such as the NPL ratio, the return on assets, and the capital adequacy ratio. The results suggest that most Colombian banks are able to withstand a large shock to economic activity. We also perform a reverse stress testing to quantify how much NPL should increase in order to bring the earnings before taxes to zero.eng
dc.format.extent20 páginas : ilustraciones, gráficas, tablaseng
dc.format.mimetypePDFeng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2135spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2135eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/tef.73spa
dc.relation.ispartofDocumentos de Trabajoeng
dc.relation.ispartofseriesTemas de Estabilidad Financieraeng
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 73eng
dc.relation.numbertef 73eng
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/073.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.eng
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationBreusch, T. (1978), ‘Testing for Autocorrelation in Dynamic Linear Models’, Australien Economic Papers (17), 334–355.eng
dc.source.bibliographicCitationEdgerton, D. & Shukur, G. (1999), ‘Testing Autocorrelation in a System Perspective’, Econometric Reviews (18), 343–386.eng
dc.source.bibliographicCitationWong, J., Choi, K. & Fong, T. (2008), ‘A Framework for Stress Testing Banks’ Credit Risk’, The Journal of Risk Model Validation 2(1), 3–23.eng
dc.source.handleRepecRePEc:bdr:temest:073spa
dc.subjectPruebas de estréseng
dc.subjectCréditos en moraeng
dc.subjectRetorno de activoseng
dc.subjectCoeficiente de solvenciaeng
dc.subject.jelC25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilitieseng
dc.subject.jelD22 - Firm Behavior: Empirical Analysiseng
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgageseng
dc.subject.jelG33 - Bankruptcy; Liquidationeng
dc.subject.jelspaC25 - Modelos de regresión discreta y elección cuantitativa; Regresores discretos; Proporciones; Probabilidadspa
dc.subject.jelspaD22 - Comportamiento de la empresa: análisis empíricosspa
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecasspa
dc.subject.jelspaG33 - Insolvencia; Liquidaciónspa
dc.subject.keywordVECXeng
dc.subject.keywordStress testingeng
dc.subject.keywordNon-performing loanseng
dc.subject.keywordReturn on assetseng
dc.subject.keywordCapital adequacy ratioeng
dc.subject.lembRiesgo bancario -- Colombiaspa
dc.subject.lembPréstamos bancarios -- Colombiaspa
dc.subject.lembRiesgo crediticio -- Colombiaspa
dc.titleCredit risk stress testing : an exercise for colombian bankseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajoeng

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