IDEAS home Printed from https://ideas.repec.org/a/ega/rafega/200803.html
   My bibliography  Save this article

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

Author

Listed:
  • Adán Díaz Hernández
  • José C. Ramírez Sánchez

    () (Tecnológico de Monterrey)

Abstract

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

Suggested Citation

  • Adán Díaz Hernández & José C. Ramírez Sánchez, 2008. "Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(1), pages 20-43.
  • Handle: RePEc:ega:rafega:200803
    as

    Download full text from publisher

    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A3Diaz-Ramirez.pdf
    Download Restriction: no

    More about this item

    Keywords

    Capital Económico; Riesgo de Crédito; Cópulas; Valores Extremos;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    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:ega:rafega:200803. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (José Antonio Núñez). General contact details of provider: http://edirc.repec.org/data/emitemx.html .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.