IDEAS home Printed from https://ideas.repec.org/p/blv/nottec/8.html
   My bibliography  Save this paper

El VaR crediticio como herramienta para monitorear el riesgo crediticio en la inversión de las reservas monetarias internacionales del Banco Central de Bolivia

Author

Listed:
  • Denise Salazar

    (Banco Central de Bolivia)

  • Varinia Tindal

    (Banco Central de Bolivia)

Abstract

El VaR crediticio es una métrica que contribuye a la optimización de la medición y monitoreo del riesgo crediticio de portafolios de inversión. El presente trabajo analiza las diferentes metodologías y modelos de cálculo del VaR crediticio, haciendo énfasis en los fundamentos y principios de Basilea II. Finalmente, se realiza la explicación sobre las variables e información que se utilizaron para su implementación en la administración de las reservas monetarias internacionales del Banco Central de Bolivia (BCB).

Suggested Citation

  • Denise Salazar & Varinia Tindal, 2015. "El VaR crediticio como herramienta para monitorear el riesgo crediticio en la inversión de las reservas monetarias internacionales del Banco Central de Bolivia," Notas Técnicas 8, Banco Central de Bolivia.
    • Handle: RePEc:blv:nottec:8
    as

    Download full text from publisher

    File URL: https://www.bcb.gob.bo/webdocs/publicacionesbcb/2017/06/36/Nota_tecnica_No_8.pdf
    Download Restriction: no
    File URL: https://www.bcb.gob.bo/?q=pub_notas-tecnicas
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:blv:nottec:8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jose Antonio Caballero Pelaez (email available below). General contact details of provider: https://edirc.repec.org/data/bcbgvbo.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.