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]
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References listed on IDEAS
- 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.
- 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.
- Annalisa Di Clemente & Claudio Romano, 2004. "Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(3), pages 325-357, November.
- 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.
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- Freire González, Paulo Alejandro & Vivar Aguilar, Mayra Isabel & Maldonado, Diego, 2010.
"Un nuevo enfoque para el análisis y calificación del Sistema Cooperativo Ecuatoriano
[A new approach to the analysis and rating Ecuadorian Cooperative System]," MPRA Paper 21463, University Library of Munich, Germany, revised 05 Mar 2010.
More about this item
KeywordsCredit Risk; Credit Portfolio Models; Multivariate binary copula; Credit Concetration; mixture models; latent variable models;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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