Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del mercado hipotecario mexicano

Arturo Cortés Aguilar ()
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Arturo Cortés Aguilar: Tecnológico de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2011, vol. 5, issue 1, 50-64

Abstract: The residual tranche in a mortgage backed security is determinant on its grade and shows the credit risk profile. Using copula theory, I propose a residual tranche method with a credit risk approach to calculate unexpected losses in collateralized mortgages. The paper uses a t-Student copula, a Normal copula and a Gumbel copula and it compares the economic capital estimated based on the Basel II economic capital model and the one estimated with the residual tranche in a Mexican MBS. The paper shows that economic capital estimated with a copula implementation is less than the capital estimated with the tranche implementation. Keywords: Mortgage backed security, credit risk, copula theory, Basel II

Keywords: Bono respaldado por hipotecas; riesgo crédito; teoría de cópulas; Basilea II (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201104

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