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MODELANDO EL RIESGO DE CRÉDITO: Matrices de transición para la cartera comercial

Author

Listed:
  • Alexander Zapata Galindo

Abstract

Las técnicas para el otorgamiento y seguimiento de los créditos que hace el sector financiero a sus clientes han tenido importantes desarrollos en los últimos anos. Las matrices de transición son una de ellas y permiten estimar la probabilidad de pasar de un estado (i) en el cual se encontraba la deuda del individuo en un cierto periodo de tiempo t, a un estado (j) en el periodo siguiente t+1. En este trabajo se estiman probabilidades de transición para la cartera comercial colombiana. Clasificación JEL: Métodos de Sim

Suggested Citation

  • Alexander Zapata Galindo, 2004. "MODELANDO EL RIESGO DE CRÉDITO: Matrices de transición para la cartera comercial," Apuntes de Banca y Finanzas 3226, Asobancaria.
    • Handle: RePEc:col:000086:003226
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    File URL: http://www.asobancaria.com/upload/docs/docPub1633_2.pdf
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    Cited by:

    1. Maldonado, Diego & Pazmiño, Mariela, 2008. "Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana [New Management Tool for Credit Risk analysis: An aplication for Financial Institutio," MPRA Paper 17163, University Library of Munich, Germany, revised 30 Dec 2008.

    More about this item

    Keywords

    Métodos de Simulación Estadística;

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

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