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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

Author

Listed:
  • José Carlos Trejo-García

    (Instituto Politécnico Nacional, México)

  • Miguel Ángel Martínez-García

    (Instituto Politécnico Nacional, México)

  • Francisco Venegas-Martínez

    (Instituto Politécnico Nacional, México)

Abstract

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.

Suggested Citation

  • José Carlos Trejo-García & Miguel Ángel Martínez-García & Francisco Venegas-Martínez, 2017. "Administración del riesgo crediticio al menudeo en México: una mejora econométrica en la selección de variables y cambios en sus características," Contaduría y Administración, Accounting and Management, vol. 62(2), pages 11-12, Abril-Jun.
    • Handle: RePEc:nax:conyad:v:62:y:2017:i:2:p:11-12
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    References listed on IDEAS

    as
    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, March.
    3. David Durand, 1941. "Risk Elements in Consumer Instalment Financing, Technical Edition," NBER Books, National Bureau of Economic Research, Inc, number dura41-2, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Banca; Crédito; Modelos econométricos; Metodología de estimación de datos; Técnicas de optimización;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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