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Banking Risk Exposure

Author

Listed:
  • Rodrigo Alfaro
  • Daniel Calvo
  • Daniel Oda

Abstract

In this paper we model banking risk exposure in a non-linear VAR framework. We included banking aggregates such as write-offs, provisions expenses, and total loans. Overall fitting of the model is good for chilean data. In and out sample forecasts are better than a simple ARIMA model. Given this we consider that the model provides a good input for stress testing analysis of Chilean banking system.

Suggested Citation

  • Rodrigo Alfaro & Daniel Calvo & Daniel Oda, 2008. "Banking Risk Exposure," Working Papers Central Bank of Chile 503, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:503
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_503.pdf
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    References listed on IDEAS

    as
    1. Laeven, Luc & Majnoni, Giovanni, 2003. "Loan loss provisioning and economic slowdowns: too much, too late?," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 178-197, April.
    2. Rodrigo Alfaro & Carlos García & Alejandro Jara & Helmut Franken, 2005. "The bank lending channel in Chile," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 128-45, Bank for International Settlements.
    3. Darren Pain, 2003. "The provisioning experience of the major UK banks: a small panel investigation," Bank of England working papers 177, Bank of England.
    4. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
    5. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Carlos García & Pablo García & Igal Magendzo & Jorge Restrepo, 2003. "The Monetary Transmission Mechanism in Chile: A Medium-Sized Macroeconometric Model," Working Papers Central Bank of Chile 254, Central Bank of Chile.
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