Clculo del VAR de una cartera de bonos

Inversin 100,000,000
Letras de tesorera 50%
Bono a 10 aos 50%
Inters Precio Cambio en el precio
LT B10 LT B10 Cartera LT B10
Sep-97 3.7 5.5 96.43 96.14 96.29
Oct-97 4 5.6 96.15 95.78 95.97 -0.29% -0.38%
Nov-97 4 5.4 96.13 96.62 96.38 -0.02% 0.87%
Dec-97 3.9 5.3 96.29 97.5 96.90 0.17% 0.91%
Jan-98 3.7 5 96.41 99.62 98.02 0.12% 2.15%
Feb-98 3.7 4.9 96.47 100.58 98.53 0.06% 0.96%
Mar-98 3.8 4.9 96.31 100.72 98.52 -0.17% 0.14%
Apr-98 3.9 5 96.29 100.18 98.24 -0.02% -0.54%
May-98 3.8 4.8 96.36 101.34 98.85 0.07% 1.15%
Jun-98 3.8 4.8 96.33 101.77 99.05 -0.03% 0.42%
Jul-98 3.7 4.6 96.39 102.99 99.69 0.06% 1.19%
Aug-98 3.5 4.2 96.58 106.37 101.48 0.20% 3.23%
Sep-98 3.5 3.8 96.64 109.57 103.11 0.06% 2.96%
Oct-98 3.3 4.1 96.76 107.15 101.96 0.12% -2.23%
Nov-98 3.3 1 96.85 108.47 102.66 0.09% 1.22%
Dec-98 2.9 3.9 97.18 109.31 103.25 0.34% 0.77%
Jan-99 2.8 3.6 97.25 111.36 104.31 0.07% 1.86%
Feb-99 2.9 4 97.15 108.12 102.64 -0.10% -2.95%
Mar-99 2.8 4 97.25 108.18 102.72 0.10% 0.06%
Apr-99 2.5 3.8 97.58 109.76 103.67 0.34% 1.45%
May-99 2.6 4.1 97.48 107.24 102.36 -0.10% -2.32%
Jun-99 2.7 4.5 97.35 103.99 100.67 -0.13% -3.08%
Jul-99 3 4.8 97.13 101.85 99.49 -0.23% -2.08%
Aug-99 3 4.9 97.09 100.93 99.01 -0.04% -0.91%
Sep-99 3.1 5.1 96.96 99.54 98.25 -0.13% -1.39%
Oct-99 3.5 5.1 96.62 99.23 97.93 -0.35% -0.31%
Nov-99 3.5 5.1 96.6 99.12 97.86 -0.02% -0.11%
Dec-99 3.7 5.4 96.44 97.34 96.89 -0.17% -1.81%
Jan-00 3.8 5.5 96.33 96.05 96.19 -0.11% -1.33%
Feb-00 4 5.5 96.14 96.27 96.21 -0.20% 0.23%
Mar-00 4.2 5.2 96.01 98.45 97.23 -0.14% 2.24%
Apr-00 4.4 5.3 95.76 97.8 96.78 -0.26% -0.66%
May-00 4.8 5.2 95.39 98.66 97.03 -0.39% 0.88%
Jun-00 4.9 5.2 95.34 98.47 96.91 -0.05% -0.19%
Jul-00 5.1 5.2 95.14 98.48 96.81 -0.21% 0.01%
Aug-00 5.2 5.3 95.09 97.77 96.43 -0.05% -0.72%
Sep-00 5.1 5.2 95.16 98.29 96.73 0.07% 0.53%
3.68 4.72 -0.04% 0.06%
0.71 0.85 0.17% 1.56%
172,251 1,559,883
mbio en el precio
Cartera

-0.33%
0.43%
0.54%
1.15%
0.52%
-0.01%
-0.28%
0.62%
0.20%
0.64%
1.77%
1.59%
-1.12%
0.69%
0.57%
1.02%
-1.61%
0.08%
0.93%
-1.27%
-1.66%
-1.18%
-0.48%
-0.77%
-0.33%
-0.07%
-1.00%
-0.73%
0.02%
1.06%
-0.46%
0.25%
-0.12%
-0.10%
-0.39%
0.31%
0.01% Media
0.85% Desviacin estndar
1,699,174 VAR en pesos

