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Análisis comparativo del riesgo crediticio: una aproximación no paramétrica

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Author Info

  • Angela González Arbeláez

    ()

  • Juan Carlos Mendoza

    ()

  • Hernán Piñeros G.

    ()

Abstract

El objetivo de este documento es realizar una estimación de la distribución de pérdidas de las carteras comercial y de microcrédito mediante una aproximación no paramétrica. Se utilizó la metodología de bootstrapping para encontrar esta distribución de pérdidas como porcentaje del portafolio para ambas carteras. Los resultados muestran que la de microcrédito exhibe una pérdida esperada mayor a la comercial, lo que lleva a que sea necesario constituir más provisiones por peso otorgado. Por su parte, la cartera comercial presenta pérdidas no esperadas superiores, por lo que el nivel de capital que se debe exigir es mayor que para microcrédito. Adicionalmente, las pérdidas esperadas de la cartera de microcrédito no muestran una relación clara con el ciclo económico, en contraste con la comercial.

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File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2010/Tema3_sept.pdf
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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 050.

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Handle: RePEc:bdr:temest:050

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Related research

Keywords: Distribución de pérdidas; microcrédito; probabilidad de incumplimiento; riesgo de crédito Classification JEL: C14; C15; G21; G32;

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