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

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  • Mario Zambrano
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    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.

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    File URL: http://repec.org/esLATM04/up.7146.1081972538.pdf
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    Bibliographic Info

    Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 164.

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    Date of creation: 11 Aug 2004
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    Handle: RePEc:ecm:latm04:164

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    Keywords: Regulacion Financiera; Medicion de Riesgos; Valor en Riesgo; Basilea II;

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