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Riesgo sistémico en el sistema financiero peruano

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  • Castro, Cesar D.

Abstract

En este documento se realiza una medición dinámica del riesgo sistémico bajo un enfoque macroprudencial para los principales bancos del sistema financiero peruano, en el periodo de 1996 a 2013. Se estiman las pérdidas esperadas de patrimonio a un nivel de probabilidad, condicional a un escenario de estrés en el mercado (Marginal Expected Shortfall, MES). En tal escenario, se construyen ratios de apalancamiento y pérdidas esperadas individuales como proporción del sistema. Los resultados muestran que las dos crisis financieras consideradas en la muestra generaron patrones diferenciados en el MES, en el apalancamiento esperado y en las pérdidas esperadas de patrimonio respecto al total. En particular, los bancos con fuerte presencia de capitales extranjeros fueron los más sensibles a la reciente crisis financiera internacional.

Suggested Citation

  • Castro, Cesar D., 2015. "Riesgo sistémico en el sistema financiero peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 77-90.
    • Handle: RePEc:rbp:esteco:ree-29-05
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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