Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana

Verónica P. Rodríguez Vázquez and Japhet Hernández Vaquero
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Verónica P. Rodríguez Vázquez: Universidad de las Américas Puebla
Japhet Hernández Vaquero: Management Solutions

Estudios Económicos, 2013, vol. 28, issue 1, 39-77

Abstract: Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR), observing the regulations of the “Unique Circular of Saving and Popular Credit†emitted by “Commission of National Banking and Securities", CNBV. Both, the methodology for its construction based in Markov chains theory and the obtained results, are presented. The hypotheses of absorbing state and the high recovery of microcredits are confirmed. Finally it is detected that men are as good payers as women.

Keywords: microfinance; credit risk; transition probability matrix; Markov chains; Value at Risk (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:28:y:2013:i:1:p:39-77

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