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Crisis bancarias como eventos infrecuentes

Author

Listed:
  • León, María de Fátima
  • Vargas, Astrid
  • Winkelried, Diego

Abstract

En este documento se argumenta que las estimaciones provenientes de la extensa literatura sobre los determinantes de la probabilidad de ocurrencia de crisis bancarias podrían estar significativamente sesgadas. El sesgo se asocia con el simple hecho de que las crisis bancarias son eventos raros o infrecuentes. De hecho, una vez que se corrigen los sesgos mencionados, los modelos probabilísticos comúnmente utilizados para anticipar la ocurrencia de un episodio de crisis bancaria ven incrementado su poder predictivo sustancialmente. Ello es relevante en el diseño de sistemas de alerta temprana, ya que los enormes costos asociados con la ocurrencia de una crisis bancaria podrían ser reducidos si ésta es oportunamente identificada.

Suggested Citation

  • León, María de Fátima & Vargas, Astrid & Winkelried, Diego, 2015. "Crisis bancarias como eventos infrecuentes," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 30, pages 73-90.
    • Handle: RePEc:rbp:esteco:ree-30-04
    as

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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/30/ree-30-leon-vargas-winkelried.pdf
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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