Implementación de un sistema de monitoreo de límites de exposición de riesgos de liquidez en una entidad financiera mediana del Ecuador

Abstract

This document reveals the methodology for the implementation of the monitoring system for exposure limits of liquidity risks, which was applied to a medium-sized bank in the southern region of Ecuador. The analysis of the behavior and trends of the most relevant liquidity indicators of the assessed financial institution were calculated based on the following variables: total loans, total deposits, demand deposits, term deposits, investments, cash and available funds. The methodology used is an explanatory study through quantitative techniques since they were considered numerical measures of the assessed bank. In addition, a historical series of data was used and after the respective analysis the liquidity risk exposure limits were obtained by applying the corresponding back testing to validate or adjust the defined limits. The limits defined through this research could be replicated in the rest of the country’s financial institutions and be part of their internal monitoring systems allowing for adequate decision making by the administration.