IDEAS home Printed from https://ideas.repec.org/p/col/000094/009079.html
   My bibliography  Save this paper

Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito

Author

Listed:
  • José Fernando Moreno Gutiérrez

    ()

  • Luis Fernando Melo Velandia

    ()

Abstract

Este documento describe la metodología desarrollada por Vapnik (1995), denominada máquinas de vectores de soporte (SVM, por sus siglas en inglés) y realiza dos aplicaciones al caso de clasificación de agentes para el otorgamiento de créditos a partir de sus características. El primer caso de estudio clasifica individuos de un banco alemán. En el segundo caso se pronostica el incumplimiento del pago de créditos comerciales otorgados a empresas colombianas utilizando las características iniciales del crédito. SVM se compara con dos metodologías utilizadas en el análisis de este tipo de problemas, regresión logística y análisis lineal discriminante. Los resultados arrojan un mejor desempeño en la predicción por parte de SVM respecto a las otras dos metodologías.

Suggested Citation

  • José Fernando Moreno Gutiérrez & Luis Fernando Melo Velandia, 2011. "Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito," BORRADORES DE ECONOMIA 009079, BANCO DE LA REPÚBLICA.
    • Handle: RePEc:col:000094:009079
    as

    Download full text from publisher

    File URL: http://www.banrep.gov.co/docum/ftp/borra677.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Matthew Brosnahan & Tan Chong Lee, 1989. "International convergence of capital measurement and capital standards for banks," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 52, march.
    2. Kim, Hong Sik & Sohn, So Young, 2010. "Support vector machines for default prediction of SMEs based on technology credit," European Journal of Operational Research, Elsevier, vol. 201(3), pages 838-846, March.
    3. Thomas, Lyn C., 2009. "Consumer Credit Models: Pricing, Profit and Portfolios," OUP Catalogue, Oxford University Press, number 9780199232130.
    4. Christian Gourieroux & Joann Jasiak, 2007. "Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Introductory Chapters,in: The Econometrics of Individual Risk: Credit, Insurance, and Marketing Princeton University Press.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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, December.

    More about this item

    Keywords

    Clasificación; máquinas de aprendizaje; riesgo de crédito; support vector machines.;

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000094:009079. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.