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Análisis del nuevo acuerdo de capitales de Basilea (BIS-II): PYME-risk, country-risk y operational-risk

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  • Mariano González

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Abstract

trabajo analiza el Nuevo Acuerdo de Capitales del Banco Internacional de Pagos de Basilea, conocido como BIS-II, en lo relativo al riesgo de crédito con Pymes, riesgo país y riesgo operacional. Estudia los conceptos, clasificaciones y métodos de estimación propuesto por la norma, así como las ventajas e inconvenientes de cada una de las opciones. Presenta además, para cada uno de los tres riesgos estudiados, una propuesta de rating basada en el estudio de muestras diferentes para cada caso, Pymes españolas, información sobre países suministrada por el Banco Mundial y entidades financieras españolas. Finalmente, recoge un modelo econométrico que cumple las exigencias de BIS-II para modelos avanzados en los respectivos riesgos estudiados, y que permite incluir tanto efectos aleatorios como correlación, espacial y temporal. Todo ello se acompaña con una abundante y actualizada bibliografía sobre los temas tratados.

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Bibliographic Info

Paper provided by POLITÉCNICO GRANCOLOMBIANO in its series I SIMPOSIO DOCENTES DE FINANZAS with number 001991.

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Length: 68
Date of creation: 29 Jul 2004
Date of revision:
Handle: RePEc:col:000114:001991

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Related research

Keywords: Basel-II; Credit risk; Country risk; Operational risk; rating; Dynamic Ordered probit; Simulated Maximum Likelihood.;

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