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Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas

Author

Listed:
  • Adán Díaz Hernández
  • José C. Ramírez Sánchez

    (Tecnológico de Monterrey)

Abstract

This paper discusses a new methodology to estimate the economic capital required by the credit risk of a retail portfolio based on the general concepts of copula and dependence measures as well as some core results of the Extreme Value Theory (EVT). The superiority of the proposed approach over the traditional estimation techniques is demonstrated by the application of Elliptical Generalized copulas and Grouped copulas of the t Student type to model the dependence structure of the risk parameters PD, EAD and LGD. Furthermore, the POT method is used to analyze the extreme losses behavior

Suggested Citation

  • Adán Díaz Hernández & José C. Ramírez Sánchez, 2008. "Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(1), pages 20-43.
    • Handle: RePEc:ega:rafega:200803
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    More about this item

    Keywords

    Capital Económico; Riesgo de Crédito; Cópulas; Valores Extremos;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • 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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