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Banking Risk Exposure

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  • Rodrigo Alfaro
  • Daniel Calvo
  • Daniel Oda

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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Bibliographic 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. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  2. Rodrigo Alfaro & Helmut Franken & Carlos García & Alejandro Jara, 2004. "The Bank Lending Channel in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Antonio Ahumada & J. Rodrigo Fuentes & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking Market Structure and Monetary Policy, edition 1, volume 7, chapter 4, pages 121-146 Central Bank of Chile.
    • Rodrigo Alfaro & Carlos García & Alejandro Jara & Helmut Franken, 2005. "The bank lending channel in Chile," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 128-45 Bank for International Settlements.
  3. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
  4. Carlos García & Pablo García & Igal Magendzo & Jorge Restrepo, 2003. "The Monetary Transmission Mechanism in Chile: A Medium-Sized Macroeconometric Model," Working Papers Central Bank of Chile 254, Central Bank of Chile.
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