Crisis financiera y regulación de la solvencia bancaria
Una revisión crítica sobre los acuerdos de Basilea
Palabras clave:
regulación bancaria, Comité de Basilea, adecuación del capitalResumen
El objetivo de este artículo es doble. Por una parte, presentar las líneas maestras y la evolución de la regulación bancaria durante los últimos tiempos, con especial atención a las propuestas del Comité de Supervisión Bancaria de Basilea en relación con la adecuación del capital o recursos propios de las entidades de crédito. Por otro lado, ofrecer un debate y análisis crítico acerca de tales propuestas, resaltando sus limitaciones y sus efectos en el desarrollo de la Gran Recesión iniciada en 2007, sin olvidar efectuar un breve repaso de las recientes medidas adoptadas por el mencionado Comité en diciembre de 2010. La regulación bancaria mantiene su importancia para asegurar la estabilidad financiera; e incluso parece más necesaria que nunca, a la vista de los mayores o nuevos riesgos derivados del sobreendeudamiento, la volatilidad y las innovaciones. Muy en concreto, el control prudencial mediante la vigilancia del capital puede contribuir a reforzar la solvencia bancaria. Sin embargo, los métodos aplicados para evaluar y cubrir los riesgos asumidos muestran una fragilidad llamativa. Por tanto, las recomendaciones de ese Comité, extensas y muy complejas en sus detalles técnicos, suscitan numerosos interrogantes. ¿No habríamos de ir un poco más allá de ellas?
Descargas
Citas
Aglietta, M.; Scialom, L. y Sessin, T. (2000): "Pour une politique prudentielle européenne", Revue d'Économie Financière, núm. 60, pp. 59-84. https://doi.org/10.3406/ecofi.2000.3647
Allen, F. y Carletti, E. (2010): "La comptabilité mark-to-market en période de crise", Revue d'Économie Financière, núm. 100, pp. 201-209.
https://doi.org/10.3406/ecofi.2010.5831
Altman, E.I. y Saunders, A. (2001): "An analysis and critique of the BIS proposal on capital adequacy and ratings", Journal of Banking and Finance, vol. 25, pp. 25-46. https://doi.org/10.1016/S0378-4266(00)00116-3
Atik, J. (2010a): "Basel II: a post-crisis post-mortem", Transnational Law and Contemporary Problems, vol. 19, pp. 731-759.
Atik, J. (2010b): "Basel II and extreme risk analysis", Legal studies paper núm. 2010-40, Loyola Law School, Los Angeles (CA).
https://doi.org/10.2139/ssrn.1677682
Bebchuk, L.A. (2010): "How to fix bankers' pay", Daedalus, vol. 139, pp. 52-60. https://doi.org/10.1162/DAED_a_00042
Beltratti, A. y Stulz, R.M. (2009): "Why did some banks perform better during the credit crisis?: a cross-country study of the impact of governance and regulation", working paper núm. 2009-12, Charles A Dice Center for Research in Financial Economics, Ohio State University, Columbus (OH). https://doi.org/10.3386/w15180
Ben Jelloul, M. (2010): "Réforme financière de Bâle III: chemin parcouru et enjeux futurs", La Note d'Analyse (Centre d'Analyse Stratégique), núm. 209, pp. 1-11.
Benink, H. y Kaufman, G. (2008): "Turmoil reveals the inadequacy of Basel II", Financial Times, 28 de febrero.
Benston, G.L. y Kaufman, G.G. (1996): "The appropriate role of bank regulation", Economic Journal, vol. 106, pp. 688-697.
https://doi.org/10.2307/2235577
Blommestein, H.J. (2010): "Risk management after the Great Crash", Journal of Financial Transformation, vol. 28, pp. 131-137.
Blum, J. (1999): "Do capital adequacy requirements reduce risks in banking?", Journal of Banking and Finance, vol. 23, pp. 755-771.
https://doi.org/10.1016/S0378-4266(98)00113-7
Borio, C. (2009): "L'approche macroprudentielle appliqué à la régulation et à la surveillance financières", Revue de la Stabilité Financière, núm. 13, pp. 35-46.
