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 Institution in Ecuador]
In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty, giving place to which they have capable tools for monitoring the risk and the concentration in a credit portfolio, and to generate credit policies to mitigate the risk assumed in the portfolio by means of the provisions, the economic capital and limits to the amounts of the credits. For which the models apply themselves copulas to quantify the existing dependence between the unfulfilled credits and to determine this way the distribution of loss of a portfolio from the models of latent variables, mixture and credit concentration.
|Date of creation:||30 Dec 2008|
|Date of revision:||30 Dec 2008|
|Publication status:||Published in Cuestiones Económicas 2.2(2008): pp. 5-75|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alexander Zapata Galindo, 2004. "MODELANDO EL RIESGO DE CRÉDITO: Matrices de transición para la cartera comercial," APUNTES DE BANCA Y FINANZAS 003226, ASOBANCARIA.
- Gordy, Michael B., 2000.
"A comparative anatomy of credit risk models,"
Journal of Banking & Finance,
Elsevier, vol. 24(1-2), pages 119-149, January.
- Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
- Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July. Full references (including those not matched with items on IDEAS)
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