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Master's Dissertation
DOI
10.11606/D.12.2008.tde-30062008-144144
Document
Author
Full name
Toni Ricardo Eugenio dos Santos
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2008
Supervisor
Committee
Nakane, Marcio Issao (President)
Santos, Jose Carlos de Souza
Souto, Marcos Rietti
Title in Portuguese
Testes de estresse em sistemas financeiros: uma aplicação ao Brasil
Keywords in Portuguese
Banco Central
Econometria
Finanças
Abstract in Portuguese
Esta dissertação revê as metodologias de teste de estresse em sistemas financeiros e descreve uma análise de cenário e um teste de estresse aplicado ao Brasil. Os cenários macroeconômicos são modelados por vetores auto-regressivos e o teste de estresse por um probit ordenado com efeitos aleatórios. Dados para o Brasil no período de 11/2002 a 11/2007 são usados para estimar os cenários macroeconômicos. A experiência brasileira de 2002 e início de 2003 parecem particularmente interessante para um teste de estresse por incluir uma grande volatilidade de mercado com taxas de inadimplência e perdas bancárias acima da média. A introdução de cenários macroeconômicos no teste de estresse do sistema financeiro brasileiro e o uso de regressões de dados categorizados com dados em painel são a principal contribuição deste trabalho. O modelo pode ser estendido para usar dados para um setor industrial especifico para identificar potenciais riscos de concentração de empréstimos.
Title in English
Financial systems stress testing: an application to Brazil
Keywords in English
Banking
Credit risk
Financial stability
Financial system
Offsite supervision
Stress tests
Abstract in English
This dissertation reviews financial system stress-testing methodologies and describes a scenario analysis and macro stress testing applied to Brazil. The macroeconomic scenarios are modeled by a vector autoregressive and the stress testing by a random effects ordered probit panel. Data for Brazil over the time period from 11/2002 to 11/2007 is used to estimate the macroeconomic scenarios. The Brazilian experience in 2002 and early 2003 appears particularly suited for macro stress-testing as it includes a great market volatility with significantly higher than average default rates and banks' losses. Introducing macroeconomic scenarios in Brazilian financial system stress-testing and using categorical regression with panel data are the main contributions of the dissertation. The model can be extended to use industrial specific sector data to stress in order to identify potential risks of loans' concentration.
 
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Publishing Date
2008-07-03
 
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