LA REGULACIÓN DE BASILEA II Y SU IMPACTO EN EL SECTOR BANCARIO MEXICANO: UN ENFOQUE DE ADMINISTRACIÓN DE RIESGOS

Abstract

The aim of the thesis is to demonstrate that measures and standard suggested by the New Capital Agreement named Basilea II, are not the most adequate to be applied in the Mexican banking secotr, due to its inefficiency from the point of view of the regulation theory and the risk coherent measures, increasing the probability of a systemic risk by assessing inadequately the risk in the market, credit and operation. The results show that the standard measure to quantify risk in the market and credit named Risk Value (VaR), and the estimation of volatility throughout the Variance are not coherent measures of risk, meaning that the use of alternative measures is required such as the Conditional VaR (CVAR) that fulfill with the subadditivity and therefore reduces the bias in risk estimations. Also, the thesis proposes the explication in a multifactorial way of the financial crisis of 2007-2009, detonated by the break of the subprime mortgage and the subsequent period of high volatility in financial markets. Bank behavior is examined when fund operations were suspended with mortgage backed up or collateralized instruments, situation that at the same time, lead to a lack of liquidity in the financial system, forcing the state to a haste rescue. For that, an stochastic differential equations system is suggested with reverse in the medium that links the bank capital requirement with:1) risky actives, 2) volatility in the financial system, 3) the premium to the market risk, 4) the real interest rate, 5) the inflation level and 6) the economic activity. In the suggested model it is assumed that the banks can suffer “bank run” when the capital requirement is underneath the VaR type threshold (value in risk) as considered by the Basilea II regulation, while a detection of the mechanism where such “run” can be transmitted to the rest of the financial system is trying to be found, which explains the employment of a Monte Carlo simulation. The results show that the irresponsible behavior of the banks can condition the breakdown of the rest of the system, depending on the relative size of these, and by the use that the derivative financial products execute and the popular stock marketing. Additionaly, the effect of the crisis upon the banking sector in Mexico and the United States is analyzed by estimating the VaR and CVAR of the portfolio of some banks, and the slowness in paying index, rentability and the Credit Default Swap (CDS). Finally, an estimation of the Z-score Altman model is made to determine the default probability of a sample of banks. The results show a strength of the Mexican banking system and the good levels of capital TIER1 that can be explained, in the wake of the prudential norms incorporated since the 1994 crisis and the introduction of the Basilea regulation since 2007. Nonetheless, the recent debt crisis in Europe and the potential spreading to the international bank, glimpses a scenario where the actual regulation has been ineffective to hold the uncertainty upon the future of the global banking system and in particular that of Greece and Europe.