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Títulos con respaldo de activos de tarjetas de crédito como instrumentos de transferencia de riesgo de crédito

Author

Listed:
  • Víctor Hugo Lemus Pacheco

    (Banco de México)

Abstract

This paper proposes an index for determining those banking institution in Mexico that should transfer their credit card portfolios risk credit through Asset Back-Securities (ABSs). The proposal is done recurring to models for predicting insolvency developed by Robert Altman (1968), which use discriminant analysis. Based on financial ratios and the financial health of banking institutions, this research is able to characterize the credit card portfolio of banking institutions in Mexico

Suggested Citation

  • Víctor Hugo Lemus Pacheco, 2009. "Títulos con respaldo de activos de tarjetas de crédito como instrumentos de transferencia de riesgo de crédito," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(1), pages 84-102.
    • Handle: RePEc:ega:rafega:200906
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2009V3A6Lemus.pdf
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    More about this item

    Keywords

    Transferencia de riesgo de crédito; productos derivados; tarjeta de crédito; análisis discriminante;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • 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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