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Un análisis del exceso de capital de los bancos comerciales en Colombia

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Author Info

  • Javier Gutiérrez Rueda

    ()

  • Angela González Arbeláez

    ()

  • Dairo Estrada

    ()

Abstract

El objetivo de este documento es estimar los determinantes del capital económico, para luego compararlo con el capital regulatorio sugerido por Basilea II, utilizando un modelo unifactorial de riesgo basado en el sistema de calificaciones internas (IRB, por su sigla en inglés), el cual sólo tiene consideraciones de riesgo de crédito. Por una parte, los resultados muestran que dentro de los determinantes del capital económico se encuentran el riesgo de crédito, el crecimiento de la cartera y el ciclo económico, entre otros. Por otra parte, se observa que los excesos de capital están explicados, en gran medida, por consideraciones de la exposición al riesgo de crédito de los bancos."

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File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2010/Tema5_sept.pdf
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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 052.

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Handle: RePEc:bdr:temest:052

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Related research

Keywords: capital económico; capital regulatorio; modelo unifactorial de riesgo; excesos de capital. Classification JEL: C63; G21; G28;

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  1. Kashyap, Anil K. & Rajan, Raghuram G. & Stein, Jeremy C., 2008. "Rethinking capital regulation," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 431-471.
  2. Reint Gropp & Florian Heider, 2010. "The Determinants of Bank Capital Structure," Review of Finance, European Finance Association, vol. 14(4), pages 587-622.
  3. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December.
  4. Inês Drumond, 2008. "Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis," FEP Working Papers 277, Universidade do Porto, Faculdade de Economia do Porto.
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