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Análisis de estrés sobre el sistema bancario colombiano: un escenario conjunto de riesgos

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  • Jorge Mario Uribe Gil

    ()

  • Miguel Ángel Morales Mosquera

    ()

  • Hernán Piñeros G.

    ()

Abstract

En este documento se presenta una aplicación al sistema bancario colombiano de la metodología de prueba de estrés propuesta por Cihák (2007). El análisis de las posibles consecuencias generadas por diversos choques económicos sobre el sistema bancario se desarrolla involucrando cinco factores de riesgo individuales: de crédito, de tasa de interés, de tipo de cambio, de contagio interbancario y de liquidez. Se resalta la importancia del monitoreo conjunto de los riesgos y la generación de escenarios de estrés que involucren choques simultáneos sobre el sistema. Con este tipo de análisis se logra caracterizar las mayores vulnerabilidades de la estructura bancaria, así como identificar a las entidades que presentan mayores debilidades.

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File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2008/analisis.pdf
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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 036.

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Handle: RePEc:bdr:temest:036

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Related research

Keywords: Stress testing; Bancos; Riesgo sistémico; Estabilidad financiera. Classification JEL: G10; G21; G32.;

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