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Un análisis del exceso de capital de los bancos comerciales en Colombia

Author

Listed:
  • Javier Gutiérrez Rueda

    ()

  • Angela González Arbeláez

    ()

  • Dairo Estrada

    ()

Abstract

El objetivo de este documento es estimar los determinantes del capital económico, para luego compararlo con el capital regulatorio sugerido por Basilea II, utilizando un modelo unifactorial de riesgo basado en el sistema de calificaciones internas (IRB, por su sigla en inglés), el cual sólo tiene consideraciones de riesgo de crédito. Por una parte, los resultados muestran que dentro de los determinantes del capital económico se encuentran el riesgo de crédito, el crecimiento de la cartera y el ciclo económico, entre otros. Por otra parte, se observa que los excesos de capital están explicados, en gran medida, por consideraciones de la exposición al riesgo de crédito de los bancos."

Suggested Citation

  • Javier Gutiérrez Rueda & Angela González Arbeláez & Dairo Estrada, "undated". "Un análisis del exceso de capital de los bancos comerciales en Colombia," Temas de Estabilidad Financiera 052, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:temest:052
    as

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    File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2010/Tema5_sept.pdf
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    References listed on IDEAS

    as
    1. Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
    2. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December.
    3. Reint Gropp & Florian Heider, 2010. "The Determinants of Bank Capital Structure," Review of Finance, European Finance Association, vol. 14(4), pages 587-622.
    4. David Aikman & Andrew G. Haldane & Benjamin D. Nelson, 2015. "Curbing the Credit Cycle," Economic Journal, Royal Economic Society, vol. 125(585), pages 1072-1109, June.
    5. Kashyap, Anil K. & Rajan, Raghuram G. & Stein, Jeremy C., 2008. "Rethinking capital regulation," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 431-471.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    capital económico; capital regulatorio; modelo unifactorial de riesgo; excesos de capital. Classification JEL: C63; G21; G28;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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