Estocástica: FINANZAS Y RIESGO ISSN 2007-5383 versión digital, ISSN 2007-5375 versión impresa 181 Macroeconomic Reverse Stress Testing:… Macroeconomic Reverse Stress Testing: An Early- Warning System for Spanish Banking Regulators. 1 Analysis Based on the 2008 Global Financial Crisis Prueba de resistencia inversa Macroeconómica: una prueba de alerta temprana para los reguladores bancarios españoles. Análisis basado en la crisis financiera global de 2008 AbstRAct This paper presents a methodology that helps regulators to identify early-warning alerts regarding the stability of the financial system. It is a macroeconomic Reverse Stress Testing analysis which examines the interrelationships between different factors in the financial system during an economic crisis period. Archimedean copulas (Gumbel copula) were applied in the modelling of these interactions, showing the interdepen- dence of specific factors. The methodology is applied using four factors: Bank loans to the insurance sector, Spanish exports, the Energy Price Index in Spain, and the growth rate of the Stock Price Index. First, each factor was projected for three years into the future. After that, each factor was calculated to identify the probability distribution that best fitted its projected data. Copula parameters were computed, and each alert level parameter for www.estocastica.azc.uam.mx Volumen 9, número 2, enero-junio 2019, pp. 181-204 1 This article is the exclusive responsibility of the authors and does not necessarily reflect the opinion of the Banco de España or the Eurosystem. María Elizabeth Cristófoli* Javier García Fronti** (Fecha de recepción: 11 de junio de 2019. Fecha de aceptación: 15 de julio de 2019) * Banco de España, Madrid, España elizabeth.cristofoli@bde.es ** Facultad de Ciencias Económicas, Córdoba, Argentina Universidad de Buenos Aires, javier.garciafronti@economicas.uba.ar