Una aproximación a las técnicas cuantitativas en las pruebas de estrés a la banca

  1. Llorent Jurado, J. 1
  2. Melgar Hiraldo, M.C 1
  3. Ordaz Sanz, J.A. 1
  1. 1 Universidad Pablo de Olavide

    Universidad Pablo de Olavide

    Sevilla, España

    ROR https://ror.org/02z749649

Anales de ASEPUMA

ISSN: 2171-892X

Year of publication: 2011

Issue: 19

Type: Article

More publications in: Anales de ASEPUMA


During the last years we have witnessed an unprecedented increase in the number of episodes of financial crisis, both in developed and developing economies. The use of stress-testing exercises allows policy makers to gain a broader vision of the degree of resilience of the financial system, and of the effectiveness of potential arrangements as well, with regard to crisis scenarios. After having reviewed the current literature on this topic, in this paper we address a range of the main stress-testing techniques, focusing specially on quantitative techniques. None of them appears as a unique solution. For this reason, this field is open to further researches.

Bibliographic References

  • Ahumada, A.; Budnevich, C. (2002). “Some Measures of Financial Fragility in the Chilean Banking System: An Early Warning Indicators Application”. En Hernández, L. y Schmidt-Hebbel, K. (eds.): Banking, Financial Integration, and International Crisis. Serie Banca Central, Análisis y Políticas Económicas, Banco Central de Chile, pp. 175-197.
  • Andersen, H.; Berge, T.O.; Bernhardsen, E.; Lindquist, K.; Vatne, B.H. (2008). “A Suite-of-Models Approach to Stress-Testing Financial Stability”. Staff Memo, Norges Bank Financial Stability, Nº 2008/2. Oslo, 03/06/2008.
  • Atiya, A. (2001). “Bankruptcy Prediction for Credit Risk Using Neural Networks: A Survey and New Results”. IEEE Transactions on Neural Networks, 12 (4), pp. 929-935.
  • Berg, A.; Pattillo C. (1998). “Are Currency Crises Predictable? A Test”. International Monetary Fund Working Paper, No. 98/154.
  • Bikker, J.A.; Hu, H. (2002). “Cyclical Patterns in Profits, Provisioning and Lending of Banks and Procyclicality of the New Basel Capital Requirements”. Banca Nazionale del Lavoro Quarterly Review, 55, pp. 143-175.
  • Boss, M.; Krenn, G.; Puhr, C.; Summer, M. (2006). “Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems”. Oesterreichische Nationalbank. Financial Stability Report, No. 11. June 2006, pp. 83-95.
  • Bunn P.; Redwoo, V. (2003). “Company-Accounts-Based Modelling of Business Failures and the Implications for Financial Stability”. Bank of England Working Paper, No. 210.
  • Carling, K.; Jacobsen, T.; Linde, J.; Roszbach, K. (2003). “Exploring Relationships between Swedish Firms’ Balance Sheets and the Macro Economy”. Unpublished Working Paper, Central Bank of Sweden.
  • Cavallo, M.; Majnoni G. (2002). “Do Banks Provision for Bad Loans in Good Times? Empirical Evidence and Policy Implications”. En Levich, R.M.; Majnoni, G. y Reinhart, C.M. (eds.): Ratings, Rating Agencies and the Global Financial System, pp. 319-342.
  • Chirinko, R.; Guill, G.D. (1991). “A Framework for Assessing Credit Risk in Depository Institutions: Toward Regulatory Reform”. Journal of Banking and Finance, 15, 785-804.
  • Čihák, M. (2007). “Introduction to Applied Stress Testing”, International Monetary Fund Working Paper, No. 07-59.
  • Delgado, J.; Saurina, J. (2004). “Credit Risk and Loan Loss Provisions. An Analysis with Macroeconomic Variables”. Unpublished Working Paper, Directorate General Banking Regulation, Bank of Spain.
  • Demirgüç Kunt, A.; Detragiache, E. (1998a). “The Determinants of Banking Crises in Developing and Developed Countries”. International Monetary Fund Staff Papers, 45 (1), pp. 81-109.
  • Demirgüç Kunt, A.; Detragiache, E. (1998b). “Financial Liberalization and Financial Fragility”. International Monetary Fund Working Papers, 98/83.
  • Demirgüç Kunt, A.; Detragiache, E. (2000). “Monitoring Banking Sector Fragility: A Multivariate Logit Approach”. The World Bank Economic Review, 14 (2), pp. 287-307.
  • Drehmann, M.; Hoggarth, G.; Logan, A.; Zicchino, L. (2004). “Macro Stress Testing UK Banks”. Unpublished Working Paper, Bank of England.
