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The Anáhuac journal
versión On-line ISSN 2683-2690versión impresa ISSN 1405-8448
Resumen
CHAVEZ, José Juan. Large Exposures: Implicit Credit Risk Concentration add-ons and the Basel Framework. The Anáhuac j. [online]. 2024, vol.24, n.1, pp.114-159. Epub 26-Ago-2024. ISSN 2683-2690. https://doi.org/10.36105/theanahuacjour.2024v24n1.05.
The Basel large exposures standard, addressed to banks, is in the process of being implemented, and although the new rule is reducing the limit for the large credit exposures in banks, and is geared to better control the portfolio risk parameters that make a portfolio more prone to losses due to credit concentration, it is important to know the share of risk and capital implicit to this new rule. In this work, the implicit add-ons for credit risk concentration are determined through a Monte Carlo credit risk model, and the results are compared with current capital requirements. The author also analyzed the complete Basel framework to understand how the concentration risk is addressed in an integrated approach rather than with a specific capital supplement.
Palabras llave : large exposures; LEX; credit risk concentration add-ons; granularity adjustment; HHI; ICAAP; CVaR.