Los modelos de valoración de opciones en la gestión del riesgo de crédito¿una alternativa?

  1. Trujillo-Ponce, Antonio
  2. Martín Marín, José luis
Boletín de estudios económicos

ISSN: 0006-6249

Year of publication: 2003

Issue Title: Logística

Volume: 58

Issue: 179

Pages: 329-366

Type: Article

More publications in: Boletín de estudios económicos


The Basel Committee on Banking Supervision issued, in January 2001, its second proposal for a New Capital Accord (Basel Two) that, once finalised, will replace the current 1988 Accord. The New framework is intended to align regulatory capital requirements more closely with underlying risks, and to provide banks and their supervisors with several options for the assessment of capital adequacy. Banks with more advanced risk management capabilities can make use of an internal ratings-based approach. Under this approach, some of the key elements of credit risk, such as the probability of default of the borrower, will be estimated internally by a bank. In this paper, we focus on the option pricing, or structural approach, as proposed by KMVand which is based on the asset value model originally proposed by Merton (1974). In this model the default process is endogenous, and relates to the capital structure of the firm. Default occurs when the value of the firm’s assets falls below some critical level.