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
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:503

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