0.68 Coeficiente de correlacin

0.84% Sigma de la cartera
1,681,967 VAR en pesos de la cartera
Clculo del VAR de crdito de un solo bono

Face value 100

Coupon rate 6.00%
Rating BBB
Seniority Senior Unsecured
Maturity 5 years

Matriz de transicin de un ao (%)

Rating al final del ao en %

Rating inicial
AAA AA A BBB BB B
AAA 90.81% 8.33% 0.68% 0.06% 0.12% 0.00%
AA 0.70% 90.65% 7.79% 0.64% 0.06% 0.14%
A 0.09% 2.27% 91.05% 5.52% 0.74% 0.26%
BBB 0.02% 0.33% 5.95% 86.93% 5.30% 1.17%
BB 0.03% 0.14% 0.67% 7.73% 80.53% 8.84%
B 0.00% 0.11% 0.24% 0.43% 6.48% 83.46%
CCC 0.22% 0.00% 0.22% 1.30% 2.38% 11.24%
Fuente: Standard & Poor's Credit Week

Ejemplo de curvas cupn cero forward por rating (%)

1 2 3 4
Rating Ao 1 Ao 2 Ao 3 Ao 4
AAA 3.60% 4.17% 4.73% 5.12%
AA 3.65% 4.22% 4.78% 5.17%
A 3.72% 4.32% 4.93% 5.32%
BBB 4.10% 4.67% 5.25% 5.63%
BB 5.55% 6.02% 6.78% 7.27%
B 6.05% 7.02% 8.03% 8.52%
CCC 15.05% 15.02% 14.03% 13.52%
Fuente: CreditMetrics; Technical document, 1997

Distribucin del valor del bono BBB

BBB

Posible rating AAA AA A BBB BB B

Probabilidad 0.02% 0.33% 5.95% 86.93% 5.30% 1.17%
Valor Bono 109.35 109.17 108.64 107.53 102.01 98.09
5.21 4.42 2.48 0.21 25.63 80.70
0.001 0.015 0.147 0.185 1.359 0.944

Tasa de recuperacin en caso de insolvencia por seniority

Desviacin
Clase de Seniority Media (%)
estndar (%)
Senior secured 53.80% 26.86%
Senior unsecured 51.13% 25.45%
Senior subordinated 38.52% 23.81%
Subordinated 32.74% 20.18%
Junior subordinated 17.09% 10.90%
Fuente: Carty & Lieberman-Moody's Investors Service

Clculo de la volatilidad debido al cambio en la calidad crediticia

m Total = S Probabilidad Precio

mTotal = 107.07

s 2Total = S Pri (m i2+s i2) - m 2Total

s2Total = 8.94

s Total = 2.99 VAR 5% = $ 4.93

VAR 1% = $ 6.97

Requerimientos Totales de capital 7.43

Perdida Esperada $ 0.46

Perdida Inesperada $ 6.97
CCC Default
0.00% 0.00%
0.02% 0.00%
0.01% 0.06%
0.12% 0.18%
1.00% 1.06%
4.07% 5.20%
64.86% 19.79%

CCC Default
0.12% 0.18%
83.63 51.13
549.60 3129.21
0.660 5.633
Clculo del VAR de crdito de una cartera de dos bonos

Face value 100

Coupon rate 5.00%
Rating A
Seniority Senior Secured
Maturity 5 years

Matriz de transicin de un ao (%)

Rating al final del ao en %

Rating inicial
AAA AA A BBB BB B
AAA 90.81% 8.33% 0.68% 0.06% 0.12% 0.00%
AA 0.70% 90.65% 7.79% 0.64% 0.06% 0.14%
A 0.09% 2.27% 91.05% 5.52% 0.74% 0.26%
BBB 0.02% 0.33% 5.95% 86.93% 5.30% 1.17%
BB 0.03% 0.14% 0.67% 7.73% 80.53% 8.84%
B 0.00% 0.11% 0.24% 0.43% 6.48% 83.46%
CCC 0.22% 0.00% 0.22% 1.30% 2.38% 11.24%
Fuente: Standard & Poor's Credit Week

