Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
[New Management Tool for Credit Risk analysis: An aplication for Financial Institution in Ecuador]
AbstractIn the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty, giving place to which they have capable tools for monitoring the risk and the concentration in a credit portfolio, and to generate credit policies to mitigate the risk assumed in the portfolio by means of the provisions, the economic capital and limits to the amounts of the credits. For which the models apply themselves copulas to quantify the existing dependence between the unfulfilled credits and to determine this way the distribution of loss of a portfolio from the models of latent variables, mixture and credit concentration.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 17163.
Date of creation: 30 Dec 2008
Date of revision: 30 Dec 2008
Publication status: Published in Cuestiones Económicas 2.2(2008): pp. 5-75
Credit Risk; Credit Portfolio Models; Multivariate binary copula; Credit Concetration; mixture models; latent variable models;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alexander Zapata Galindo, 2004. "MODELANDO EL RIESGO DE CRÉDITO: Matrices de transición para la cartera comercial," APUNTES DE BANCA Y FINANZAS 003226, ASOBANCARIA.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- Michael B. Gordy, 1998.
"A comparative anatomy of credit risk models,"
Finance and Economics Discussion Series
1998-47, Board of Governors of the Federal Reserve System (U.S.).
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
- Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
- Freire González, Paulo Alejandro & Vivar Aguilar, Mayra Isabel & Maldonado, Diego, 2010.
"Un nuevo enfoque para el análisis y calificación del Sistema Cooperativo Ecuatoriano
[A new approach to the analysis and rating Ecuadorian Cooperative System]," MPRA Paper 21463, University Library of Munich, Germany, revised 05 Mar 2010.
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