Template-Type: ReDIF-Paper 1.0 
Author-Name: Adriana Corrales-Quesada 
Author-Name-First: Adriana 
Author-Name-Last: Corrales-Quesada 
Author-Email: corralesqa@bccr.fi.cr   
Author-Workplace-Name: Economic Division, Central Bank of Costa Rica 
Author-Name:  Fabio Gómez-Rodríguez 
Author-Name-First: Fabio 
Author-Name-Last: Gómez-Rodríguez 
Author-Email:  gomezrj@bccr.fi.cr 
Author-Workplace-Name: Department of Economic Research, Central Bank of Costa Rica 
Author-Name: Carlos Segura-Rodriguez 
Author-Name-First: Carlos 
Author-Name-Last: Segura-Rodriguez 
Author-Email:  segurarc@bccr.fi.cr 
Author-Workplace-Name: Department of Economic Research, Central Bank of Costa Rica 
Title:  Stress Testing of the Central Bank of Costa Rica: Risk Assessment of Fixed-Income Instruments 
Abstract: This technical note describes the procedure currently used by the Central Bank of Costa Rica (BCCR, by its initials in Spanish) to conduct stress tests on the portfolios of financial entities. The analysis identified two opportunities for improvement compared to the current practice; a procedure that was implemented as part of a technical assistance provided by the IMF. First, the stress tests are calculated based on the estimation of the PAR yield curves in colones and dollars carried out by the BCCR, which better reflect the behavior of the Costa Rican market. Secondly, resampling methods are used to determine the loss distribution based on available data, rather than using only predefined shocks, which facilitates the comparison of the predefined shocks currently used with the actual observed events. In conclusion, it is recommended to implement these two improvements in the execution of the stress tests. 
Length: 18 pages 
Creation-Date: 2024-02 
Publication-Status: Published  
File-URL: https://repositorioinvestigaciones.bccr.fi.cr/handle/20.500.12506/392  
File-Format: Application/pdf 
Number: 2401 
Classification-JEL: G21, G28, C63 
Keywords: Stress Tests, Yield Curve Estimation, Financial Crisis, Pruebas de tensión, Curvas de rendimiento, Crisis financieras
Handle: RePEc:apk:nottec:2401