Ejemplo de curvas cupn cero forward por rating (%)

1 2 3 4
Rating Ao 1 Ao 2 Ao 3 Ao 4
AAA 3.60% 4.17% 4.73% 5.12%
AA 3.65% 4.22% 4.78% 5.17%
A 3.72% 4.32% 4.93% 5.32%
BBB 4.10% 4.67% 5.25% 5.63%
BB 5.55% 6.02% 6.78% 7.27%
B 6.05% 7.02% 8.03% 8.52%
CCC 15.05% 15.02% 14.03% 13.52%
Fuente: CreditMetrics; Technical document, 1997

Distribucin del valor del bono BBB

A

Posible rating AAA AA A BBB BB B

Probabilidad 0.09% 2.27% 91.05% 5.52% 0.74% 0.26%
Valor Bono 104.78 104.60 104.08 103.00 97.59 93.76

Tasa de recuperacin en caso de insolvencia por seniority

Clase de Desviacin
Media (%)
Seniority estndar (%)
Senior secured 53.80% 26.86%
Senior unsecured 51.13% 25.45%
Senior subordinate 38.52% 23.81%
Subordinated 32.74% 20.18%
Junior subordinate 17.09% 10.90%
Fuente: Carty & Lieberman-Moody's Investors Service

Matriz de transicin a 1 ao de un bono A y un bono BBB

Bono A
Bono BBB AAA AA A BBB BB
0.09% 2.27% 91.05% 5.52% 0.74%
AAA 0.02% 0.00% 0.00% 0.02% 0.00% 0.00%
AA 0.33% 0.00% 0.04% 0.29% 0.00% 0.00%
A 5.95% 0.02% 0.39% 5.44% 0.08% 0.01%
BBB 86.93% 0.07% 1.81% 79.69% 4.55% 0.57%
BB 5.30% 0.00% 0.02% 4.47% 0.64% 0.11%
B 1.17% 0.00% 0.00% 0.92% 0.18% 0.04%
CCC 0.12% 0.00% 0.00% 0.09% 0.02% 0.00%
Default 0.18% 0.00% 0.00% 0.13% 0.04% 0.01%

Distribucin del valor de la cartera de un bono A y un bono BBB

Bono A
Bono BBB AAA AA A BBB BB
104.78 104.60 104.08 103.00 97.59
AAA 109.35 214.13 213.95 213.43 212.35 206.95
AA 109.17 213.95 213.77 213.25 212.17 206.77
A 108.64 213.42 213.24 212.72 211.64 206.24
BBB 107.53 212.31 212.13 211.61 210.53 205.12
BB 102.01 206.78 206.61 206.09 205.00 199.60
B 98.09 202.86 202.69 202.17 201.08 195.68
CCC 83.63 188.40 188.23 187.71 186.62 181.22
Default 51.13 155.91 155.73 155.21 154.13 148.72

Clculo de la volatilidad debido al cambio en la calidad crediticia

m Total = S Probabilidad valor de la cartera

m Total = 210.92 0.19 4.80 192.31 11.52 1.50

s 2Total = S Pri (m i2+s i2)

s 2Total = 11.21 0.00 0.05 6.84 1.81 0.81

s Total
= 3.35 VAR 5% = $ 5.53
VAR 1% = $ 7.80
CCC Default
0.00% 0.00%
0.02% 0.00%
0.01% 0.06%
0.12% 0.18%
1.00% 1.06%
4.07% 5.20%
64.86% 19.79%

CCC Default
0.01% 0.06%
79.72 53.80
A
B CCC Default
0.26% 0.01% 0.06%
0.00% 0.00% 0.00%
0.00% 0.00% 0.00%
0.00% 0.00% 0.00%
0.19% 0.01% 0.04%
0.04% 0.00% 0.01%
0.02% 0.00% 0.00%
0.00% 0.00% 0.00%
0.00% 0.00% 0.00%