  • Gerlach, S.; Peng, W.; Shu, C. (2003). “Macroeconomic Conditions and Banking Performance in Hong Kong: A Panel Study”. Unpublished Working Paper, Hong Kong Monetary Authority.
  • Gordy, M.B.; Lütkebohmert, E. (2007). “Granularity Adjustment for Basel II”. Deutsche Bundesbank, Discussion Paper Series 2: Banking and Financial Studies, No. 01/2007.
  • Hanschel, E.; Monnin, P. (2003). “Measuring and Forecasting Stress in the Banking Sector: Evidence from Switzerland”. Unpublished Working Paper, Swiss National Bank.
  • Hardy, D.; Pazarbasioglu, C. (1999). “Determinants and Leading Indicators of Banking Crises: Further Evidence”. International Monetary Fund Staff Paper, 46 (3).
  • Hofmann, G.P. (2007). “Macro Stress Testing – Most Recent Experiences”. European Central Bank: Simulating Financial Instability, Conference on Stress Testing and Financial Crisis Simulation Exercises. Frankfurt am Main, 12-13 Julio 2007, pp. 88-91
  • Hoggarth, G.; Zicchino, L. (2004). “Stress Testing the UK Banking System Using a VAR Approach”. Unpublished Working Paper, Bank of England.
  • Hutchison, M.; McDill, K. (1999). “Are All Banking Crises Alike? The Japanese Experience in International Comparison”. NBER Working Paper, No. 7253.
  • Johnson, C.A. (2005). “Modelos de alerta temprana para pronosticar crisis bancarias: desde la extracción de señales a las redes neuronales”. Revista de Análisis Económico, 20 (1), pp. 95-121.
  • Kalirai, H.; Scheicher, M. (2002). “Macroeconomic Stress Testing: Preliminary Evidence for Austria”. Austrian National Bank Financial Stability Report No. 3.
  • Laeven, L.; Majnoni, G. (2003). “Loan Loss Provisioning and Economic Slowdowns: Too Much, Too Late?”. Journal of Financial Intermediation, 12, pp. 178-197.
  • Oyama, T. (2007). “Plausibility of Stress Scenarios”. 2nd Expert Forum on Advanced Techniques on Stress Testing: Applications for Supervisors. International Monetary Fund and De Nederlandsche Bank, 23-24 Octubre 2007.
  • Papademos, L. (2007). “Simulating and Dealing with Financial Instability: Challenges for Central Banks”. European Central Bank: Simulating Financial Instability, Conference on Stress Testing and Financial Crisis Simulation Exercises. Frankfurt am Main, 12-13 Julio 2007, pp. 24-32.
  • Pesola, J. (2001). “The Role of Macroeconomic Shocks in Banking Crises”. Unpublished Working Paper, Bank of Finland.
  • Quagliariello, M. (2004). “Banks’ Performance over the Business Cycle: Evidence from Italy”. Unpublished Working Paper, Bank of England Forum on Stress Tests, Mayo 2004.
  • Salas, V.; Saurina, J. (2002). “Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks”. Journal of Financial Services Research, 22 (3), pp. 203-224.
  • Sorge, M.; Virolainen, K. (2006). “A Comparative Analysis of Macro Stress-Testing Methodologies with Application to Finland”. Journal of Financial Stability, 2 (2006), pp. 113–151.
  • Summer, M. (2007). “Modeling Instability of Banking Systems and the Problem of Macro Stress Testing”. European Central Bank: Simulating Financial Instability, Conference on Stress Testing and Financial Crisis Simulation Exercises. Frankfurt am Main, 12-13 Julio 2007, pp. 102-118.
  • Trichet, J.C. (2007). “Welcoming Remarks”. European Central Bank: Simulating Financial Instability, Conference on Stress Testing and Financial Crisis Simulation Exercises. Frankfurt am Main, 12-13 Julio 2007, pp.16-18
  • Uribe, J.M.; Morales, M.A.; Piñeros, J.H. (2008). “Análisis de estrés sobre el sistema bancario colombiano: un escenario conjunto de riesgos”. Reporte de Estabilidad Financiera, Banco de la República, Colombia, septiembre 2008.
  • Vargas, F. (2003). “El marco general de la validación de procedimientos internos en Basilea II: el enfoque IRB”. Banco de España, Estabilidad Financiera, 4, pp. 45- 70.
  • Witkowska, D. (1999). “Applying Artificial Neural Networks to Bank-Decision Simulations”. International Advances in Economic Research, 5 (3), pp. 350-68.
  • Wu, C.; Wang, X. (2000). “A Neural Network Approach for Analyzing Small Business Lending Decisions”. Review of Quantitative Finance and Accounting, 15 (3), pp. 259-76.
  • Zurada, J. (1998). “Neural Networks Versus Logit Regression Models for Predicting Financial Distress Response Variables”. Journal of Applied Business Research, 15 (1), pp. 21-29.