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Credit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics

Author

Listed:
  • José Carlos Trejo-García

    (Instituto Politécnico Nacional, México)

  • Miguel Ángel Martínez-García

    (Instituto Politécnico Nacional, México)

  • Francisco Venegas-Martínez

    (Instituto Politécnico Nacional, México)

Abstract

The early prediction of bad debtors for revolving credits in Mexico is a relevant issue today. The credit behavior econometric model proposed considers the changes in the characteristics of the consolidated accredited and provides better results than those obtained with the methodology utilized by the CNBV on provision matters. The results obtained show that the possibility of replacing the current model, minimizing the expected loss and increasing the ROA per financial institution at a national level by 2.20%, complies with the methodological criteria and the statistical tests in accordance with the Compiled Banking Regulation and Basel II guidelines on credit risk issues.

Suggested Citation

  • José Carlos Trejo-García & Miguel Ángel Martínez-García & Francisco Venegas-Martínez, 2017. "Credit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics," Contaduría y Administración, Accounting and Management, vol. 62(2), pages 13-14, Abril-Jun.
    • Handle: RePEc:nax:conyad:v:62:y:2017:i:2:p:13-14
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Banking; Credit; Econometric models; Data estimation methodology; Optimization techniques;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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