IDEAS home Printed from
   My bibliography  Save this paper

Banking Risk Exposure


  • Rodrigo Alfaro
  • Daniel Calvo
  • Daniel Oda


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.

Suggested Citation

  • Rodrigo Alfaro & Daniel Calvo & Daniel Oda, 2008. "Banking Risk Exposure," Working Papers Central Bank of Chile 503, Central Bank of Chile.
  • Handle: RePEc:chb:bcchwp:503

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. 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.
    2. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    3. 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.
    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.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:503. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.