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Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización

Author

Listed:
  • Juan-Francisco Martínez
  • Rodrigo Cifuentes
  • Juan Sebastián Becerra

Abstract

The stress tests are tools widely used by commercial banks, bank supervisors, central banks and international organizations, each of them with different objectives. The Central Bank of Chile uses them to evaluate potential impacts of aggregate shocks on the stability of the banking system as a whole. The development of these tests at this institution began more than a decade ago and now includes market and credit risks. Over the years, substantial progress has been made in both the estimation methodology and the data used, as well as in the delivery of the results. In the present update, the probabilities associated to the stress scenario are estimated. As for the model, its statistical significance is improved by including additional variables suggested by economic theory. In addition, it includes a section of indicators that support the reading and interpretation of the results. Thus, this document provides a detailed review of recent improvements and identifies potential improvements.

Suggested Citation

  • Juan-Francisco Martínez & Rodrigo Cifuentes & Juan Sebastián Becerra, 2017. "Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización," Working Papers Central Bank of Chile 801, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:801
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_801.pdf
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    References listed on IDEAS

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    Cited by:

    1. Bank for International Settlements, 2020. "Stress testing in Latin America: A comparison of approaches and methodologies," BIS Papers, Bank for International Settlements, number 108.
    2. Martínez, Juan Francisco & Oda, Daniel, 2021. "Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).
    3. Francisco Arroyo Marioli & Juan Sebastián Becerra & Matías Solorza, 2021. "The Credit Channel Through the Lens of a Semi- Structural Model," Working Papers Central Bank of Chile 911, Central Bank of Chile.
    4. Michael Pedersen, 2017. "Revisiting the price puzzle in Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(1), pages 072-079, April.
    5. Pablo García & Bárbara Ulloa, 2017. "Financial Surveillance and Communication: Recent and Future Challenges from the Chilean Experience," Economic Policy Papers Central Bank of Chile 61, Central Bank of Chile.

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