A
B CCC Default
93.76 79.72 53.80
203.11 189.08 163.15 214.13 213.95 213.43
202.93 188.90 162.97 213.95 213.77 213.25
202.40 188.37 162.44 213.42 213.24 212.72
201.29 187.26 161.33 212.31 212.13 211.61
195.76 181.73 155.81 206.78 206.61 206.09
191.84 177.81 151.89 202.86 202.69 202.17
177.38 163.35 137.43 188.40 188.23 187.71
144.89 130.85 104.93 155.91 155.73 155.21

0.50 0.02 0.08

0.34 0.06 1.29

212.35 206.95 203.11 189.08 163.15 214.13
212.17 206.77 202.93 188.90 162.97 213.95
211.64 206.24 202.40 188.37 162.44 213.43
210.53 205.12 201.29 187.26 161.33 212.35
205.00 199.60 195.76 181.73 155.81 206.95
201.08 195.68 191.84 177.81 151.89 203.11
186.62 181.22 177.38 163.35 137.43 189.08
154.13 148.72 144.89 130.85 104.93 163.15
213.95 213.42 212.31 206.78 202.86 188.40 155.91
213.77 213.24 212.13 206.61 202.69 188.23 155.73
213.25 212.72 211.61 206.09 202.17 187.71 155.21
212.17 211.64 210.53 205.00 201.08 186.62 154.13
206.77 206.24 205.12 199.60 195.68 181.22 148.72
202.93 202.40 201.29 195.76 191.84 177.38 144.89
188.90 188.37 187.26 181.73 177.81 163.35 130.85
162.97 162.44 161.33 155.81 151.89 137.43 104.93
Clculo del VAR de una cartera compuesta por un bono aleman

Inversin total $ 100,000,000 de Euros

Nivel de confianza 95%

Precio Cambio de precio en %

May-01 96.14 -
Jun-01 95.78 -0.37%
Jul-01 96.62 0.88%
Aug-01 97.5 0.91%
Sep-01 99.62 2.17%
Oct-01 100.58 0.96%
Nov-01 100.72 0.14%
Dec-01 100.18 -0.54%
Jan-02 101.34 1.16%
Feb-02 101.77 0.42%
Mar-02 102.99 1.20%
Apr-02 106.37 3.28%
May-02 109.57 3.01%
Jun-02 107.15 -2.21%
Jul-02 108.47 1.23%
Aug-02 109.31 0.77%
Sep-02 111.36 1.88%
Oct-02 108.12 -2.91%
Nov-02 108.18 0.06%
Dec-02 109.76 1.46%
Jan-03 107.24 -2.30%
Feb-03 103.99 -3.03%
Mar-03 101.85 -2.06%
Apr-03 100.93 -0.90%
May-03 99.54 -1.38%
Jun-03 99.23 -0.31%
Jul-03 99.12 -0.11%
Aug-03 97.34 -1.80%
Sep-03 96.05 -1.33%
Oct-03 96.27 0.23%
Nov-03 98.45 2.26%
Dec-03 97.8 -0.66%
Jan-04 98.66 0.88%
Feb-04 98.47 -0.19%
Mar-04 98.48 0.01%
Apr-04 97.77 -0.72%
May-04 98.29 0.53%

Media 101.65 0.073%

Desviacion Estandar 4.70 1.56%

VaR en % al 95% 2.57%

VaR en Euros al 95% $ 2,573,221.32

VaR a 3 meses al 95% 4.46%

VaR a 12 meses al 95% 8.91%
Clculo del VAR de una cartera compuesta por un bono aleman y una letra de tesoreria

