Global | Modelo vectorial autorregresivo para los tests de estrés de la banca

Global | A vector autoregressive model for banking stress testing

Rodolfo Méndez-Marcano

No 21/08, Working Papers from BBVA Bank, Economic Research Department

Abstract: Describimos el Risk-GVAR 1.0, un modelo econométrico vectorial autorregresivo global (GVAR) concebido para respaldar los ejercicios internos de los tests de estrés que los bancos realizan periódicamente para evaluar la idoneidad de sus niveles de capital en cumplimiento de la legislación prudencial. We describe the Risk-GVAR 1.0, a Global Vector Autoregressive (GVAR) macroeconometric model designed to lend support to the internal stress testing exercises that banks, complying with prudential regulations, perform periodically to assess the adequacy of their current levels of capital.

Keywords: GVAR; GVAR; Stress Test; Test de estrés; risks; riesgos; GDP; PIB; Capital; Capital; Global; Global; Banks; Banca; Financial Regulation; Regulación Financiera; Working Papers; Documento de Trabajo (search for similar items in EconPapers)
JEL-codes: C32 E37 G17 G32 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2021-07
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Persistent link: https://EconPapers.repec.org/RePEc:bbv:wpaper:2108

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