IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/99097.html
   My bibliography  Save this paper

Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile
[Bank stress tests: evidence from the main financial markets and Chile]

Author

Listed:
  • Lemus, Antonio
  • Nuñez, Marco

Abstract

Resumen El presente documento realiza una descripción del proceso de pruebas de tensión bancaria, tanto en los principales mercados financieros del mundo como en Chile. Para ello se discute y describe, qué son las pruebas de tensión bancaria, cuál es su origen, para qué sirven, las etapas incluidas, los elementos que incluyen, y los puntos relevantes en su implementación. Se destaca que, si bien las pruebas de tensión bancaria son una herramienta importante para detectar vulnerabilidades en el sector bancario, estas deben ser complementadas con la supervisión in-situ y la visión de los propios bancos. En Chile la nueva Ley General de Bancos, al incorporar principios de Basilea III, daría un mayor soporte legal a las pruebas de tensión bancaria. Summary This document describes the bank stress tests process, both in the main financial markets of the world and in Chile. Thus discusses and describes, what are the bank stress tests, what is their origin, what are they for, the stages and the elements they include, and the relevant points in their implementation. The document emphasizes that, although bank stress tests are an essential tool to detect vulnerabilities in the banking sector, they must be considered a complement to the on-site supervision and the banks own vision. By incorporating Basel III principles, the recent General Bank Act would provide legal support and strength bank stress testing in Chile.

Suggested Citation

  • Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:99097
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/99097/8/MPRA_paper_99097.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.
    2. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    3. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    4. repec:zbw:bofrdp:2004_018 is not listed on IDEAS
    5. Mr. Jorge A Chan-Lau, 2006. "Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance," IMF Working Papers 2006/104, International Monetary Fund.
    6. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    2. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    3. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    4. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    5. Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
    6. Office of Financial Research (ed.), 2012. "Office of Financial Research 2012 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 12-1, May.
    7. Plat, Richard, 2009. "Stochastic portfolio specific mortality and the quantification of mortality basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 123-132, August.
    8. Lily Y. Liu, 2017. "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers RPA 17-1, Federal Reserve Bank of Boston.
    9. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    10. Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
    11. Detlefsen, Kai & Härdle, Wolfgang Karl, 2006. "Forecasting the term structure of variance swaps," SFB 649 Discussion Papers 2006-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
    13. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
    14. Gary S. Anderson & Alena Audzeyeva, 2019. "A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression," Finance and Economics Discussion Series 2019-074, Board of Governors of the Federal Reserve System (U.S.).
    15. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
    16. João Frois Caldeira & Rangan Gupta & Muhammad Tahir Suleman & Hudson S. Torrent, 2021. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(15), pages 4312-4329, December.
    17. Nguyen, Minh, 2020. "Collateral haircuts and bond yields in the European government bond markets," International Review of Financial Analysis, Elsevier, vol. 69(C).
    18. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
    19. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
    20. Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 114, pages 164-179.

    More about this item

    Keywords

    Pruebas de tensión bancaria; Regulador; Chile;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • K33 - Law and Economics - - Other Substantive Areas of Law - - - International Law

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:99097. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.