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

This 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...

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Autores:
Rendón, Juan F.
Cortés, Lina M.
Perote, Javier
Tipo de recurso:
Fecha de publicación:
2021
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/30275
Acceso en línea:
http://hdl.handle.net/10784/30275
Palabra clave:
Solvency risk
Quantile Risk Metrics
Semi-nonparametric approach
Gram-Charlier expansions
COVID-19
Rights
License
Acceso abierto
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2021-09-21T21:48:57Z2021-09-202021-09-21T21:48:57Zhttp://hdl.handle.net/10784/30275C14C22C54G21G28This 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.engUniversidad EAFITEscuela de Economía y FinanzasDetermining the banking solvency risk in times of COVID-19 through Gram-Charlier expansionsworkingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2Solvency riskQuantile Risk MetricsSemi-nonparametric approachGram-Charlier expansionsCOVID-19Rendón, Juan F.Cortés, Lina M.Perote, JavierInstituto Tecnológico Metropolitano - ITMUniversidad EAFITUniversity of SalamancaLICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/1b83201c-7302-4e31-8cc9-a693d6e3e271/download76025f86b095439b7ac65b367055d40cMD51ORIGINALWP-2021-08-Lina Cortes.pdfWP-2021-08-Lina Cortes.pdfapplication/pdf1463587https://repository.eafit.edu.co/bitstreams/8d889f2e-1361-4973-b8dd-e453024a233c/download776f9e9e411ceb4ec76b79f0409a57dbMD5210784/30275oai:repository.eafit.edu.co:10784/302752024-03-05 14:06:12.892open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
title Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
spellingShingle Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
Solvency risk
Quantile Risk Metrics
Semi-nonparametric approach
Gram-Charlier expansions
COVID-19
title_short Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
title_full Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
title_fullStr Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
title_full_unstemmed Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
title_sort Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions
dc.creator.fl_str_mv Rendón, Juan F.
Cortés, Lina M.
Perote, Javier
dc.contributor.author.none.fl_str_mv Rendón, Juan F.
Cortés, Lina M.
Perote, Javier
dc.contributor.affiliation.spa.fl_str_mv Instituto Tecnológico Metropolitano - ITM
Universidad EAFIT
University of Salamanca
dc.subject.keyword.spa.fl_str_mv Solvency risk
Quantile Risk Metrics
Semi-nonparametric approach
Gram-Charlier expansions
COVID-19
topic Solvency risk
Quantile Risk Metrics
Semi-nonparametric approach
Gram-Charlier expansions
COVID-19
description This 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.
publishDate 2021
dc.date.available.none.fl_str_mv 2021-09-21T21:48:57Z
dc.date.issued.none.fl_str_mv 2021-09-20
dc.date.accessioned.none.fl_str_mv 2021-09-21T21:48:57Z
dc.type.eng.fl_str_mv workingPaper
info:eu-repo/semantics/workingPaper
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_b1a7d7d4d402bcce
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_8042
dc.type.local.spa.fl_str_mv Documento de trabajo de investigación
dc.type.hasVersion.eng.fl_str_mv draft
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/30275
dc.identifier.jel.none.fl_str_mv C14
C22
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dc.language.iso.eng.fl_str_mv eng
language eng
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dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.publisher.department.spa.fl_str_mv Escuela de Economía y Finanzas
institution Universidad EAFIT
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repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
repository.mail.fl_str_mv repositorio@eafit.edu.co
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