Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions

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dc.contributor.affiliationInstituto Tecnológico Metropolitano - ITMspa
dc.contributor.affiliationUniversidad EAFITspa
dc.contributor.affiliationUniversity of Salamancaspa
dc.contributor.authorRendón, Juan F.
dc.contributor.authorCortés, Lina M.
dc.contributor.authorPerote, Javier
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.accessioned2021-09-21T21:48:57Z
dc.date.available2021-09-21T21:48:57Z
dc.date.issued2021-09-20
dc.description.abstractThis paper proposes risk measures for bank solvency by accurately measuring the solvency risk components. These measures consider the minimum regulatory solvency levels and banks’ risk appetite level and risk profile. For this purpose, we used semi-nonparametric statistics to model stylized facts of the risk distribution, particularly the high-order moments of the Solvency Decline Rate, the Tier Decline Rate, and the Portfolio Growth Rate variables. Additionally, these risk measures can be used to measure the risk of regulatory intervention and to define policies that establish the minimum solvency levels required by banking regulators by estimating the Quantile Risk Metrics. As a case study, we collected data on the solvency indicators of the Colombian banking system, which adapts to the standards established by the Basel Committee. According to the results, the liquidity injection measures implemented in response to the needs generated by the COVID-19 pandemic led to an increase in the levels of the risk portfolio in the Colombian banking system, which exceeded the 99th percentile of the probability distribution of monthly portfolio value changes.eng
dc.identifier.jelC14
dc.identifier.jelC22
dc.identifier.jelC54
dc.identifier.jelG21
dc.identifier.jelG28
dc.identifier.urihttp://hdl.handle.net/10784/30275
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordSolvency riskspa
dc.subject.keywordQuantile Risk Metricsspa
dc.subject.keywordSemi-nonparametric approachspa
dc.subject.keywordGram-Charlier expansionsspa
dc.subject.keywordCOVID-19spa
dc.titleDetermining the banking solvency risk in times of COVID-19 through Gram-Charlier expansionseng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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