1.05. Test de Stress a la Banca Chilena.

Autores: X. Claros Balboltín, G. Yañez Castro

ABSTRACT

In this paper we present a stress test applied on Chilean banking sector under three crisis scenarios based on the most important crisis of the last 40 years in Chile: Financial Crisis of 80’s, Asian Crisis and Subprime Crisis. It is essential in this work the credit and market risks in order to analyze the effects produced for this three crisis and it is computed using Capital Adequacy Ratio as a measure of the financial strength of the banks. Aditional capital requeriment of the system and each bank has been determined. Two econometrics models represents credit and market risks.

Credit risk uses the loan loss provisions related to macroeconomics variables such as output growth, unemployment, short and long term interest rates, terms of trade. Market risk uses gross interest margin related to average term interest of commercial loans rate, consumer loans rate, foreign commerce loans rate and adjustable rate. The results are consistent with previous papers in Chilean case, but given the severity of the scenarios shows some banks that should increase capital levels in order to maintain the minimum requeriment of 8%.
Key words: Stress Test – Credit Risk – Market Risk – Capital Adequacy Ratio- Loan loss provisions.