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Administración del riesgo crediticio al menudeo en México: una mejora econométrica en la selección de variables y cambios en sus características

Listed author(s):
  • José Carlos Trejo-García


    (Instituto Politécnico Nacional, México)

  • Miguel Ángel Martínez-García

    (Instituto Politécnico Nacional, México)

  • Francisco Venegas-Martínez

    (Instituto Politécnico Nacional, México)

La predicción temprana de malos deudores para créditos revolventes en México es un asunto de relevancia actual. El modelo econométrico propuesto de comportamiento crediticio considera los cambios en las características de los acreditados consolidados y proporciona mejores resultados que los obtenidos con la metodología utilizada por la CNBV en materia de provisiones. Los resultados obtenidos muestran que la posibilidad de reemplazar el modelo vigente, minimizando la pérdida esperada y aumentando el ROA por entidad financiera a nivel nacional en un 2.20%, cumple con los criterios metodológicos y pruebas estadísticas de acuerdo a la Circular Única de Bancos y lineamientos de Basilea II en materia de riesgo crediticio.

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Article provided by Accounting and Management in its journal Contaduría y Administración.

Volume (Year): 62 (2017)
Issue (Month): 2 (Abril-Junio)
Pages: 11-12

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Handle: RePEc:nax:conyad:v:62:y:2017:i:2:p:11-12
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  1. Thomas, Lyn C. & Edelman, David B. & Crook, Jonathan, 2004. "Readings in Credit Scoring: Foundations, Developments, and Aims," OUP Catalogue, Oxford University Press, number 9780198527978.
  2. David Durand, 1941. "Risk Elements in Consumer Instalment Financing," NBER Books, National Bureau of Economic Research, Inc, number dura41-1, Enero-Jun.
  3. David Durand, 1941. "Risk Elements in Consumer Instalment Financing, Technical Edition," NBER Books, National Bureau of Economic Research, Inc, number dura41-2, Enero-Jun.
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