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Crisis Bancarias Y Alternativas Para Modelar El Riesgo De Crédito; En Busca Del Mejor Indicador

Author

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  • Daniel Vázquez Gotera

    (Daniel Vázquez Gotera)

Abstract

El objetivo de la presente investigación es encontrar entre un grupo de indicadores que modelan el riesgo de crédito, cuál es el más efectivo para identificar una situación de vulnerabilidad del sistema bancario. Se analizaron las características de tres indicadores y utilizando un método probit con efectos aleatorios, para una panel con datos de 17 países, se encontró que el indicador propuesto por el FMI y la razón de las tasas de crecimiento del crédito al sector privado y del PIB, explican de manera efectiva diferentes grados de vulnerabilidad.

Suggested Citation

  • Daniel Vázquez Gotera, 2004. "Crisis Bancarias Y Alternativas Para Modelar El Riesgo De Crédito; En Busca Del Mejor Indicador," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(4), pages 391-424, Diciembre.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:4:p:391-424
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/190
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    More about this item

    Keywords

    Banco; Riesgo; Vulnerabilidad; Crisis; Indicadores de Alerta;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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