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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 ()
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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
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