IDEAS home Printed from https://ideas.repec.org/p/bdr/temest/043.html
   My bibliography  Save this paper

Ciclos del Riesgo de Crédito

Author

Listed:
  • Javier Gutiérrez Rueda
  • Agustín Saade Ospina

Abstract

Durante los últimos años el análisis del riesgo de crédito y su dinámica se ha convertido en un tema de alta importancia para la estabilidad del sistema financiero. Es por esto que resulta vital estudiar los co-movimientos que se presentan entre este riesgo y el ciclo económico. En este documento se utiliza un modelo multivariado de componentes no observados con el fin de identificar los ciclos que caracterizan el riesgo de crédito y la actividad económica. Los resultados indican que las fluctuaciones del PIB y el indicador de mora se dan en ciclos de alta y baja frecuencia, y que en ambos casos los movimientos de la actividad económica y el riesgo de crédito ocurren en sentido contrario. Este resultado muestra la importancia de incluir variables que reflejen el estado del ciclo económico en la estimación de probabilidad de incumplimiento.

Suggested Citation

  • Javier Gutiérrez Rueda & Agustín Saade Ospina, 2009. "Ciclos del Riesgo de Crédito," Temas de Estabilidad Financiera 043, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:temest:043
    DOI: 10.32468/tef.43
    as

    Download full text from publisher

    File URL: https://doi.org/10.32468/tef.43
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fernando Arias Rodríguez & Celina Gaitán Maldonado & Johanna López Velandia, 2014. "Las entidades financieras a lo largo del ciclo de negocios: ¿está el ciclo financiero sincronizado con el ciclo de negocios?," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(75), pages 28-40, December.

    More about this item

    Keywords

    Riesgo de crédito; Ciclos de la cartera; Ciclo económico; Modelo multivariado de componentes no observados.;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • 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:bdr:temest:043. 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: . General contact details of provider: https://edirc.repec.org/data/brcgvco.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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Clorith Angélica Bahos-Olivera (email available below). General contact details of provider: https://edirc.repec.org/data/brcgvco.html .

    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.