Inversin total $ 100,000,000 de Euros

Nivel de confianza 95%
Composicion LT 50%
Composicion B10 50%

Precios Variacion
LT B10 Cartera LT B10 Cartera
May-01 96.43 96.14 96.29 - - -
Jun-01 96.15 95.78 95.97 -0.29% -0.37% -0.33%
Jul-01 96.13 96.62 96.38 -0.02% 0.88% 0.43%
Aug-01 96.29 97.5 96.90 0.17% 0.91% 0.54%
Sep-01 96.41 99.62 98.02 0.12% 2.17% 1.16%
Oct-01 96.47 100.58 98.53 0.06% 0.96% 0.52%
Nov-01 96.31 100.72 98.52 -0.17% 0.14% -0.01%
Dec-01 96.29 100.18 98.24 -0.02% -0.54% -0.28%
Jan-02 96.36 101.34 98.85 0.07% 1.16% 0.63%
Feb-02 96.33 101.77 99.05 -0.03% 0.42% 0.20%
Mar-02 96.39 102.99 99.69 0.06% 1.20% 0.65%
Apr-02 96.58 106.37 101.48 0.20% 3.28% 1.79%
May-02 96.64 109.57 103.11 0.06% 3.01% 1.61%
Jun-02 96.76 107.15 101.96 0.12% -2.21% -1.12%
Jul-02 96.85 108.47 102.66 0.09% 1.23% 0.69%
Aug-02 97.18 109.31 103.25 0.34% 0.77% 0.57%
Sep-02 97.25 111.36 104.31 0.07% 1.88% 1.03%
Oct-02 97.15 108.12 102.64 -0.10% -2.91% -1.60%
Nov-02 97.25 108.18 102.72 0.10% 0.06% 0.08%
Dec-02 97.58 109.76 103.67 0.34% 1.46% 0.93%
Jan-03 97.48 107.24 102.36 -0.10% -2.30% -1.26%
Feb-03 97.35 103.99 100.67 -0.13% -3.03% -1.65%
Mar-03 97.13 101.85 99.49 -0.23% -2.06% -1.17%
Apr-03 97.09 100.93 99.01 -0.04% -0.90% -0.48%
May-03 96.96 99.54 98.25 -0.13% -1.38% -0.77%
Jun-03 96.62 99.23 97.93 -0.35% -0.31% -0.33%
Jul-03 96.6 99.12 97.86 -0.02% -0.11% -0.07%
Aug-03 96.44 97.34 96.89 -0.17% -1.80% -0.99%
Sep-03 96.33 96.05 96.19 -0.11% -1.33% -0.72%
Oct-03 96.14 96.27 96.21 -0.20% 0.23% 0.02%
Nov-03 96.01 98.45 97.23 -0.14% 2.26% 1.07%
Dec-03 95.76 97.8 96.78 -0.26% -0.66% -0.46%
Jan-04 95.39 98.66 97.03 -0.39% 0.88% 0.25%
Feb-04 95.34 98.47 96.91 -0.05% -0.19% -0.12%
Mar-04 95.14 98.48 96.81 -0.21% 0.01% -0.10%
Apr-04 95.09 97.77 96.43 -0.05% -0.72% -0.39%
May-04 95.16 98.29 96.73 0.07% 0.53% 0.31%

Media 96.45 101.65 99.05 -0.04% 0.07% 0.02%

Desviacion Estandar 0.66 4.70 2.59 0.17% 1.56% 0.85% * La LT es mucho menos vola

VaR en % al 95% 1.40%

VaR en $ al 95% $ 1,401,657.47
VaR de c/activo por su participacion en la cartera 0.14% 1.29%
Coeficiente de Correlacion 0.68
VaR en % calculado con matriz de correlaciones 1.39% * Aplica la formula de la varia
VaR en Euros calculado con matriz de correlaciones $ 1,387,303.92

FORMULA DE VARIANZA DE UN PORTAFOLIO

* La LT es mucho menos volatil que el B10
* Aplica la formula de la varianza de un portafolio y le saca la raiz cuadrada
CANTIDAD DE OPERACIONES QUE MIGRAN DE UNA CALIFICACIN A OTRA