Bühler, W. y Prokopczuk, M. (2007): "Systemic risk: is the banking sector special?", working paper, Department of Business Administration and Finance, University of Mannheim, Mannheim. https://doi.org/10.2139/ssrn.1007642
Cantor, R. (2001): "Moody's investors service response to the consultative paper issued by the Basel Committee on Bank Supervision 'A new capital adequacy framework'", Journal of Banking and Finance, vol. 25, pp. 171-185. https://doi.org/10.1016/S0378-4266(00)00121-7
Carrillo Menéndez, S. y Lamothe, P. (2001): "Nuevos retos en la medición del riesgo de mercado", Perspectivas del Sistema Financiero, núm. 72, pp. 53-65.
Chen, C.R.; Steiner, T.L. y Whyte, A.M. (2006): "Does stock option-based executive compensation induce risk-taking?: an analysis of the banking industry", Journal of Banking and Finance, vol. 30, pp. 915-945. https://doi.org/10.1016/j.jbankfin.2005.06.004
Clerc, L.; Drumetz, F. y Jaudoin, O. (2001): "Dans quelle mesure les normes prudentielles et comptables sont-elles pro ou contra-cycliques?, Bulletin de la Banque de France, núm. 87, pp. 45-62.
Crouhy, M. (2008): "Les mesures de risque et leurs limites", en Patrick Artus, Jean-Paul Betbèze, Christian de Boissieu y Gunther Capelle-Blancard (comps.), La crise des subprimes, París: La Documentation française, pp. 155-162.
Daníelsson, J. (2008): "Blame the models", Journal of Financial Stability, vol. 4, pp.321-328. https://doi.org/10.1016/j.jfs.2008.09.003
Demirag, I.S. (1996): "Short-termism", en M. Warner (ed.), International encyclopedia of business and management, Londres: Routledge, pp. 4454-4462.
Demirgüç-Kunt, A. y Detragiache, E. (2010): "Basel core principles and bank risk: does compliance matter?", working paper 10/81, International Monetary Fund, Washington (DC). https://doi.org/10.5089/9781451982671.001
Dewatripont, M.; Rochet, J.C. y Tirole, J. (2010): "Introduction", en M. Dewatripont, J.C. Rochet y J. Tirole (eds.), Balancing the banks: global lessons from the financial crisis, Princeton (NJ): Princeton University Press, pp. 1-9. https://doi.org/10.1515/9781400834648.1
DeYoung, R.; Peng, E.Y. y Yan. M. (2010): "Executive compensation and business policy choices in US Commercial banks", working paper núm. 10-02, Economic Research Department, Federal Reserve Bank of Kansas City, Kansas City (MO).
Dorn, N. (2010): "Ponzi finance and state capture: the crisis of financial market regulation", en P. Van Duyne, G. Antolopoulos, J. Harvey, A. Maljevic, T. Vander Beken y K. von Lampe, K (eds.), Cross-border crime inroads on integrity, Oisterwijk: Wolf Legal Publishers, pp. 235-255.
Dowd, K.; Cotter, J.; Humphrey, C. y Woods, M. (2008): "How unlucky is 25-Sigma?", Journal of Portfolio Management, vol. 34, pp. 76-80.
https://doi.org/10.3905/jpm.2008.709984
Eccles, M.S. (1951): Beckoning frontiers, Nueva York: Knopf.
Evanoff, D.D. y Wall, L.D. (2001): "SND risk spreads as bank risk measures", Journal of Financial Services Research, vol. 19, pp. 121 146.
https://doi.org/10.2139/ssrn.281426
Fahlenbrach, R. y Stulz, R.M. (2009): "Bank CEO incentives and the credit crisis", working paper núm. 2009-13, Charles A Dice Center for Research in Financial Economics, Ohio State University, Columbus (OH). https://doi.org/10.3386/w15212
Fox, J. (2009): The myth of the rational market: a history of risk, reward, and delusion on Wall Street, Nueva York: Harper Business.
Galati, G. y Moessner, R. (2010): "Macroprudential policy: a literature review", working paper núm. 267, De Nederlandsche Bank, Amsterdam. https://doi.org/10.2139/ssrn.1950093
Glavan, S. (2010): "Fair value accounting in banks and the recent financial crisis", Estabilidad Financiera, núm. 19, pp. 53-69.
Greenspan, A. (1998): "Wanted: bank regulators who act more like the market", Secondary Mortgage Markets, vol. 15, pp. 5-10.
Griep, C. y De Stefano, M. (2001): "Standard & Poor's response to the Basel Committee's proposal", Journal of Banking and Finance, vol. 25, pp. 149-169. https://doi.org/10.1016/S0378-4266(00)00120-5
Halimi, S. (2006): Le grand bond en arrière, París: Fayard.
