voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2024-12-69-85voprecotest-4961Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSТеоретическая модель определения макропруденциальных надбавок по валютным кредитамTheoretical model of macroprudential add-ons to risk-weights for foreign-currency denominated loanshttps://orcid.org/0000-0003-2274-189XПеникасГ. И.PenikasH. I.

Пеникас Генрих Иозович - д. э. н., руководитель проекта Департамента исследований и прогнозирования Банка России.

Москва

Henry I. Penikas.

Moscow

penikas@gmail.comБанк РоссииРоссияBank of RussiaRussian Federation2024041220240126985Copyright © Voprosy Ekonomiki, NP, 20242024Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/4961

Предложено развитие модели Мертона-Васичека для учета валютных кредитов в портфеле ссуд и определения величины валютных макронадбавок к риск-весам в нормативе достаточности капитала. Показано, как величина надбавок зависит от волатильности обменного курса, от соотношения валютных активов и пассивов типичных заемщиков в таком портфеле ссуд. Дополнительно обоснована целесообразность аддитивного, а не мультипликативного учета валютного курса в теоретической модели.

We offer a Merton-Vasicek model extension to account for the presence of foreign-currency denominated loans in the portfolio and to derive the value of the macroprudential add-ons to risk-weights in the capital adequacy ratio. We show how the add-ons depend upon the foreign-currency exchange rate volatility, and upon the ratio of foreign-currency denominated assets and liabilities of typical borrowers within such a loan portfolio. In addition, we explain why it is worth accounting for the exchange rate in the additive, and not multiplicative form in the theoretical model.

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The authors declare that there are no conflicts of interest present.