Modelización de la solvencia bancaria en escenarios adversos: aplicación a los «PIIGS»

Modeling banking solvency under adverse scenarios: Evidence from the ‘PIIGS’ countries

Palabras clave: Test de estrés, Solvencia bancaria, PIIGS, Tier 1, Modelos de regresión multinivel

Resumen

En los últimos años se han realizado diversas pruebas de estrés a la banca europea con el fin de evaluar su solvencia, condicionando sus resultados las medidas de reestructuración y recapitalización aplicadas al sector.Este trabajo pretende modelizar los niveles de solvencia estimados por las pruebas realizadas en 2011, expresados en términos de capital tier1, a partir de variables contables, exposición a soberanos e indicadores que definan los escenarios macroeconómicos considerados. El análisis, a través de un modelo de regresión multinivel, se centra en las entidades de los países más afectados por la crisis financiera, los denominados PIIGS (Portugal, Italia, Irlanda, Grecia y España). Los resultados muestran que las ratios contables, conforme a un modelo CAMEL, junto con las variables categóricas relativas a país y escenario y su interacción, ofrecen una buena capacidad predictiva.

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Biografía del autor/a

Julio Abad González

 

Campus de Vegazana
León
24071
SPAIN

Cristina Gutiérrez López

 

Padre Lobera 6
León
SPAIN

Citas

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Publicado
01-07-2016
Cómo citar
Abad González, J., & Gutiérrez López, C. (2016). Modelización de la solvencia bancaria en escenarios adversos: aplicación a los «PIIGS». Revista De Contabilidad - Spanish Accounting Review, 19(2), 227-238. https://doi.org/10.1016/j.rcsar.2015.11.002
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