Microfinanzas en el Perú: Solvencia y Rentabilidad en las Cajas Municipales de Ahorro y Crédito

Gambetta Podesta, Renzo (2015): Microfinanzas en el Perú: Solvencia y Rentabilidad en las Cajas Municipales de Ahorro y Crédito.

Abstract

This Report use a resampling based on Monte Carlo simulation techniques to calculate distribution for the losses observed in the loans portfolios during 2013 and 2014 for each of the Municipal Savings and Credit Loan Banks in Peru. With these results two key variables are analyzed; regulatory capital ratios are compared with the unexpected losses to verify levels of solvency and the income statements are used to achieve a differently measure of the commons accountant financial profitability ratios for better allocation to the adjusted returns of credit risk of each institution. The analysis was conducted with information from RCD (Reporte Crediticio de Deudores), regulatory report submitted for the SBS (Superintendencia de Banca y Seguros) where we can find detailed information for each debtor like debt amount granted by the financial system, delinquency indicators, guarantees, credit provisions, among others. Distributions of losses are computed repeatedly through the nonparametric bootstrap resampling method from the original population to calculate the desired statistics after each iteration. The results show that the simple profitability ratios differ from those calculated in the simulation because they would not take into account the real risks they face to achieve such returns. In terms of solvency the result is mixed, the regulatory capital requirement for credit risk in some Cajas would be underestimated even they would not be covering the legal minimum.

• Item Type: MPRA Paper
• English Title: Microfinances in Peru: Solvency and Profitability in Municipal Savings and Loans Banks
• Language: Spanish
• Keywords: RARORAC, Credit Risk, Expected Shortfall, Montecarlo Simulation,Expected losses, Unexpected losses,Microfinances
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

References

1. Federación de Cajas Municipales de Ahorro y Crédito. Perú 2012.

2. Una propuesta de CreditMetrics y Expected Shortfall para Riesgo de Crédito. Andrés Mora Valencia. Revista Civilizar 2010.

3. Regulatory Capital Modelling for Credit Risk Silvio Tarca. School of Mathematics and Statistics. University of Sidney.

4. Calibración del Riesgo de Crédito en los Países Emergentes: La experiencia de Chile. Osvaldo Adasme,Giovanni Majnoni, Myriam Uribe. SBIF-Chile 2006.