On the Use of Portfolio Risk Models and Capital Requirements in Emerging Markets: The Case of Argentina
利用阿根廷央行信贷数据评估现行资本和拨备要求是否匹配实际风险，发现拨备接近预期损失，但潜在损失估计对模型假设高度敏感，结果仅具提示性。
A portfolio based model (Credit Risk of \n Credit Suisse First Boston) and recent Central Bank of \n Argentina credit bureau data are used to estimate whether \n current capital and provisioning regulations match actual \n risks. Arguing that provisions should cover expected losses \n and that capital requirements should cover potential losses \n beyond expected losses subject to some statistical level of \n tolerance, the article assesses how well actual capital and \n provisioning requirements match the estimated requirements \n given by the model. Actual provisioning requirements were \n found to be close to implied levels of expected losses. The \n estimate of potential losses was found to be highly \n sensitive to the assumptions of the model, especially the \n parameter relating the volatility of a loan's rate of \n default to its mean value. This volatility parameter cannot \n be estimated accurately with the credit bureau data because \n of the short time span covered, so proxy data were used to \n estimate it, and two values around that estimate were tried. \n The difficulty of estimating this critical parameter implies \n that the results should only be regarded as suggestive. \n Moreover, the methodology only does not seek to estimate \n credit risk and not interest rate risk or exchange rate \n risk, nor does it fully take into account the indirect \n effects of interest rates and exchange rates on credit risk. \n As recent events in Argentina have demonstrated, estimating \n credit risk along these lines should be thought of as just \n one tool in attempting to assess the appropriate level of \n bank provisions and capital.