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Deconstrucción del riesgo sistémico: Un método de prueba de resistencia inversa

Author

Listed:
  • Javier Ojea-Ferreiro

Abstract

El sector financiero se ve acechado por diferentes eventos sistémicos. Identificar pronto estos eventos es un paso clave para controlar y seguir la pista de posibles crisis financieras. El riesgo sistémico suscita tres preguntas principales relacionadas son su cuantificación, su probabilidad de ocurrencia y el papel de los principales contribuyentes. Este artículo propone una metodología que se basa en un ejercicio de prueba de resistencia inversa para arrojar luz sobre estas cuestiones. De él se obtienen series temporales e información transversal sobre el riesgo sistémico. Además, exploramos cómo estos resultados de la evaluación sistémica podrían cambiar según los parámetros clave en un marco gaussiano y, finalmente, llevamos a acabo un pequeño ejercicio empírico.

Suggested Citation

  • Javier Ojea-Ferreiro, 2021. "Deconstrucción del riesgo sistémico: Un método de prueba de resistencia inversa," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
    • Handle: RePEc:cnv:docutr:dt_74es
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    More about this item

    Keywords

    Riesgo sistémico; pérdida esperada; prueba de resistencia; marco gaussiano.;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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