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Grandes exposiciones: add-ons por concentración de riesgo de crédito implícita y el marco de Basilea

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  • José Juan Chávez

    (EGADE Business School, Tecnológico de Monterrey, Mexico)

Abstract

La regulación de Basilea sobre grandes exposiciones está en proceso de implementación y, aunque es una regulación que reduce el límite del tamaño para las exposiciones de gran tamaño en los bancos y está orientada a un mejor control de los parámetros de riesgo que ocasiona que los portafolios se inclinen más a tener pérdidas grandes por concentración de crédito, es importante conocer la porción de riesgo de crédito y capital que lleva implícita. En este trabajo se determinan, mediante una simulación Montecarlo a través de un modelo de riesgo de crédito, los add-ons implícitos (o añadidos implícitos) debidos a la concentración de crédito, y se comparan con los requisitos actuales de capital. Al mismo tiempo, se analiza el marco completo de Basilea para entender cómo se aborda el riesgo de crédito de concentración, esto es, de forma integral, más que mediante un suplemento particular de capital.

Suggested Citation

  • José Juan Chávez, 2024. "Grandes exposiciones: add-ons por concentración de riesgo de crédito implícita y el marco de Basilea," The Anahuac Journal, Business and Economics School. Anahuac University (Mexico)., vol. 24(1), pages 114-159, June.
    • Handle: RePEc:amj:journl:v:24:y:2024:i:1:p:114-159
    DOI: https://doi.org/10.36105/theanahuacjour.2024v24n1.05
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