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

Translated title of the contribution: Risk of credit

Renzo Antonio Jiménez Sotelo

Research output: Contribution to journalArticle in a journalpeer-review

Abstract

Traditional risk definitions, based on supervisor’s point of view, don’t beholdexplicitly the existence and interaction of other important risks such as derivativecredit risks from other unsecured risk by debtors of bank system in economiespartially “dollarized”. One of these critical risks is derivative credit risk fromexchange 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, provisionsand the economic capital that must be assigned in the financial entities (whosecustomers debt show gap currency). These regulations encourage introducingas soon as possible aggressive mechanisms of global and quantitative managementof risk into the financial system, non-existent in countries like Peru.
Translated title of the contributionRisk of credit
Original languageSpanish
Pages (from-to)92-134
JournalApuntes
Issue number52/53
DOIs
StatePublished - 2003

Keywords

  • Riesgo de crédito

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