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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.

Suggested Citation

  • Adriana María Corredor-Waldron & Wilmar Cabrera & Angela González Arbeláez, "undated". "Concentración y riesgo de crédito por sector económico de la cartera comercial," Temas de Estabilidad Financiera 063, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:temest:063

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    References listed on IDEAS

    1. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
    2. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    3. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
    4. Miguel Morales & Dairo Estrada, 2010. "A financial stability index for Colombia," Annals of Finance, Springer, vol. 6(4), pages 555-581, October.
    5. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 387-422.
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