Deconstrucción del riesgo sistémicoun método de prueba de resistencia inversa

  1. Javier Ojea Ferreiro 1
  1. 1 Instituto Complutense de Análisis Económico (ICAE)
Documentos de trabajo ( CNMV )

ISSN: 2172-6337

Année de publication: 2021

Número: 74

Pages: 1-44

Type: Working Paper

D'autres publications dans: Documentos de trabajo ( CNMV )


El sector financiero se ve acechado por diferentes eventos sistémicos. Identificar pronto estos eventos es un paso clave para controlar y seguir la pista de posibles crisis financieras. El riesgo sistémico suscita tres preguntas principales relacionadas con su cuantificación, su probabilidad de ocurrencia y el papel de los principales contribuyentes. Este artículo propone una metodología que se basa en un ejercicio de prueba de resistencia inversa para arrojar luz sobre estas cuestiones. De él se obtienen series temporales e información transversal sobre el riesgo sistémico. Además, exploramos cómo estos resultados de la evaluación sistémica podrían cambiar según los parámetros clave en un marco gaussiano y, finalmente, llevamos a cabo un pequeño ejercicio empírico.

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