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Un método de Cálculo y Temporización de Previsiones Cíclicas para el Sistema Financiero Boliviano
[The calculation and timing of cyclical provisions in the Bolivian financial system]

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Author Info
Gonzales-Martínez, Rolando
Hurtado, Enrique
Valdivia, Pedro

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Abstract

The constitution of cyclical provisions is related to the effects of latent credit risk in the financial institutions, a risk that materializes during an economic downturn. This study proposes a method both to calculate the amount of cyclical provisions and to estimate the timing of this type of provisions. The calculation is based on the optimization of a partitioned matrix that contains the optimal combinations of percentages of cyclical provisions for each category of risk and for every type of credit. The timing depends upon an indicator that reflects the quality of the credit portfolio in the financial institutions across time.

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File URL: http://mpra.ub.uni-muenchen.de/14120/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14120.

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Date of creation: Sep 2008
Date of revision: Feb 2009
Handle: RePEc:pra:mprapa:14120

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Related research
Keywords: regulación financiera; previsiones cíclicas; ciclos económicos; riesgo de crédito;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

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  1. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05. [Downloadable!] (restricted)
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This page was last updated on 2009-11-13.

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