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Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile
[Bank stress tests: evidence from the main financial markets and Chile]

Author

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  • Lemus, Antonio
  • Nuñez, Marco

Abstract

Resumen El presente documento realiza una descripción del proceso de pruebas de tensión bancaria, tanto en los principales mercados financieros del mundo como en Chile. Para ello se discute y describe, qué son las pruebas de tensión bancaria, cuál es su origen, para qué sirven, las etapas incluidas, los elementos que incluyen, y los puntos relevantes en su implementación. Se destaca que, si bien las pruebas de tensión bancaria son una herramienta importante para detectar vulnerabilidades en el sector bancario, estas deben ser complementadas con la supervisión in-situ y la visión de los propios bancos. En Chile la nueva Ley General de Bancos, al incorporar principios de Basilea III, daría un mayor soporte legal a las pruebas de tensión bancaria. Summary This document describes the bank stress tests process, both in the main financial markets of the world and in Chile. Thus discusses and describes, what are the bank stress tests, what is their origin, what are they for, the stages and the elements they include, and the relevant points in their implementation. The document emphasizes that, although bank stress tests are an essential tool to detect vulnerabilities in the banking sector, they must be considered a complement to the on-site supervision and the banks own vision. By incorporating Basel III principles, the recent General Bank Act would provide legal support and strength bank stress testing in Chile.

Suggested Citation

  • Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:99097
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    References listed on IDEAS

    as
    1. Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.
    2. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    3. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    4. repec:zbw:bofrdp:2004_018 is not listed on IDEAS
    5. Mr. Jorge A Chan-Lau, 2006. "Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance," IMF Working Papers 2006/104, International Monetary Fund.
    6. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Pruebas de tensión bancaria; Regulador; Chile;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • K33 - Law and Economics - - Other Substantive Areas of Law - - - International Law

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