BASILÉIA 2 E ECONOMIAS EMERGENTES: UMA ABORDAGEM MÉDIA-VARIÂNCIA

• Autor(a) principal: Canuto, Otaviano
• Data de Publicação: 2009
• Outros Autores: Meirelles, Antônio José
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Análise Econômica (Online)
• Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/10796
• topic: Basiléia 2. Novo Acordo de Capitais. Regulação bancária. Economias emergentes.; JEL Classification; F33; G18; Basle 2. New Capital Accord. Banking regulation. Eemerging economies.; JEL Classification; F33; G18

This paper approaches some of the implications to emerging economies which can already be extracted from the changes in the Basle Capital Accord proposed recently by the Basle Committee. We use a simplified version of the classical mean-variance analysis of portfolio selection, in order to examine some of the issues raised within the current debate on "Basle 2" or the "New Capital Accord". Focus is directed towards the two main guidelines followed in the reform design as displayed by the Basle Committee in January, 2001, namely a higher risk sensitivity in a new version of the "standardized approach" to capital requirements for risk credit, as well as the recommendation to adopt "Value at Risk" models within "Internal Ratings Based approaches". We intend to appraise the arguments raised by some analysts, according to whom Basle 2 shall bring harder conditions of access of banking resources to emerging economies.