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Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana

Author

Listed:
  • Verónica P. Rodríguez Vázquez

    (Universidad de las Américas Puebla)

  • Japhet Hernández Vaquero

    (Management Solutions)

Abstract

Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR), observing the regulations of the “Unique Circular of Saving and Popular Credit†emitted by “Commission of National Banking and Securities", CNBV. Both, the methodology for its construction based in Markov chains theory and the obtained results, are presented. The hypotheses of absorbing state and the high recovery of microcredits are confirmed. Finally it is detected that men are as good payers as women.

Suggested Citation

  • Verónica P. Rodríguez Vázquez & Japhet Hernández Vaquero, 2013. "Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(1), pages 39-77.
    • Handle: RePEc:emx:esteco:v:28:y:2013:i:1:p:39-77
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/85/87
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    References listed on IDEAS

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    More about this item

    Keywords

    microfinance; credit risk; transition probability matrix; Markov chains; Value at Risk;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • 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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