Stress testing de la morosidad del crédito de consumo en el sistema financiero ecuatoriano

Abstract

The purpose of this research is to construct a stress test model associated with non-performing loans ratio of consumer credit in the Ecuadorian financial system, specifically in the private banking system through time series with exogenous variables (ARIMAX) for the period January 2006 - March 2016. Macroeconomic and microeconomic factors are considered for the construction of the model. It is concluded that the factors that produce a greater impact are: the permanent drop in the price barrel of oil that positively affects the increase of non-performing loans ratio and the increase in the financial intermediation margin, which increases the increase of non-performing loans ratio if it decreases. This conclusion emphasizes the importance of including external factors for the analysis of the non-performing loans ratio. The estimated model is used to forecast, perform sensitivity analyzes and evaluate hypothetical scenarios. This model can be used as a monitoring and risk management tool for the supervising agent.