NO DEF. INDETERMINADO DEFAULT

A B C D E DEFAULT SUMA
A 1,302 87 10 1 0 0 1,400
B 152 2,826 208 12 1 1 3,200
C 3 163 2,393 129 9 3 2,700
D 0 1 48 1,204 126 21 1,400
E 0 0 5 61 589 145 800
DEFAULT 0 1 1 6 115 377 500
10,000

MATRIZ DE TRANSICIN A 1 AO
NO DEF. INDETERMINADO DEFAULT
A B C D E DEFAULT
A 93.00% 6.21% 0.71% 0.07% 0.00% 0.00%
B 4.75% 88.31% 6.50% 0.38% 0.03% 0.03%
C 0.11% 6.04% 88.63% 4.78% 0.33% 0.11%
D 0.00% 0.07% 3.43% 86.00% 9.00% 1.50%
E 0.00% 0.00% 0.63% 7.63% 73.63% 18.13%
DEFAULT 0.00% 0.20% 0.20% 1.20% 23.00% 75.40%

MATRIZ DE TRANSICIN A 2 AOS

A B C D E DEFAULT
A 86.79% 11.31% 1.70% 0.19% 0.01% 0.00%
B 8.62% 78.68% 11.55% 0.97% 0.11% 0.07%
C 0.49% 10.69% 79.11% 8.39% 1.00% 0.32%
D 0.01% 0.33% 6.05% 74.83% 14.72% 4.06%
E 0.00% 0.08% 1.31% 12.42% 59.06% 27.13%
DEFAULT 0.01% 0.34% 0.53% 3.70% 34.38% 61.04%

MATRIZ DE TRANSICIN A 2 AOS

A B C D E DEFAULT
A 81.25% 15.48% 2.87% 0.35% 0.03% 0.01%
B 11.77% 70.72% 15.45% 1.70% 0.25% 0.13%
C 1.05% 14.26% 71.11% 11.12% 1.83% 0.64%
D 0.03% 0.72% 8.05% 65.81% 18.53% 6.86%
E 0.01% 0.21% 2.02% 15.57% 50.85% 31.35%
DEFAULT 0.03% 0.46% 0.95% 6.56% 39.69% 52.31%
PORCIN
14%
32%
27%
14%
8%
5%
Ratios Promedio Sector Industrial

COEFICIENTE AAA AA A BBB BB B CCC

TCI (Cobertura de intereses) 17.1 12.8 8.2 6 3.5 2.5 1.7
Flujo Fondos /Deuda total 98.0% 69.0% 46.0% 33.0% 18.0% 11.0% 9.2%
Flujo Fondos Operativos/Deuda total 60.0% 27.0% 21.0% 7.0% 1.4% 1.2% 1.2%
Margen de Utilidad 23.0% 18.0% 16.0% 14.0% 14.0% 13.0% 13.0%
Endeudamiento (P/PN) 13.0% 21.0% 32.0% 43.0% 56.0% 62.0% 70.0%
Endeudamiento de corto plazo(DCP/PT) 26.0% 34.0% 40.0% 48.0% 59.0% 67.0% 68.0%
Fuente: Standard & Poors
CC C ABC
1.5 1 1.25
6.7% 5.2% 4%
1.0% 1.0% -6.94%
12.0% 10.0% 3.70%
84.0% 98.0% 193%
72.0% 78.0% 78%
APLICACIN DEL CREDIT SCORING

COEF. CLIENTE CLIENTE

DATOS DEL CLIENTE ODD Ratio
LOGIT BBB+ B-
b eb 1 - eb
Edad del Cliente 0.012 50 36 1.0121 -1%
Crditos concedidos en el ultimo ao -0.160 2 2 0.8521 15%
Nmero total de cuotas pagadas en historial de crdito -0.017 50 36 0.9831 2%
Nmero total de cuotas en morosidad 0.153 0 1 1.1653 -17%
Tiempo de asesoramiento dedicado al cliente en das -0.208 15 4 0.8122 19%
Duracin de la operacin en meses 0.080 10 5 1.0833 -8%
Garanta (0 sin garanta) y (1 con garanta) -0.377 0 1 0.6859 31%
Nmero de das de mayor morosidad del cliente 0.927 0 1 2.5269 -153%
Comisin de gestin del crdito 0.017 0% 2% 1.0171 -2%
Variacin anual de la tasa de inters de mercado 0.990 -5.30% -5.30% 2.6912 -169%
Variacin anual del incdice de la bolsa -0.489 41.39% 41.39% 0.6132 39%
Variacin anual de la tasa municipal de luz 0.800 7.69% 7.69% 2.2255 -123%
Constante -2.141
Puntuacin Scoring (Z) -5.2243 -2.5630
PD (Probabilidad Default) 0.54% 7.16%
RENTABILIDAD DE LOS CLIENTES SEGN BASILEA I Y II

