Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del mercado hipotecario mexicano

The residual tranche in a mortgage backed security is determinant on its grade and shows the credit risk profile. Using copula theory, I propose a residual tranche method with a credit risk approach to calculate unexpected losses in collateralized mortgages. The paper uses a t-Student copula, a Normal copula and a Gumbel copula and it compares the economic capital estimated based on the Basel II economic capital model and the one estimated with the residual tranche in a Mexican MBS. The paper shows that economic capital estimated with a copula implementation is less than the capital estimated with the tranche implementation. Keywords: Mortgage backed security, credit risk, copula theory, Basel II