Modelización de la solvencia bancaria en escenarios adversosaplicación a los PIIGS

  1. Julio Abad-González 1
  2. Cristina Gutiérrez-López 1
  1. 1 Universidad de León
    info

    Universidad de León

    León, España

    ROR https://ror.org/02tzt0b78

Revista:
Revista de contabilidad = Spanish accounting review: [RC-SAR]

ISSN: 1138-4891

Año de publicación: 2016

Volumen: 19

Número: 2

Páginas: 227-238

Tipo: Artículo

DOI: 10.1016/J.RCSAR.2015.11.002 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Revista de contabilidad = Spanish accounting review: [RC-SAR]

Resumen

En los últimos años se han realizado diversas pruebas de estrés a la banca europea con el fin de evaluar su solvencia, condicionando sus resultados las medidas de reestructuración y recapitalización aplicadas al sector. Este trabajo pretende modelizar los niveles de solvencia estimados por las pruebas realizadas en 2011, expresados en términos de capital tier 1, a partir de variables contables, exposición a soberanos e indicadores que definan los escenarios macroeconómicos considerados. El análisis, a través de un modelo de regresión multinivel, se centra en las entidades de los países más afectados por la crisis financiera, los denominados PIIGS (Portugal, Italia, Irlanda, Grecia y España). Los resultados muestran que las ratios contables, conforme a un modelo CAMEL, junto con las variables categóricas relativas a país y escenario y su interacción, ofrecen una buena capacidad predictiva.

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