Pruebas de tensión aplicadas a la gestión de riesgo de liquidez en entidad del segmento 2 del sistema financiero popular y solidario, período 2010 - 2019

Abstract

Abstract:The purpose of this research work is to design econometric models that assess liquidity risk management in an entity of segment 2 of the Popular and Solidarity Financial System, period 2010 - 2019 through stress tests. Through a review of the literature, it is identified that for stress tests it is necessary to study short-term liquidity plus internal variables and macroeconomic variables. The methodology used corresponds to an explanatory study through quantitative techniques that allows determining that the entity's short-term liquidity indicator is significantly explained by the variables liquid assets, financial obligations, unemployment rate, annual inflation, oil price and patrimonial sufficiency indicator. Stress tests were applied, determining that, in an adverse scenario, the proposed model is not significantly different from the value observed in a period of six months. This shows that liquidity management has room for improvement by visualizing factors that influence its performance and can generate added value by monitoring financial risks.