Evaluación del riesgo de liquidez mediante simulación Monte Carlo en Banco Bolivariano Año 2025

Abstract

Abstract: This study analyzes the liquidity risk of Banco Bolivariano through a quantitative approach based on forecasting techniques and financial simulation. Historical data from the main regulatory liquidity indicators were used to apply exponential smoothing models in order to estimate their future behavior. Based on these projections, probability distributions were identified to represent the dynamics of available funds, first-line and second-line liquidity, and the minimum liquidity index. Using these distributions, the Monte Carlo simulation was applied to generate several random scenarios, and in this way it was possible to estimate the probability that the indicators under analysis could fall below the thresholds set by the current regulations of the Ecuadorian financial system. The results indicate that the institution maintains an adequate short term liquidity position, although some sensitivity is observed when unexpected changes occur in funding sources, which highlights the need to strengthen prospective analysis and a more preventive approach to liquidity risk management.