Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos

Mario Zambrano

No 164, Econometric Society 2004 Latin American Meetings from Econometric Society

Abstract: Based on Bergara and Licandro´s Model (2001), this paper studies the relationship between the requirements of prudential regulations for risks management and its effects on the loans portfolio. The financial regulation (Basle´s Accords, I and II) becomes sensible to risks (using Value at Risk approach for example) and the model explains the impacts on portfolio decisions, profitability ratios and banking crisis. This model considers different types of risk (and their correlations) over the financial assets portfolio in small financial systems with a high level of dollarization, like Latin Americans, in which also there is the credit-exchange risk. In particular, for those financial systems with a higher dollarization is important to analyze the relationship from the exchange volatility and the economic cycle to the discount rates.

Keywords: Regulacion Financiera; Medicion de Riesgos; Valor en Riesgo; Basilea II (search for similar items in EconPapers)
JEL-codes: C6 E3 G1 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-reg
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:latm04:164

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