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Uso de las cópulas de supervivencia en la estimación de un modelo de riesgo crediticio

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Author Info

  • Oscar Pacheco

    ()

  • ÿJaime Huertas
  • Armando Palencia

    ()

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    Abstract

    En este artículo se presenta un modelo del riesgo de crédito a partir de la estimación de la distribución de probabilidad conjunta de incumplimiento y de prepago mediante el uso de cópulas de supervivencia. Se extiende el modelo de Georges et al (2001) teniendo en cuenta la censura por la derecha, el uso de covariables, la cópula de Cook-Jhonson-Clayton y una marginal Weibull. Se ilustra el uso del modelo de riesgo de crédito extendido calculando las probabilidades de incumplimiento para 700 individuos de una institución crediticia del sector solidario colombiano.

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    Bibliographic Info

    Paper provided by UNIVERSIDAD EXTERNADO DE COLOMBIA in its series DOCUMENTOS DE MATEMATICA Y ESTADISTICA with number 009898.

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    Length: 0
    Date of creation: 20 Aug 2012
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    Handle: RePEc:col:000413:009898

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    Related research

    Keywords: Riesgo crediticio; Análisis de supervivencia; Cópulas.;

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