IDEAS home Printed from https://ideas.repec.org/a/col/000129/011430.html
   My bibliography  Save this article

Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia

Author

Listed:
  • Fabián Enrique Salazar Villano

Abstract

Este documento aborda el estudio del riesgo de crédito como un objetivo de la regulación bancaria moder- na, partiendo de la teoría económica hasta llegar a una aproximación cuantitativa concreta. En este sentido, se plantean 2 modelos econométricos para una institución bancaria representativa en la cartera de libre inversión en el municipio de Popayán, Departamento del Cauca (Colombia), con los cuales se logra demostrar que su cartera de libre inversión es de bajo riesgo, aun bajo ciertas características del acreditado y del contrato de crédito, y por otro lado, que el riesgo de incumplimiento es elástico o altamente sensible ante el ciclo económico, e inelástico ante las tasas de interés y desempleo de la ciudad.

Suggested Citation

  • Fabián Enrique Salazar Villano, 2013. "Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia," Estudios Gerenciales, Universidad Icesi, December.
    • Handle: RePEc:col:000129:011430
    as

    Download full text from publisher

    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1737
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Avery, Robert B. & Calem, Paul S. & Canner, Glenn B., 2004. "Consumer credit scoring: Do situational circumstances matter?," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 835-856, April.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Sexton, Donald E, Jr, 1977. "Determining Good and Bad Credit Risks among High- and Low-Income Families," The Journal of Business, University of Chicago Press, vol. 50(2), pages 236-239, April.
    5. Steenackers, A. & Goovaerts, M. J., 1989. "A credit scoring model for personal loans," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 31-34, March.
    6. Robert G. King & Ross Levine, 1993. "Finance and Growth: Schumpeter Might Be Right," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(3), pages 717-737.
    7. Apilado, Vincent P. & Warner, Don C. & Dauten, Joel J., 1974. "Evaluative Techniques in Consumer Finance—Experimental Results and Policy Implications for Financial Institutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(2), pages 275-283, March.
    8. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    9. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    10. Renate Schubert, 1999. "Financial Decision-Making: Are Women Really More Risk-Averse?," American Economic Review, American Economic Association, vol. 89(2), pages 381-385, May.
    11. Uri Gneezy & Aldo Rustichini, 2004. "Gender and Competition at a Young Age," American Economic Review, American Economic Association, vol. 94(2), pages 377-381, May.
    12. Veblen, Thorstein, 1904. "Theory of Business Enterprise," History of Economic Thought Books, McMaster University Archive for the History of Economic Thought, number veblen1904.
    13. David Durand, 1941. "Risk Elements in Consumer Instalment Financing," NBER Books, National Bureau of Economic Research, Inc, number dura41-1, March.
    14. Jianakoplos, Nancy Ammon & Bernasek, Alexandra, 1998. "Are Women More Risk Averse?," Economic Inquiry, Western Economic Association International, vol. 36(4), pages 620-630, October.
    15. Leonardo Gambacorta, 2009. "Monetary policy and the risk-taking channel," BIS Quarterly Review, Bank for International Settlements, December.
    16. José Fernando Moreno Gutiérrez & Luis Fernando Melo Velandia, 2011. "Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito," Borradores de Economia 9079, Banco de la Republica.
    17. Lawrence, Edward C & Arshadi, Nasser, 1995. "A Multinomial Logit Analysis of Problem Loan Resolution Choices in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 202-216, February.
    18. Oliver E. Williamson, 2000. "The New Institutional Economics: Taking Stock, Looking Ahead," Journal of Economic Literature, American Economic Association, vol. 38(3), pages 595-613, September.
    19. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 29-54, June.
    20. Robert B. Avery & Paul S. Calem & Glenn B. Canner, 2004. "Consumer credit scoring: do situational circumstances matter?," BIS Working Papers 146, Bank for International Settlements.
    21. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    22. Haibin Zhu, 2008. "Capital Regulation and Banks' Financial Decisions," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 165-211, March.
    23. José Fernando Moreno Gutiérrez & Luis Fernando Melo Velandia, 2011. "Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito," Borradores de Economia 677, Banco de la Republica de Colombia.
    24. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    25. George A. Akerlof, 1970. "The Market for "Lemons": Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 84(3), pages 488-500.
