Resumo

CONDORI HUANCA, Roñal Edwin. DYNAMIC FACTOR ANALYSIS APPLIED TO THE MEASUREMENT OF LIQUIDITY RISK. Revista Varianza [online]. 2024, n.24, pp. 23-31. ISSN 9876-6789.

Abstract Currently events such as the intervention of Banco Fassil in 2023 put the monitoring offinancial risk indicators in the spotlight, with liquidity risk being one ofthe most important. This taskhas been addressed in the national environment through a wide variety of techniques; however, the vast amount ofthese measurements requires the application ofmultivariate dimensión reduction methods, such as factor analysis. This method is callea dynamic factor analysis because it considers the time dimensión. Its application to quantify a proxy of liquidity risk in Múltiple Banks allowed quantifying a proxy indicator of liquidity risk, which explains 36% ofthe variance ofthe financial indicators analyzed and, in addition, allows early warnings on previous latent liquidity risks.

Palavras-chave : Dynamic factorial; Financial system; Multivariate method.