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Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas

Listed author(s):
  • Adán Díaz Hernández
  • José C. Ramírez Sánchez


    (Tecnológico de Monterrey)

Registered author(s):

    This paper discusses a new methodology to estimate the economic capital required by the credit risk of a retail portfolio based on the general concepts of copula and dependence measures as well as some core results of the Extreme Value Theory (EVT). The superiority of the proposed approach over the traditional estimation techniques is demonstrated by the application of Elliptical Generalized copulas and Grouped copulas of the t Student type to model the dependence structure of the risk parameters PD, EAD and LGD. Furthermore, the POT method is used to analyze the extreme losses behavior

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    Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

    Volume (Year): 2 (2008)
    Issue (Month): 1 ()
    Pages: 20-43

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    Handle: RePEc:ega:rafega:200803
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