Gestión de riesgo de liquidez: Modelo para determinar posibles salidas de dinero en base a indicadores micro económicos y macro económicos de las Instituciones financieras privadas del Ecuador

Abstract

The purpose of this research work is to calculate the net effective cash outflows, and with this value, determine the money that the banks must have in Liquid Assets in order to cover 100% of these net outflows, all of which are framed within the suggestions of Basel Committee.

The external factors that are going to be considered are macroeconomic and microeconomic variables. Among the influential microeconomic variables in the model are delinquencies and assets, indicating that liquidity depends on the quality of the loan portfolio and the size of financial institutions. Among the macroeconomic variables we have both oil and non-oil imports and the Consumer Confidence Index. With these variables, different scenarios can be proposed according to the risk that institutions want to assume.

This model can be used for management and monitoring of liquidity risk in financial institutions.