Haugen, R.A. (1999): New finance: the case against efficient market, Upper Saddle River (N.J.): Prentice Hall, 2 ª ed.
Hayek, F.A. (1949): "The intellectuals and socialism", University of Chicago Law Review, vol. 16, pp. 417-433. https://doi.org/10.2307/1597903
Hellwig, M. (2010): " Capital regulation after the crisis: business as usual?", working paper, Max Planck Institute for Research on Collective Goods, Bonn. https://doi.org/10.2139/ssrn.1645224
Herring, R.J. (1999): "Credit risk and financial instability", Oxford Review of Economic Policy,vol. 15, pp. 63-79.
https://doi.org/10.1093/oxrep/15.3.63
Herring, R.J. y Santomero, A.M. (1999): "What is optimal financial regulation?", working paper núm. 00-34, Wharton Financial Institutions Center, University of Pennsylvania, Filadelfia (PA).
Hill, A. (1998): Corporate finance, Londres: Financial Times.
Jobst, A.A. (2007): "The treatment of operational risk under the new Basel framework: critical issues", Journal of Banking Regulation, vol. 8, pp. 316-352. https://doi.org/10.1057/palgrave.jbr.2350055
Jones, D. (2000): "Emerging problems with the Basel capital accord: regulatory capital arbitrage and relates issues", Journal of Banking and Finance, vol. 14, pp. 35-58. https://doi.org/10.1016/S0378-4266(99)00052-7
Karacadag C. y Taylor, M.W. (2000): "The new capital adequacy framework: institutional constraints and incentives structures", working paper, núm. 00/93, International Monetary Fund, Washington (DC). https://doi.org/10.5089/9781451851649.001
Kaufman, G.G. (2005): "Basel II vs. prompt corrective action: which is best for public policy", Financial Markets, Institutions and Instruments, vol. 14, pp. 349-357. https://doi.org/10.1111/j.0963-8008.2005.00111.x
Kawai, M. y Pomerleano, M. (2010): "Regulating systemic risk", working paper núm. 189, Asian Development Bank Institute, Tokio.
https://doi.org/10.2139/ssrn.1581303
Kjeldsen, K. (1997): "Value-at-risk and capital adequacy: the challenges for financial regulation", European Investment Bank Papers, vol. 2, pp. 73-87.
Kupiec, P. y O'Brien, J. (1995). "The use of bank trading risk models for regulatory capital purpose", Finance and economics discussion papers núm. 95-11, Federal Reserve Board, Washington (DC).
Lapeyre, H. (1955): Une famille de marchands: les Ruiz, Armand Colin, París.
Lekatis, G.J. (2009): "Basel II and liquidity risk after the financial crises". Disponible en http://ezinearticles.com.
Llewellyn, D.T. (1999): "The economic rationale of financial regulation", occasional paper núm. 1, Financial Services Authority, Londres.
Lordon, F. (2009): "Après la crise financière: «réguler» ou refondre?: les insuffisances des stratégies prudentielles", Revue de la Régulation, núm. 5, pp. 1-28. https://doi.org/10.4000/regulation.7461
Martín Marín, J.L.; Oliver Alfonso, M.D. y Torre Gallegos, A. de la (1997): "Value-at-risk: un modelo de control del riesgo de mercado", Revista Europea de Dirección y Economía de la Empresa, vol. 6, pp. 139-154.
Mingo, J.J. (2000): "Policy implications of the Federal Reserve study of credit risk models at major US banking institutions", Journal of Banking and Finance, vol. 24, pp. 15-33. https://doi.org/10.1016/S0378-4266(99)00051-5
Minsky, P.H. (1992): "The financial instability hypothesis", working paper núm. 74, Levy Economics Institute of Bard College, Annandale-on-Hudson, Nueva York.
Moosa, I.A. (2008): Quantification of operational risk under Basel II: the good, bad and ugly, Londres: Palgrave.
https://doi.org/10.1057/9780230595149
Moosa, I.A. (2010): "Basel II as a casualty of the global financial crisis", Journal of Banking Regulation, vol. 11, pp. 95-114.
https://doi.org/10.1057/jbr.2010.2
Morris, C.H. (2008): The trillion dollar meltdown, Nueva York: Public Affairs.
