Financial systems stress testing: an application to Brazil / Testes de estresse em sistemas financeiros: uma aplicação ao Brasil
AUTOR(ES)
Toni Ricardo Eugenio dos Santos
DATA DE PUBLICAÇÃO
2008
RESUMO
This dissertation reviews financial system stress-testing methodologies and describes a scenario analysis and macro stress testing applied to Brazil. The macroeconomic scenarios are modeled by a vector autoregressive and the stress testing by a random effects ordered probit panel. Data for Brazil over the time period from 11/2002 to 11/2007 is used to estimate the macroeconomic scenarios. The Brazilian experience in 2002 and early 2003 appears particularly suited for macro stress-testing as it includes a great market volatility with significantly higher than average default rates and bankslosses. Introducing macroeconomic scenarios in Brazilian financial system stress-testing and using categorical regression with panel data are the main contributions of the dissertation. The model can be extended to use industrial specific sector data to stress in order to identify potential risks of loansconcentration.
ASSUNTO(S)
offsite supervision banking credit risk finanças econometria financial stability banco central stress tests financial system
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