Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana

New Management Tool for Credit Risk analysis: An aplication for Financial Institution in Ecuador

Diego Maldonado and Mariela Pazmiño

MPRA Paper from University Library of Munich, Germany

Abstract: In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty, giving place to which they have capable tools for monitoring the risk and the concentration in a credit portfolio, and to generate credit policies to mitigate the risk assumed in the portfolio by means of the provisions, the economic capital and limits to the amounts of the credits. For which the models apply themselves copulas to quantify the existing dependence between the unfulfilled credits and to determine this way the distribution of loss of a portfolio from the models of latent variables, mixture and credit concentration.

Keywords: Credit Risk; Credit Portfolio Models; Multivariate binary copula; Credit Concetration; mixture models; latent variable models (search for similar items in EconPapers)
JEL-codes: C01 C15 C16 C35 C46 C52 C53 G21 G24 G32 (search for similar items in EconPapers)
Date: 2008-12-30, Revised 2008-12-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Cuestiones Económicas 2.2(2008): pp. 5-75

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