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Macro credit scoring as a proposal for quantifying credit risk

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  • Sergio Edwin Torrico Salamanca

Abstract

Credit scoring is a methodology used in finance to quantify the credit risk of individuals/firms. This article proposes the application of this technique as a tool to measure the aggregated risk of banks and the banking system. An application in the Bolivian commercial banking system is presented, in order to expose the proposed methodology, called Macro Credit Scoring. By applying this methodology, it is identified that the risk measure applied is greater than that needed in the Bolivian commercial banking system in the current situation. Finally, empirical evidence of the relationship between credit risk and economic variables (macro / micro) is presented.

Suggested Citation

  • Sergio Edwin Torrico Salamanca, 2014. "Macro credit scoring as a proposal for quantifying credit risk," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(1), pages 42-64.
    • Handle: RePEc:iad:wpaper:0814
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    References listed on IDEAS

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    More about this item

    Keywords

    Credit scoring; Risk Management; Credit Risk; Banking.;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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