Capacidad total de absorción de pérdidas – hacia una metodología simple y eficiente
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Resumen
La correcta resolución de una entidad bancaria está sujeta principalmente al nivel de capital y deuda con capacidad de absorber pérdidas presentes en el momento de la activación del mecanismo de resolución. Este artículo busca proponer una metodología alternativa a la utilizada por reguladores y supervisores bancarios para obtener el nivel necesario de absorción de pérdidas y recapitalización. La metodología propuesta se basa en utilizar probabilidades de impago y tasas de pérdida en caso de impago estresadas, así como también un vector de coeficientes de ajuste para cada subgrupo de exposiciones a riesgo de crédito y riesgo de mercado. La simplicidad y transparencia de los cálculos ofrece importantes ventajas en comparación a los métodos actuales de determinación de los requisitos de capacidad de absorción de pérdidas.
En la segunda parte de este trabajo, se aplica el modelo de cálculo sobre un banco modelo, representativo de un subconjunto del sistema financiero español formado por bancos con un tamaño de activos superior a doscientos mil millones de euros. Los resultados indican que es necesaria una capacidad de absorción de pérdidas y recapitalización de en torno al 27,5%-34% del total de activos ponderados por riesgo. Esta cifra generalmente se sitúa por encima de los actuales requisitos impuestos por distintos reguladores internacionales.
Los resultados de este análisis esperan ser de especial relevancia para reguladores y supervisores bancarios al presentar una alternativa metodológica para la calibración de los requisitos de absorción de pérdidas.
Cómo citar
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