BIS Papers 
                                      No 108 
                                      Stress testing in Latin America: 
                                      A comparison of approaches 
                                      and methodologies 
                                      Report submitted by a study group established by the 
                                      BIS CCA Consultative Group of Directors of Financial 
                                      Stability (CGDFS) and chaired by Pamela Cardozo, Bank 
                                      of the Republic, Colombia. 
                                      Monetary and Economic Department 
                                      February 2020 
                                      JEL classification: C53, G10, G21, E37, E47.
                         Ulloa, senior economist at the Central Bank of 
        This report was prepared by Barbara 
        Chile (bulloa@bcentral.cl), during her secondment as a visiting economist at the BIS 
        Americas Office.  
        The views expressed are those of the authors and not necessarily the views of the 
        BIS. 
        This publication is available on the BIS website (www.bis.org). 
        ©  Bank for International Settlements 2020. All rights reserved. Brief excerpts may be 
          reproduced or translated provided the source is stated. 
        ISSN 1682-7651 (online) 
        ISBN 978-92-9259-331-5 (online) 
                           Contents 
                           Executive summary ............................................................................................................................ iii 
                           Introduction ........................................................................................................................................... 1 
                           1. Stress-testing practice in Latin America ............................................................................. 3 
                              1.1.  Objectives and coordination ........................................................................................ 4 
                              1.2.  Scope: financial entities and risks ............................................................................... 5 
                              1.3.  Data requirements ............................................................................................................ 7 
                              1.4.  Methodologies ................................................................................................................... 8 
                           2. The common stress-testing exercise: setup, output and differences ................... 12 
                              2.1.  Setup .................................................................................................................................... 13 
                              2.2.  Output of the exercise: commonalities and differences .................................. 14 
                           3. Do stress tests in the LA-7 follow international best practice? ............................... 18 
                           4. Conclusion .................................................................................................................................... 21 
                           References ............................................................................................................................................ 23 
                           Annex: How the common exercise was conducted ............................................................. 25 
                           Members of the Study Group ....................................................................................................... 29 
                                                                                            
                           Previous volumes in this series .................................................................................................... 30
                           BIS Papers No 108                                                 i