This paper describes a statistical sample design to measure portfolio- at-risk in microfinance. It applies the design to the microfinance portfolio of Banco do Nordeste in Brazil. Statistical audit sampling requires no special knowledge of statistics and is useful for due- diligence inspections by possible creditors, possible owners, or in preparation for the possible securitization of a portfolio. The sample design here stratifies by branch and by loan officer because errors in the record of arrears in the management-information system are likely to vary along these dimensions. Because errors may also vary by loan size and are more costly for large loans than for small loans, loans are sampled with probability proportional to size. This implicitly stratifies the sample by amount outstanding. Furthermore, the design samples all of the largest loans and all rescheduled loans. Given these strata, given a definition of portfolio-at-risk (for example, the outstanding balance of all loans with at least one payment at least one day overdue), given a desired upper bound on the accuracy of the estimated proportion of the portfolio-at-risk (for example, 2 percentage points), and given a desired precision for the confidence interval (for example, 90 percent), the paper tells (a) how many cases to draw; (b) how to estimate the proportion of the portfolio-at-risk; and (c) how to estimate the dollar amount of the portfolio-at-risk.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Length: Date of creation: 05 Sep 2001 Date of revision: Handle: RePEc:wpa:wuwpco:0109001
Note: Type of Document - Adobe Acrobat 3.0; prepared on Windows 98; to print on Adobe Acrobat 3.0; pages: ; figures: Included in pdf file Contact details of provider: Web page: http://129.3.20.41
For technical questions regarding this item, or to correct its listing, contact: (EconWPA).
Related research
Keywords:
Find related papers by JEL classification: C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs J23 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Demand O54 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean
This paper has been announced in the following NEP Reports:
References listed on IDEAS 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.: