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

Author

Listed:
  • 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.

Suggested Citation

  • Jorge Mario Uribe Gil & Miguel Ángel Morales Mosquera & Hernán Piñeros G., 2008. "Análisis de estrés sobre el sistema bancario colombiano: un escenario conjunto de riesgos," Temas de Estabilidad Financiera 036, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:temest:036
    DOI: 10.32468/tef.36
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    More about this item

    Keywords

    Stress testing; Bancos; Riesgo sistémico; Estabilidad financiera.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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