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

By Renzo Jiménez Sotelo

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.

Topics: C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill, E44 - Financial Markets and the Macroeconomy, G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Year: 2003
OAI identifier: oai:mpra.ub.uni-muenchen.de:26836

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