    26. Paul F. Smith, 1964. "Measuring Risk on Consumer Instalment Credit," Management Science, INFORMS, vol. 11(2), pages 327-340, November.
    27. David Durand, 1941. "Risk Elements in Consumer Instalment Financing, Technical Edition," NBER Books, National Bureau of Economic Research, Inc, number dura41-2, March.
    28. Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985. "Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, vol. 40(1), pages 269-291, March.
    29. Lo, Andrew W., 1986. "Logit versus discriminant analysis : A specification test and application to corporate bankruptcies," Journal of Econometrics, Elsevier, vol. 31(2), pages 151-178, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Evžen Kocenda & Martin Vojtek, 2011. "Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(6), pages 80-98, November.
    2. Elena Ivona DUMITRESCU & Sullivan HUE & Christophe HURLIN & Sessi TOKPAVI, 2020. "Machine Learning or Econometrics for Credit Scoring: Let’s Get the Best of Both Worlds," LEO Working Papers / DR LEO 2839, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    3. Maria Rocha Sousa & João Gama & Elísio Brandão, 2013. "Introducing time-changing economics into credit scoring," FEP Working Papers 513, Universidade do Porto, Faculdade de Economia do Porto.
    4. Şaban Çelik, 2013. "Micro Credit Risk Metrics: A Comprehensive Review," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(4), pages 233-272, October.
    5. Josep M. Argilés, 1998. "Accounting information and the prediction of farm viability," Economics Working Papers 277, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Şaban Çelik & Bora Aktan & Bruce Burton, 2022. "Firm dynamics and bankruptcy processes: A new theoretical model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 567-591, April.
    7. Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Statistics Norway, Research Department.
    8. Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1999. "A multivariate analysis of the determinants of Moody's bank financial strength ratings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(3), pages 267-283, August.
    9. Wolfgang K. Härdle & Rouslan A. Moro & Dorothea Schäfer, 2004. "Rating Companies with Support Vector Machines," Discussion Papers of DIW Berlin 416, DIW Berlin, German Institute for Economic Research.
    10. Hu, Yu-Chiang & Ansell, Jake, 2007. "Measuring retail company performance using credit scoring techniques," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1595-1606, December.
    11. Mohammad Mahdi Mousavi & Jamal Ouenniche & Kaoru Tone, 2023. "A dynamic performance evaluation of distress prediction models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 756-784, July.
    12. Ha-Thu Nguyen, 2015. "How is credit scoring used to predict default in China?," EconomiX Working Papers 2015-1, University of Paris Nanterre, EconomiX.
    13. Anastasios Petropoulos & Vasilis Siakoulis & Evaggelos Stavroulakis & Aristotelis Klamargias, 2019. "A robust machine learning approach for credit risk analysis of large loan level datasets using deep learning and extreme gradient boosting," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
    14. du Jardin, Philippe, 2015. "Bankruptcy prediction using terminal failure processes," European Journal of Operational Research, Elsevier, vol. 242(1), pages 286-303.
    15. Ha-Thu Nguyen, 2014. "Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution," EconomiX Working Papers 2014-26, University of Paris Nanterre, EconomiX.
    16. Anastasios Petropoulos & Vasilis Siakoulis & Evaggelos Stavroulakis & Aristotelis Klamargias, 2019. "A robust machine learning approach for credit risk analysis of large loan-level datasets using deep learning and extreme gradient boosting," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.
    17. Doruk Şen & Cem Çağrı Dönmez & Umman Mahir Yıldırım, 2020. "A Hybrid Bi-level Metaheuristic for Credit Scoring," Information Systems Frontiers, Springer, vol. 22(5), pages 1009-1019, October.
    18. An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
    19. Aaro Hazak & Kadri Männasoo, 2007. "Indicators of corporate default : an EU based empirical study," Bank of Estonia Working Papers 2007-10, Bank of Estonia, revised 04 Sep 2007.
    20. Ravi Kumar, P. & Ravi, V., 2007. "Bankruptcy prediction in banks and firms via statistical and intelligent techniques - A review," European Journal of Operational Research, Elsevier, vol. 180(1), pages 1-28, July.

    More about this item

    Keywords

    Neoinstitucionalismo Riesgo bancario Crédito de consumo Econometría financiera;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000129:011430. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Coordinador ICESI (email available below). General contact details of provider: https://edirc.repec.org/data/fciceco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.