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

• Llorent Jurado, J. ^[1] ; Melgar Hiraldo, M.C ^[1] ; Ordaz Sanz, J.A. ^[1]
  1. [1] Universidad Pablo de Olavide

     Universidad Pablo de Olavide

     Sevilla, España

     
• Localización: Anales de ASEPUMA, ISSN-e 2171-892X, Nº. 19, 2011
• Idioma: español
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En los últimos años hemos asistido a un incremento sin precedentes del número de episodios de crisis financieras, tanto en economías desarrolladas como en desarrollo. La utilización de pruebas de estrés permite a los responsables de toma de decisiones tener una visión amplia del grado de resistencia del sistema financiero y de la eficacia de posibles medidas a adoptar en distintos escenarios de crisis. En este trabajo se realiza una aproximación a las principales técnicas empleadas en las pruebas de estrés, prestando especial atención a las de carácter cuantitativo, a partir de una revisión de la literatura sobre este tema, pudiendo apreciarse la gran variedad existente. El hecho de que ninguna de ellas sobresalga de manera especial, ni por su uso ni por la eficacia de sus resultados, deja abiertas las puertas a futuras investigaciones en este campo.

  • English

    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.

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