Search results for "Bancs centrals"

Stress test based on Oliver Wyman in Bank of Spain: an evaluation

2016

This paper, based on econometric techniques, has done a study to improve the predictions of the stress test, concerning the estimation of impairment losses. The main results obtained are: 1) the impact of the explanatory variables on the impairment loss is different at stages of growth, compared to times of recession; 2) there is a certain inertia of the dependent variable, but this inertia is different in intensity, and even the sign in the growth stages concerning the stages of recession; 3) of the explanatory variables, nominal GDP and equity are those that have a greater impact on the impairment loss; 4) finally, the two dummy variables that assess the impact of adjustment to market val…