Análisis de riesgo sistémico en la banca privada del ecuador mediante pruebas de tensión macro-prudenciales enfocada en el riesgo de liquidez y crédito para el período 2003 – 2013

Abstract

The purpose of this research is to analyze the systemic risk in the private banking Ecuador through macroprudential stress tests focused on liquidity risk and credit for the period 2003 - 2013. Considering an analysis of the structure and behavior of the financial system national, in addition to the description of the key factors in conducting stress tests such as the crisis, business cycles and the development of macroprudential studies in Latin America. Through the application of a model of autoregressive vectors (VAR) in conjunction with vector error correction (VEC) or simulations of impact-response to adverse situations, which seeks to highlight areas of risk to which they are exposed the banks to anticipate possible crises. The results point to the financial system will be affected in the next 30 months; however the fluctuations are not as significant as it is presumed that the Ecuador banks are relatively stable.