Mülbert, P.O. (2010): " Corporate governance of banks after the financial crisis: theory, evidence, reforms", Law working paper núm. 130, European Corporate Governance Institute, Bruselas. https://doi.org/10.2139/ssrn.1448118
OCDE (2010): La crise financière: réforme et stratégies de sortie, París.
Papanikolaou, N.I. y Wolff, C.C.P. (2010): "Leverage and risk in US commercial banking in the light of the current financial crisis", working paper, Luxembourg School of Finance, University of Luxembourg, Luxemburgo.
Patat, J.P. (2000): "La stabilité financière, nouvelle urgence pour les banques centrales", Bulletin de la Banque de France, núm. 84, pp. 49-61.
Plihon, D. (2000): "Quelle surveillance prudentielle pour l'industrie de services financiers?, Revue d'Économie Financière, núm. 60, pp. 17-32. https://doi.org/10.3406/ecofi.2000.3644
Plihon, D. (2006): "Instabilité financière et risque systémique: l'insuffisance du contrôle macroprudentiel", Cahiers Français, núm. 331, pp. 85-90.
Plihon, D. (2010): "La réforme de la régulation financière", Cahiers Français, núm. 359, pp. 90-95.
Rebonato, R. (2007): The plight of the fortune tellers: why we need to manage financial risk differently, Princeton (NJ): Princeton University Press.
Repullo, R. y Suárez, J. (2009): "The procyclical effects of bank capital regulation", discussion paper núm. 2010-05S, European Banking Center, Tilburg University, Tilburg. https://doi.org/10.2139/ssrn.1573672
Revell, J.R.S. (1975): Solvency and regulation of banks, Cardiff: University of Wales Press.
Rodarie, H. (2008): "La crise financière de 2007 doit produire de nouveaux modèles de risque", Revue d'Économie Financière, número fuera de serie, pp. 1-5. https://doi.org/10.3406/ecofi.2008.5198
Rodríguez Fernández, J.M. (1986), "Regulación bancaria y coeficientes de recursos propios", Anales de Estudios Económicos y Empresariales, núm. 1, pp. 217-242.
Rodríguez Fernández, J.M. (1990): "Aproximación al análisis económico de la empresa bancaria: una síntesis teórica", Anales de Estudios Económicos y Empresariales, núm. 5, pp. 193-225.
Rodríguez Fernández, J.M. (2001): "Regulación bancaria y nuevo acuerdo de capital de Basilea", Ekonomiaz, núm. 48, pp. 192-227.
Santos, J.A.C. (2000): "Bank capital regulation in contemporary banking theory: a review of the literature", working paper núm. 90, Bank for International Settlements, Basilea. https://doi.org/10.2139/ssrn.248314
Sepe, S.M. (2010): "Making sense of executive compensation", Arizona legal studies discussion paper núm. 10-42, James E. Rogers College of Law, University of Arizona, Tucson (AR).
Shiller, R.J. (2001): Irrational exuberance, Princeton Press (NJ): Princeton University Press.
Shleifer, A. (2000): Inefficient markets: an introduction to behavioral finance, Oxford: Oxford University Press.
https://doi.org/10.1093/0198292279.001.0001
Silipo, D.B (2010): "It happened again: a Minskian analysis of the subprime loan crisis", Journal of Economics and Business, en prensa.
https://doi.org/10.1016/j.jeconbus.2010.06.003
Sollis, R. (2009): "Value at risk: a critical overview", Journal of Financial Regulation and Compliance, vol. 17, pp. 398-414.
https://doi.org/10.1108/13581980911004370
Varotto, S. (2010): "Stress testing credit risk: the Great Depression scenario", working paper, ICMA Centre, Henley Business School, University of Reading, Reading. https://doi.org/10.2139/ssrn.1570137
Wei, R. (2006): "Quantification of operational losses using firm-specific information and external database", Journal of Operational Risk, vol. 1, pp. 3-34. https://doi.org/10.21314/JOP.2007.017
Wihlborg, C. (2005): "Basel II and the need for bank distress resolution procedures", Financial Markets, Institutions and Instruments, vol. 14, pp. 359-369. https://doi.org/10.1111/j.0963-8008.2005.00112.x
Zingales, L. (2010): "Learning to live with not-so-efficient markets", Daedalus, vol. 139, pp. 31-40. https://doi.org/10.1162/DAED_a_00040