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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

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

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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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  3. Hildergart Ahumada & Lorena Garegnani, 1999. "Hodrik – Prescott filter in practice," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(4), pages 61-76.
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