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Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas

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Author Info
Adán Díaz-Hernández
José C. Ramírez-Sánchez () (Tecnológico de Monterrey, Campus Ciudad de México)
Abstract

This paper discusses a new methodology to estimate the economic capital by credit risk for a retail portfolio based on the general concepts of copula and dependence measures as well as some core results of the Extreme Value Theory (EVT). The superiority of the proposed approach over the traditional estimation techniques is demonstrated in the application of Elliptical Generalized copulas and Grouped copulas of the t Student type to model the dependence structure of the risk parameters PD, EAD and LGD. Furthermore, the POT method is used to analyze the extreme losses behavior.

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File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/AD-JRVfin.pdf
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Publisher Info
Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

Volume (Year): 2 (2008)
Issue (Month): 1 ()
Pages: 20-43
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ega:rafega:200803

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Web page: http://www.ccm.itesm.mx/egap/
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Related research
Keywords: Capital Económico; Riesgo de Crédito; Cópulas; Valores Extremos;

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
Y - Miscellaneous Categories
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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This page was last updated on 2009-11-18.

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