Una Metodología basada en Cúpulas y Valores Extremos para Estimar el Capital Económico Requerido de un Portafolio de Creditos al Menudeo

Adan Diaz Hernandez () and Jose C. Ramirez Sanchez ()
Additional contact information
Adan Diaz Hernandez: University of Essex, UK.
Jose C. Ramirez Sanchez: Profesor-Investigador del CADEN-Universidad Anáhuac México-Norte.

Revista de Analisis Economico – Economic Analysis Review, 2009, vol. 24, issue 2, 95-132

Abstract: This paper poses a new methodology to estimate the required economic capital for a retail-credit portfolio. The methodology is based on both the general copula concepts and some core results from the extreme value theory (EVT). The main results support the fact that the proposed methodology is more flexible than other traditional techniques, in particular when it makes use of elliptical generalized or grouped t Student copulas to model the dependence structure of risk-parameters or when it includes elements of the EVT to analyze the extreme losses behavior of a retail-credit portfolio. When applying algorithms, the paper includes data from a Mexican bank. JEL Classification: C14, C15, C16, G32.

Keywords: Economic capital; credit risk; copulas; extreme value theory (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.rae-ear.org/index.php/rae/article/view/93 (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: https://EconPapers.repec.org/RePEc:ila:anaeco:v:24:y:2009:i:2:p:95-132

Ordering information: This journal article can be ordered from

Access Statistics for this article

Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce

More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().