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Un Mapa de Riesgo de Crédito para el Sistema Financiero Colombiano

Author

Listed:
  • Miguel Ángel Morales Mosquera

    ()

  • Wilmar Cabrera

    ()

  • Laura Capera

    ()

  • Dairo Estrada

    ()

Abstract

El mapa de riesgo es una herramienta usual en la literatura de riesgo operacional que ha sido empleada recientemente en el análisis del riesgo de crédito en el sector financiero. En línea con estos desarrollos, el presente documento propone un mapa en el que se cuantifica la probabilidad de deterioro y el daño potencial asociado a la ocurrencia de choques macroeconómicos adversos sobre la probabilidad de incumplimiento de los principales sectores económicos (hogares y empresas). La metodología utiliza como medida de daño potencial la distancia horizontal entre la distribución de pérdidas que se construye a partir delos pronósticos de las variables macroeconómicas en un escenario base, y la distribución bajo un escenario macroeconómico adverso; estas distribuciones son obtenidas a través de un modelo de regresión por cuantiles. Finalmente se obtiene una representación gráfica que permite hacer un seguimiento de la vulnerabilidad del sistema financiero ante distintos choques. Los resultados indican que un incremento de la tasa de interés generaría el mayor deterioro del indicador de mora, aunque la probabilidad de un aumento drástico es baja. A su vez, un crecimiento significativo del desempleo en el caso de los hogares o una reducción de los ingresos por ventas en el caso de las empresas, son los eventos con mayor probabilidad de ocurrencia.

Suggested Citation

  • Miguel Ángel Morales Mosquera & Wilmar Cabrera & Laura Capera & Dairo Estrada, 2012. "Un Mapa de Riesgo de Crédito para el Sistema Financiero Colombiano," Temas de Estabilidad Financiera 068, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:temest:068
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Riesgo de crédito; sistema financiero; pruebas de estrés; regresión cuantílica. Classification JEL: C1;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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