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Uso de las cópulas de supervivencia en la estimación de un modelo de riesgo crediticio

Author

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  • Oscar Pacheco

    ()

  • ÿJaime Huertas
  • Armando Palencia

    ()

Abstract

En este artículo se presenta un modelo del riesgo de crédito a partir de la estimación de la distribución de probabilidad conjunta de incumplimiento y de prepago mediante el uso de cópulas de supervivencia. Se extiende el modelo de Georges et al (2001) teniendo en cuenta la censura por la derecha, el uso de covariables, la cópula de Cook-Jhonson-Clayton y una marginal Weibull. Se ilustra el uso del modelo de riesgo de crédito extendido calculando las probabilidades de incumplimiento para 700 individuos de una institución crediticia del sector solidario colombiano.

Suggested Citation

  • Oscar Pacheco & ÿJaime Huertas & Armando Palencia, 2012. "Uso de las cópulas de supervivencia en la estimación de un modelo de riesgo crediticio," DOCUMENTOS DE MATEMATICA Y ESTADISTICA 009898, UNIVERSIDAD EXTERNADO DE COLOMBIA.
  • Handle: RePEc:col:000413:009898
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    Keywords

    Riesgo crediticio; Análisis de supervivencia; Cópulas.;

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