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Medidas de estabilidad financiera y pruebas de estrés aplicando el modelo de análisis de derechos contingentes en Argentina

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  • Emiliano Delfau

Abstract

El objetivo del presente trabajo es desarrollar indicadores de riesgos de estabilidad financiera para un grupo importante de bancos en Argentina a modo de que los responsables de la administración de las políticas macro-prudenciales de estabilidad financiera puedan construir un tablero de gestión. La metodología de construcción de dicho índice se basa en la teoría del Análisis de Derechos Contingentes (CCA de aquí en adelante. Veremos que los indicadores de riesgos obtenidos mediante el modelo CCA se encuentran relacionados tanto al desarrollo como la situación particular macroeconómica y financiera del país. Asimismo veremos que las respuestas de las entidades analizadas son heterogénea respecto a las variables macroeconómicas y financieras antes mencionadas, por lo tanto, se aplicará la técnica de Análisis de Componentes Principales (PCA de aquí en adelante) para disminuir su dimensión. Finalmente, para poder ver la reacción de los indicadores de riesgo ante distintos shocks se procederá a desarrollar un modelo de Vectores Autorregresivos mediante los cuales podemos extraer las funciones de impulso-respuesta y generar shock (escenarios) puntuales o aplicar simulación de Montecarlo para obtener intervalos de confianza o lo que se denomina Prueba de Estrés Inversa.

Suggested Citation

  • Emiliano Delfau, 2019. "Medidas de estabilidad financiera y pruebas de estrés aplicando el modelo de análisis de derechos contingentes en Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 698, Universidad del CEMA.
    • Handle: RePEc:cem:doctra:698
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    References listed on IDEAS

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