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Hacia un indicador de vulnerabilidad bancaria basado en pruebas de estrés

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  • David A. Mermelstein

Abstract

El presente trabajo propone una metodología para la construcción de un índice de vulnerabilidad bancaria, calculado sobre la base de ejercicios de stress-testing. El mismo tiene por fin estimar la evolución de la “salud” de un sistema bancario ante la ocurrencia de diversos escenarios macroeconómicos y financieros de estrés, es decir, situaciones extremadamente adversas, poco probables, pero plausibles. La metodología que se propone sería útil para la detección temprana de vulnerabilidades, facilitando acciones preventivas o de mitigación. Se incluye una aplicación ilustrativa para el caso del grupo de bancos privados argentinos durante el período 1996-2008, desarrollada mediante la generación de escenarios de estrés por simulación de Monte Carlo. Los resultados muestran, en líneas generales, un buen comportamiento del índice de vulnerabilidad bancaria, y también permiten revelar alcances y limitaciones de la metodología. En particular, se resalta su marcada sensibilidad respecto a los cambios en criterios contables o pautas regulatorias, lo que requiere una lectura prudente e informada de los resultados.

Suggested Citation

  • David A. Mermelstein, 2017. "Hacia un indicador de vulnerabilidad bancaria basado en pruebas de estrés," CEMA Working Papers: Serie Documentos de Trabajo. 610, Universidad del CEMA.
    • Handle: RePEc:cem:doctra:610
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    Cited by:

    1. Loser, Claudio M. & Kiguel, Miguel A. & Mermelstein, David, 2010. "A Macroprudential Framework for the Early Detection of Banking Problems in Emerging Economies," Working Papers on Regional Economic Integration 44, Asian Development Bank.

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