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Riesgo crediticio derivado del riesgo cambiario: perspectiva de una economía latinoamericana parcialmente dolarizada

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  • Renzo Jiménez Sotelo

Abstract

Las tradicionales definiciones de riesgo, desde el punto de vista de la supervisión,no contemplan explícitamente la existencia e interacción de otros riesgosimportantes como los riesgos crediticios producto de otros riesgos nocoberturados. Uno de estos riesgos es el riesgo crediticio derivado del riesgocambiario incurrido por los deudores de sistemas bancarios parcialmentedolarizados y que no ha sido contemplado directamente en la doctrina propuestapor el Comité de Basilea. La idea de este documento es establecer criterios básicos para la evaluación dedicho riesgo y plantear las principales consecuencias que tiene sobre la calificaciónde riesgo de deuda emitida en monedas diferentes y sobre la constituciónde provisiones y la asignación de capital económico en las entidades financierascon clientes cuya deuda presenta este descalce cambiario. Este enfoque alientaa introducir, cuanto antes, agresivos mecanismos de gestión global y cuantitativadel riesgo en el sistema financiero, actualmente inexistentes.

Suggested Citation

  • Renzo Jiménez Sotelo, 2004. "Riesgo crediticio derivado del riesgo cambiario: perspectiva de una economía latinoamericana parcialmente dolarizada," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 31(54), pages 92-134.
    • Handle: RePEc:pai:apunup:es-54-05
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    References listed on IDEAS

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    1. Nadeem Ul Haque & Manmohan S. Kumar & Nelson Mark & Donald J. Mathieson, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Staff Papers, Palgrave Macmillan, vol. 43(4), pages 688-724, December.
    2. Lama, Ruy, 2002. "Administración del riesgo cambiario en el sistema bancario peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 8, pages 155-181.
    3. Renzo Jiménez S., 2001. "La dolarización y sus efectos sobre la solidez del sistema financiero peruano," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 28(49), pages 93-115.
    4. Rossini Miñán, Renzo, 2001. "Aspectos de la adopción de un régimen de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 7.
    5. Quispe Misaico, Zenón, 1998. "Una aproximación a la demanda de los principales agregados monetarios en el Perú: Junio 1991-Mayo 1997," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 3, pages 1-20.
    6. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
    7. International Monetary Fund, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Working Papers 1996/009, International Monetary Fund.
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    Cited by:

    1. Renzo Jiménez Sotelo, 2010. "Ciclo crediticio y acelerador cambiario: evidencia empírica y consecuencias para la regulación prudencial," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 33(65), pages 133-176.
    2. Renzo Jiménez Sotelo, 2009. "Acceso de la banca de desarrollo al banco central: el caso de COFIDE y las tasas de interés en Perú," Boletín, CEMLA, vol. 0(3), pages 119-138, Julio-sep.
    3. Dancourt, Óscar & Jiménez Sotelo, Renzo, 2010. "Perú: Lecciones de la recesión de 2008-2009 [Peru: Lessons from the recession of 2008-2009]," MPRA Paper 74889, University Library of Munich, Germany.
    4. Jiménez Sotelo, Renzo, 2012. "Políticas para la gestión de activos y pasivos soberanos: Una propuesta para el Tesoro del Perú [Policies for sovereign asset and liability management: A proposal for the Treasury of Peru]," MPRA Paper 119895, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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