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Análisis discriminante como seleccionador de variables incluyentes en el cálculo de la probabilidad de incumplimiento

Author

Listed:
  • Fredy Ocaris Pérez Ramírez
  • Armando Lenín Támara Ayús

Abstract

En este artículo se presenta el marco teórico del análisis discriminante y cómo este se aplica como seleccionador de variables influyentes en el cálculo de la probabilidad de incumplimiento. Es así como a través del análisis de una cartera comercial perteneciente a una entidad financiera, se desarrolla un modelo que permita calcular la probabilidad de default a cada uno de los clientes, adicional, se encuentran las ecuaciones que nos lleven a pronosticar el

Suggested Citation

  • Fredy Ocaris Pérez Ramírez & Armando Lenín Támara Ayús, 2012. "Análisis discriminante como seleccionador de variables incluyentes en el cálculo de la probabilidad de incumplimiento," Revista Ciencias Estratégicas, Universidad Pontificia Bolivariana, June.
    • Handle: RePEc:col:000431:011353
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    Keywords

    Análisis discriminanteProbabilidad de incumplimientoPérdida esperada;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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