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Stress Test de la Morosidad de Consumo para el Sistema Ecuatoriano

Stress Test de la Morosidad de Consumo para el Sistema Ecuatoriano


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About the Book

El propósito de esta investigación es construir un modelo de stress test asociado a la morosidad del crédito de consumo en el sistema financiero ecuatoriano, específicamente en el sistema de bancos privados a través de series temporales con variables exógenas (ARIMAX) para el periodo enero 2006 - marzo 2016. Se consideran factores macroeconómicos y microeconómicos para la construcción del modelo. Se concluye que los factores que producen un mayor impacto son: la caída permanente del precio del barril de petróleo que afecta de manera positiva al incremento del índice de morosidad y el incremento del margen de intermediación financiera, el cual aumenta el incremento del índice de morosidad si este disminuye. Esta conclusión enfatiza la importancia de incluir factores externos para el análisis del índice de morosidad. El modelo estimado es utilizado para pronosticar, realizar análisis de sensibilidad y evaluar escenarios hipotéticos. Este modelo puede ser utilizado como herramienta de monitoreo y gestión de riesgo para el agente supervisor.


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Product Details
  • ISBN-13: 9786202118385
  • Publisher: KS Omniscriptum Publishing
  • Publisher Imprint: Editorial Academica Espanola
  • Height: 229 mm
  • No of Pages: 104
  • Spine Width: 6 mm
  • Width: 152 mm
  • ISBN-10: 6202118385
  • Publisher Date: 26 Mar 2018
  • Binding: Paperback
  • Language: Spanish
  • Returnable: N
  • Weight: 168 gr


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