Riesgo crediticio derivado del riesgo cambiario: Perspectiva de una Economía Latinoamericana Parcialmente Dolarizada

Derivative credit risk from exchange risk: Perspective of a partially dollarized Latin American economy

Renzo Jiménez Sotelo
Authors registered in the RePEc Author Service: Renzo A. Jiménez-Sotelo ()

MPRA Paper from University Library of Munich, Germany

Abstract: Traditional risk definitions, based on supervisor’s point of view, don’t behold explicitly the existence and interaction of other important risks such as derivative credit risks from other unsecured risk by debtors of bank system in economies partially “dollarized”. One of these critical risks is derivative credit risk from exchange risk, which hasn’t been stated directly in doctrine proposed by Basel Committee. This paper settles basic criteria to analyze this risk and describes the principal consequences of issuing debt in a different currency, over credit rating, provisions and the economic capital that must be assigned in the financial entities (whose customers debt show gap currency). These regulations encourage introducing as soon as possible aggressive mechanisms of global and quantitative management of risk into the financial system, non-existent in countries like Peru.

Keywords: Dolarización; Riesgo crediticio derivado del riesgo cambiario; Sistema bancario; Capital regulatorio; Provisiones por incobrables; Gestión del riesgo; Vectores autorregresivos (search for similar items in EconPapers)
JEL-codes: C32 E44 G21 G32 (search for similar items in EconPapers)
Date: 2003-04-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Revista Apuntes 52 (2004): pp. 91-134

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Journal Article: Riesgo crediticio derivado del riesgo cambiario: perspectiva de una economía latinoamericana parcialmente dolarizada (2004)
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