CARACTERIZACIÓN Y ESTIMACIÓN DEL RIESGO CAMBIARIO CREDITICIO EN ECONOMÍAS PARCIALMENTE DOLARIZADAS

Some emerging economies present high financial dollarization both in loans and deposits. This generates a specific risk in the banking activity. The exchange credit risk is estimated as the expected loss resulting of a loan in foreign currency taken by an agent who receives its income in local currency. The purpose of this paper is to quantify this risk as the price of an option in a portfolio equivalent to this loan, and also to discuss the implications on the financial stability due to the (implicit) issuance of these options by the banks. In general terms, the authors argue that the aggregate risk resulting from this risk diminishes with the development of a market currency options. In order to price options the exchange rate is modeled through a Levy process. The depth of the market considered in the pricing process depends on the type of the currencies involved.