Modelo de stress testing enfocado en morosidad para el segmento comercial de créditos, Ecuador - 2003-2019.

Abstract

This research focuses on the modeling of a stress test model for credit risk while using macroeconomic variables to determine NPL ratio within the financial system for commercial credits in Ecuador from 2006-2019. Moreover, having a model with the capability to create scenario analysis for a stress test using macroeconomic simulations of the variables, therefore you can understand the impact in forecast NPL ratios with a stress scenario. The model used in this study is a Vector Error Correction Model (VECM) while Monte Carlo Simulations simulate the forecast. As a result, only a few macroeconomic variables are significant in the model, like GDP, Unemployment and Interest Rate show significant levels for long tern cointegration results and short-term causality. The methodology used in the study can be adapted into different credit segments and in different financial environments and can be useful for futures research for credit risk analysis in Ecuador.