Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas

Adán Díaz-Hernández and José C. Ramírez-Sánchez ()
Additional contact information
José C. Ramírez-Sánchez: Tecnológico de Monterrey, Campus Ciudad de México

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 1, pages 20-43

Abstract: This paper discusses a new methodology to estimate the economic capital by credit risk for a retail portfolio based on the general concepts of copula and dependence measures as well as some core results of the Extreme Value Theory (EVT). The superiority of the proposed approach over the traditional estimation techniques is demonstrated in the application of Elliptical Generalized copulas and Grouped copulas of the t Student type to model the dependence structure of the risk parameters PD, EAD and LGD. Furthermore, the POT method is used to analyze the extreme losses behavior.

Keywords: Capital Económico; Riesgo de Crédito; Cópulas; Valores Extremos (search for similar items in EconPapers)
JEL-codes: C14 C15 C16 Y G32 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.csf.itesm.mx/egade/publicaciones/articulos/AD-JRVfin.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ega:rafega:200803

Access Statistics for this article

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) is edited by José Antonio Núñez

More articles in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) from Tecnológico de Monterrey, Campus Ciudad de México
Contact information at EDIRC.
Series data maintained by José Antonio Núñez ().