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Concentración y riesgo de crédito por sector económico de la cartera comercial

  • Adriana María Corredor-Waldron

    ()

  • Wilmar Cabrera

    ()

  • Angela González Arbeláez

    ()

La concentración de la cartera comercial se explica por exposiciones significativas a pocos deudores, a pocos sectores económicos, y por la correlación del desempeño entre algunos sectores. En este documento se utilizan diferentes medidas para analizar las dos últimas dimensiones, entre las cuales se encuentra el Índice de Herfindahl-Hirschman, el Índice de entropía, y la probabilidad de incumplimiento por sector. Esta última se estima en función de un conjunto de variables del sector real y financiero, lo que permite relacionar las posibles pérdidas por el impago de los créditos, con choques macroeconómicos adversos que afectan el desempeño de los sectores.

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Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 063.

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Handle: RePEc:bdr:temest:063
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