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Banking Risk Exposure

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Author Info
Rodrigo Alfaro
Daniel Calvo
Daniel Oda

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Abstract

In this paper we model banking risk exposure in a non-linear VAR framework. We included banking aggregates such as write-offs, provisions expenses, and total loans. Overall fitting of the model is good for chilean data. In and out sample forecasts are better than a simple ARIMA model. Given this we consider that the model provides a good input for stress testing analysis of Chilean banking system.

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File URL: http://www.bcentral.cl/estudios/documentos-trabajo/pdf/dtbc503.pdf
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Publisher Info
Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 503.

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Date of creation: Nov 2008
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Handle: RePEc:chb:bcchwp:503

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  1. Laeven, Luc & Majnoni, Giovanni, 2003. "Loan loss provisioning and economic slowdowns: too much, too late?," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 178-197, April. [Downloadable!] (restricted)
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  2. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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Statistics
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This page was last updated on 2009-12-2.

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