CONCEPTO CLIENTE 1 CLIENTE 2

Tasa de Inters 20% 20%
Importe crdito 1010 1010
Tasa libre de riesgo 3% 3%
Costos Operativos 10% 10%
Costo fondos ajenos 5% 5%
Tasa impositiva 35% 35%
BASILEA I
Ponderacin 100% 100%
Provisin 10.1 50.5
Coeficiente RRPP Basilea I 8% 8%
Fondos propios 80.0 76.8
Fondos ajenos 930.0 933.2
Ingresos financieros 202.0 202.0
Costos financieros 46.5 46.7
Costos operativos 101.0 101.0
Rentabilidad Cliente 44.29% 46.01%
BASILEA II IRB
Rating BBB+ B-
PD 0.38% 7.74%
LGD 45% 45%
Perdida Esperada 1.71 35.18
Ponderacin 22.05% 56.46%
RWA 222.71 570.25
Coeficiente Basilea II IRB 10% 10%
Fondos propios 22.27 57.02
Fondos ajenos 987.73 952.98
Total 1010 1010
Superavit/deficit fondos propios 57.72 19.74
Ingresos financieros 202 202
Costos financieros 49.39 47.65
Costos operativos 101 101
Rentabilidad ajustada al riesgo (RORAC) 145.66% 20.71%
Rentabilidad objetivo 35.0% 35.0%
Precio 20% 20%
Coeficientes de riesgo vigentes segn Basilea I

SITUACION ACTUAL PAISES ZONA A PAISES ZONA B

Soberano 0% 100%
Gobiernos regionales y locales Igual que las entidades de crdito
Empresas pblicas Igual que las empresas
Entidades de crdito 20% 100%
Empresas 100% 100%
Coeficientes propuestos en Basilea II.

BASILEA II AAA a AA- AA+ a A- BBB+ a BBB- BB+ a BB- B+ a B-

Soberano 0% 20% 50% 100% 100%

Gobiernos Regionales y Locales Igual que la entidades de crdito
Empresas Pblicas Igual que la entidades de crdito
Entidades de Crdito
Opcin 1 20% 50% 50% 100% 100%
Opcin 2 20% 50% 100% 100% 100%
Empresas 20% 50% 100% 100% 150%
Opcin 1: Ponderacin basada en la calificacin de un organismo externo de la evaluacin.
Opcin 2: Ponderacin basada en la calificacin asignada al pas en la que esta establecida la entidad ms un escaln.
 Comparacin de los requerimientos de capital para obligaciones corporativas
(empresas) segn Basilea I y el mtodo estndar de Basilea II

Por debajo No
clasificados
Rating de crdito externo AAA a AA- A+ a A-
de B-
150% 100% Ponderacin de riesgo segn Basilea II 20% 50%
de crdito Requerimientos de capital segn Basilea II 1,6% 4%
de crdito Ponderacin de riesgo segn Basilea I 100% 100%
Requerimientos de capital segn Basilea I 8% 8%
150% 50%
150% 100%
150% 100%
LGD
la entidad ms un escaln. Crditos a empresas, gobiernos y entidades 45%
financieras (sin garantas)
Obligaciones subordinadas corporativas 75%
Garantizadas con ctas a cobrar 40%
nes corporativas

No
BBB+ a BB- Inferior a BB-
calificada
100% 150% 100%
8% 12% 8%
100% 100% 100%
8% 8% 8%