SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021

Camilo Eduardo Sánchez-Quinto

Borradores de Economia from Banco de la Republica de Colombia

Abstract: Una de las lecciones que dejó la crisis financiera de 2008 fue la importancia de monitorear el riesgo sistémico en la búsqueda de la estabilidad de los sistemas financieros. Al respecto se han desarrollado líneas de investigación que, tomando la mayor cantidad de información, tienen el objetivo de brindar métricas fiables y oportunas de este riesgo. Entre ellas se encuentra el SRISK (Brownlees & Engle, 2016), una medida que combina el comportamiento del mercado, la relación de solvencia, el nivel de apalancamiento y los resultados contables de las entidades financieras para hallar el riesgo sistémico bajo un escenario de crisis financiera. Este documento replica la metodología SRISKajustada para el sistema bancario colombiano a través de modelos GJR-GARCH-DCC. Los resultados indican que, si bien el riesgo sistémico en la banca ha sido históricamente bajo, este alcanzó su máximo histórico en 2020, mostrando el impacto de la crisis sanitaria del Covid-19. Adicionalmente, se encuentra que el SRISK se correlaciona con variables de la actividad productiva y financiera, además tener capacidad predictiva en sentido de Granger. **** ABSTRACT: One of the lessons we learned from the 2008 financial crisis was the importance of monitoring the systemic risk in the stability of financial systems. In this regard, lines of research have been developed with the aim to provide reliable and timely metrics on this risk, taking as much information as possible. Among these, SRISK(Brownlees & Engle, 2016) stands out, a measure that combines market behavior, capital ratio, leverage and balance sheet of financial institutions to find the systemic risk exposure under a sustained crisis scenario. This paper replicates the SRISKmethodology adjusted for the Colombian banking system using GJR-GARCH-DCC models. The results show that, although systemic risk of banks has been historically low, it reached its maximum in 2020, adding empirical evidence on the impact of Covid-19 crisis. Furthermore, it is found that SRISKcorrelates with leading indicators of economic and financial sectors, in addition to having predictive power in the sense of Granger causality.

Keywords: Riesgo sistémico; sistema bancario; causalidad de Granger; modelos Garch multivariados; Colombia; Systemic risk; banking system; Granger causality; multivariate Garch models; Colombia (search for similar items in EconPapers)
JEL-codes: C22 C53 E44 G01 G21 (search for similar items in EconPapers)
Pages: 28
Date: 2022-09
New Economics Papers: this item is included in nep-ban, nep-fdg and nep-rmg
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https://doi.org/10.32468/be.1207

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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:1207

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