Risk Capacity Index: A Methodological Proposal for Comprehensive Management in Colombian Solidarity Sector Entities

The stability of financial institutions is crucial; however, current regulations evaluate credit, liquidity, and market risks separately, which hampers a consistent assessment of an entity's true loss-absorbing capacity. To address this, our study introduces the Risk Capacity Index (ICR) as a comprehensive indicator of financial sustainability for organizations in Colombia's solidarity sector. The approach adjusts a macrofinancial risk capacity model to fit the institutional setting, defining the ICR as the ratio of technical equity to total risk exposure, including expected credit losses, market Value-at-Risk, and the liquidity gap. This index was empirically tested with monthly data from 2025 from a closed savings and credit cooperative, using sensitivity tests and stress scenarios aligned with Basel III standards. Results show that liquidity risk is the main driver of capacity depletion, responsible for most of the index's fluctuations and causing non-linear deterioration during adverse conditions, while market risk effects are minor. Significant funding pressures sharply reduce the ICR below viability levels, leading to structural issues on the balance sheet. The ICR provides a new, integrated early-warning tool that complements traditional solvency measurements. The study highlights that managing liquidity and liabilities proactively, rather than just increasing capital, is key to preserving financial stability in cooperative models.