EconPapers    
Economics at your fingertips  
 

Banking Risk Exposure

Rodrigo Alfaro (), Daniel Calvo and Daniel Oda

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this paper we model banking risk exposure in a non-linear VAR framework. We included banking aggregates such as write-offs, provisions expenses, and total loans. Overall fitting of the model is good for chilean data. In and out sample forecasts are better than a simple ARIMA model. Given this we consider that the model provides a good input for stress testing analysis of Chilean banking system.

Date: 2008-11
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc503.pdf (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:chb:bcchwp:503

Access Statistics for this paper

More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Claudio Sepulveda ().

 
Page updated 2020-07-08
Handle: RePEc:chb:bcchwp:503