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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]

  • Gonzales-Martínez, Rolando
  • Hurtado, Enrique
  • Valdivia, Pedro

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/14120/1/MPRA_paper_14120.pdf
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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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  1. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
  2. 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.
  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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