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Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana

Listed author(s):
  • Verónica P. Rodríguez Vázquez

    (Universidad de las Américas Puebla)

  • Japhet Hernández Vaquero

    (Management Solutions)

Registered author(s):

    Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR), observing the regulations of the “Unique Circular of Saving and Popular Credit” emitted by “Commission of National Banking and Securities", CNBV. Both, the methodology for its construction based in Markov chains theory and the obtained results, are presented. The hypotheses of absorbing state and the high recovery of microcredits are confirmed. Finally it is detected that men are as good payers as women.

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    File URL: http://estudioseconomicos.colmex.mx/archivo/EstudiosEconomicos2013/39-77.pdf
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    Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

    Volume (Year): 28 (2013)
    Issue (Month): 1 ()
    Pages: 39-77

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    Handle: RePEc:emx:esteco:v:28:y:2013:i:1:p:39-77
    Contact details of provider: Web page: http://www.colmex.mx/centros/cee/

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    1. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    2. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453 World Scientific Publishing Co. Pte. Ltd..
    3. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409 World Scientific Publishing Co. Pte. Ltd..
    4. repec:idb:brikps:34798 is not listed on IDEAS
    5. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
    6. George A. Akerlof, 1970. "The Market for "Lemons": Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, Oxford University Press, vol. 84(3), pages 488-500.
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