SYSMO I: A Systemic Stress Model for the Colombian Financial System

Santiago Gamba (), Oscar Jaulín (), Angélica Lizarazo (), Juan Mendoza, Paola Morales-Acevedo (), Daniel Osorio-Rodriguez () and Eduardo Yanquen
Additional contact information
Oscar Jaulín: Banco de la República de Colombia
Angélica Lizarazo: Banco de la República de Colombia

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This paper presents the first version of SYSMO, the analytical framework employed by the Financial Stability Department at the Banco de la República (the Central Bank of Colombia) to perform its biannual, top-down, stress testing exercise. The framework comprises: (i) a module to produce internally consistent macroeconomic scenarios; (ii) a set of satellite risk models that capture the materialization of credit and market risks in times of stress, and (iii) a bank model that simulates the endogenous response of banks to an adverse scenario. The framework also incorporates endogenous contagion and funding risks, key regulatory constraints (solvency and liquidity), and the feedback effects between the endogenous response of banks and the macroeconomic scenario. The use of SYSMO is illustrated with the example of the stress testing exercise published in the Banco de la República’s Financial Stability Report of the second semester of 2017.

Keywords: Stress Testing; DSGE Models; VAR models; Credit Risk; Market Risk; Liquidity Risk; Funding Risk; Contagion Risk. (search for similar items in EconPapers)
JEL-codes: E44 E58 G01 G17 G20 (search for similar items in EconPapers)
Pages: 35
Date: 2017-11
New Economics Papers: this item is included in nep-cba, nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.32468/be.1028 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:1028

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica de Colombia Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera ().