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Requerimientos de capital por riesgo crediticio bajo el acuerdo de Basilea II: Implicaciones para el sistema bancario boliviano

Author

Listed:
  • Tatiana Cosulich Quevedo
  • Oswaldo Irusta Díaz

    (Banco Central de Bolivia)

  • Martín Villegas Tufiño

    (Banco Central de Bolivia)

Abstract

Por las características del negocio de intermediación financiera y sus implicaciones en el resto de la economía, la normativa prudencial exige niveles mínimos de capital que en inicio corresponden al respaldo o colateral frente a los riesgos a que están expuestas las entidades financieras. La introducción del Acuerdo del Comité de Basilea II, en lo concerniente a su primer pilar, contempla requerimientos de capital por riesgo crediticio. En el presente trabajo se determinan dichos requerimientos para los bancos que operan en Bolivia bajo las metodologías estándar e Internal Ratings - Based Approach (IRB). Los resultados obtenidos muestran a priori incrementos en los requerimientos de capital bajo ambos enfoques, aunque con efectos disímiles entre entidades. Los mayores requerimientos de capital se observan a nivel de los bancos cuyas inversiones en títulos valor son más significativas que las crediticias.

Suggested Citation

  • Tatiana Cosulich Quevedo & Oswaldo Irusta Díaz & Martín Villegas Tufiño, 2003. "Requerimientos de capital por riesgo crediticio bajo el acuerdo de Basilea II: Implicaciones para el sistema bancario boliviano," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 6(2-1), pages 51-88, December.
  • Handle: RePEc:blv:journl:v:6-7:y:2003:i:2-1:p:51-88
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    More about this item

    Keywords

    Basilea; regulación; bancos; capital económico; riesgo crediticio; Bolivia;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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