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Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana

Maldonado, Diego and Pazmiño, Mariela (2008): Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana. Published in: Cuestiones Económicas , Vol. 2, No. 2 (30. September 2008): pp. 5-75.

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Abstract

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.

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