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Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos

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  • Mario Zambrano

Abstract

Based on Bergara and Licandro´s Model (2001), this paper studies the relationship between the requirements of prudential regulations for risks management and its effects on the loans portfolio. The financial regulation (Basle´s Accords, I and II) becomes sensible to risks (using Value at Risk approach for example) and the model explains the impacts on portfolio decisions, profitability ratios and banking crisis. This model considers different types of risk (and their correlations) over the financial assets portfolio in small financial systems with a high level of dollarization, like Latin Americans, in which also there is the credit-exchange risk. In particular, for those financial systems with a higher dollarization is important to analyze the relationship from the exchange volatility and the economic cycle to the discount rates.

Suggested Citation

  • Mario Zambrano, 2004. "Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos," Econometric Society 2004 Latin American Meetings 164, Econometric Society.
    • Handle: RePEc:ecm:latm04:164
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    More about this item

    Keywords

    Regulacion Financiera; Medicion de Riesgos; Valor en Riesgo; Basilea II;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G1 - Financial Economics - - General Financial Markets
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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