On the Use of Portfolio Risk Models and Capital Requirements in Emerging Markets : The Case of Argentina

On the Use of Portfolio Risk Models and Capital Requirements in Emerging Markets : The Case of Argentina

A portfolio based model (Credit Risk of Credit Suisse First Boston) and recent Central Bank of Argentina credit bureau data are used to estimate whether current capital and provisioning regulations match actual risks. Arguing that provisions should...

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Bibliographic Details
Main Authors: Balzarotti, Veronica, Falkenheim, Michael, Powell, Andrew
Format: Journal Article
Language:English
en_US
Published: Washington, DC: World Bank 2014
Subjects:
ACCOUNTING
ACCURATE INFORMATION
ADMINISTRATIVE COSTS
ASSETS
BALANCE SHEETS
BANK FAILURES
BANK LOANS
BANKING INDUSTRY
BANKING REGULATIONS
BANKING SUPERVISION
BANKING SYSTEM
BANKS
BORROWER
CAPITAL ADEQUACY
CAPITAL ALLOCATION
CAPITAL ALLOCATIONS
CAPITAL REQUIREMENT
CAPITAL REQUIREMENTS
CASH FLOW
CENTRAL BANK
COLLATERAL
COMMERCIAL BANKS
COMMERCIAL LOANS
COMPARATIVE ANALYSIS
CONSUMER LOANS
CREDIT BUREAU
CREDIT HISTORY
CREDIT INFORMATION
CREDIT LOSS
CREDIT LOSSES
CREDIT QUALITY
CREDIT RATINGS
CREDIT REPORTING
CREDIT REPORTING SYSTEMS
CREDIT RISK
CREDIT RISK ASSESSMENT
CREDIT RISK MANAGEMENT
CREDIT RISK MODELING
CURRENCY
DEBT INTEREST
DEBTOR
DEBTORS
DEBTS
DEFAULT PROBABILITIES
DEFAULT RATE
DEFAULTS
DEPOSITS
DISTRIBUTION OF CREDIT
DIVERSIFIED PORTFOLIO
DIVIDEND
DIVIDENDS
DOMESTIC BANKS
DUMMY VARIABLE
EMERGING MARKETS
EQUITY CAPITAL
EXCHANGE RATE
EXCHANGE RATES
EXPECTED VALUE
FEDERAL RESERVE
FEDERAL RESERVE BANK
FEDERAL RESERVE BANK OF NEW YORK
FINANCIAL CRISES
FINANCIAL INSTITUTION
FINANCIAL INSTITUTIONS
FINANCIAL STABILITY
FINANCIAL SYSTEM
FOREIGN EXCHANGE
FOREIGN EXCHANGE RISK
FUTURE CREDIT
HOUSING
HUMAN RESOURCES
INCOME] RECOGNITION
INDIVIDUAL BANKS
INDIVIDUAL DEBTORS
INDIVIDUAL DEBTS
INDIVIDUAL LOAN
INDIVIDUAL LOANS
INTEREST INCOME
INTEREST MARGIN
INTEREST RATE
INTEREST RATE RISK
INTEREST RATES
INTERNATIONAL BANK
INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT
INTERNATIONAL CAPITAL
LENDER
LENDERS
LENDING INSTITUTIONS
LENDING REQUIREMENTS
LEVEL OF CREDIT
LEVEL OF RISK
LIQUIDITY
LOAN
LOAN ACCOUNTING
LOAN BALANCE
LOAN CLASSIFICATIONS
LOAN DEFAULTS
LOAN LOSSES
LOAN PORTFOLIO
LOAN PORTFOLIOS
MARKET RISK
MATURITY
MAXIMUM LIKELIHOOD ESTIMATION
NEGOTIATIONS
NONPERFORMING LOANS
OPERATIONAL RISK
PORTFOLIO
PORTFOLIO RISK
PORTFOLIOS
PRIVATE BANKS
PRIVATE CREDIT
PRIVATE FINANCIAL INSTITUTIONS
PROBABILITY OF DEFAULT
PROBABILITY OF INSOLVENCY
PRUDENTIAL STANDARDS
RECOVERY RATE
REGULATORY POLICY
REMEDY
RESERVE
RESERVES
RETAINED EARNINGS
RETURN
RETURNS
RISK CAPITAL
RISK FACTOR
RISK FACTORS
RISK OF DEFAULT
RISKY LOANS
SHAREHOLDERS
SOLVENCY
STRUCTURE OF DEBTS
SUBORDINATED DEBT
SUPPLEMENTARY CAPITAL
TAX
TOTAL DEBT
VALUE AT RISK MODELS
WILLINGNESS TO PAY
Online Access:http://documents.worldbank.org/curated/en/2002/05/17737765/financial-crises-credit-ratings-bank-failures-use-portfolio-risk-models-capital-requirements-emerging-markets-case-argentina
http://hdl.handle.net/10986/17201

Internet

http://documents.worldbank.org/curated/en/2002/05/17737765/financial-crises-credit-ratings-bank-failures-use-portfolio-risk-models-capital-requirements-emerging-markets-case-argentina
http://hdl.handle.net/10986/17201

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