Banking Risk Exposure
AbstractIn 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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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 503.
Date of creation: Nov 2008
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