Exposición al default: estimación para un portafolio de tarjeta de crédito

Bambino-Contreras, Carlos and Morales-Oñate, Víctor (2021): Exposición al default: estimación para un portafolio de tarjeta de crédito.

Abstract

This work estimates the exposure at default of a credit card portfolio of an Ecuadorian bank without using the credit conversion factor, a common mechanism used in the expected loss distribution estimation literature and suggested by the Basel Committee. To achieve this goal, the probability distribution of this variable (exposure at default) has been identified so that it can be used in the context of generalized linear models. The results show that the model can be used to make predictions based on assumptions closer to the reality of customer behavior based on the variables used in the regression.

• Item Type: MPRA Paper
• English Title: Exposure to default: estimation for a credit card portfolio
• Language: Spanish
• Keywords: Expected loss, Credit risk, Exposure at default, Generalized linear models, Gamma Distribution, Machine Learning
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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