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Introducción a la medición del riesgo crediticio de las Reservas Internacionales del BCB bajo el enfoque de Basilea II

Author

Listed:
  • Raúl Alberto Ballón F.

    (Banco Central de Bolivia)

Abstract

La medición del riesgo crediticio constituye un aspecto importante dentro de la inversión de portafolios. Sin embargo, el cálculo de la exposición a este riesgo es bastante complejo y requiere la estimación cuantitativa de parámetros como ser: la exposición al incumplimiento, la pérdida en caso de incumplimiento, y la probabilidad de ocurrencia de este evento. El presente documento brinda una introducción teórica a los parámetros anteriormente mencionados, para posteriormente implementarlos dentro de la metodología de Basilea II para la medición del riesgo crediticio de las Reservas Internacionales del Banco Central de Bolivia (BCB).

Suggested Citation

  • Raúl Alberto Ballón F., 2014. "Introducción a la medición del riesgo crediticio de las Reservas Internacionales del BCB bajo el enfoque de Basilea II," Notas Técnicas 6, Banco Central de Bolivia.
  • Handle: RePEc:blv:nottec:6
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