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.

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.

• Item Type: MPRA Paper
• English Title: New Management Tool for Credit Risk analysis: An aplication for Financial Institution in Ecuador
• Language: Spanish
• Keywords: Credit Risk; Credit Portfolio Models; Multivariate binary copula; Credit Concetration; mixture models; latent variable models
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C35 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions; G - Financial Economics > G2 - Financial Institutions and Services > G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: 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; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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