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Pron�stico de incumplimientos de pago mediante m�quinas de vectores de soporte: una aproximaci�n inicial a la gesti�n del riesgo de cr�dito

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  • Jos� Fernando Moreno Guti�rrez
  • Luis Fernando Melo Velandia

Abstract

Este documento describe la metodolog�a desarrollada por Vapnik (1995), denominada m�quinas de vectores de soporte (SVM, por sus siglas en ingl�s) y realiza dos aplicaciones al caso de clasificaci�n de agentes para el otorgamiento de cr�ditos a partir de sus caracter�sticas. El primer caso de estudio clasifica individuos de un banco alem�n. En el segundo caso se pronostica el incumplimiento del pago de cr�ditos comerciales otorgados a empresas colombianas utilizando las caracter�sticas iniciales del cr�dito. SVM se compara con dos metodolog�as utilizadas en el an�lisis de este tipo de problemas, regresi�n log�stica y an�lisis lineal discriminante. Los resultados arrojan un mejor desempe�o en la predicci�n por parte de SVM respecto a las otras dos metodolog�as.

Suggested Citation

  • Jos� Fernando Moreno Guti�rrez & Luis Fernando Melo Velandia, 2011. "Pron�stico de incumplimientos de pago mediante m�quinas de vectores de soporte: una aproximaci�n inicial a la gesti�n del riesgo de cr�dito," Borradores de Economia 9079, Banco de la Republica.
    • Handle: RePEc:col:000094:009079
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    References listed on IDEAS

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    Cited by:

    1. Fabián Enrique Salazar Villano, 2013. "Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia," Estudios Gerenciales, Universidad Icesi.

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    More about this item

    Keywords

    Clasificaci�n; m�quinas de aprendizaje; riesgo de cr�dito; support vector machines.;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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