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Determinantes del riesgo comportamental en préstamos de consumo y microcrédito: Un estudio de caso en Centro América

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  • Adriana Uquillas

    (Escuela Politécnica Nacional)

Abstract

Aunque en la industria financiera existen modelos de riesgo de crédito en el momento de la originación del préstamo, los bancos en general, todavía no formalizan la utilización de modelos de riesgo de crédito para la cartera de los créditos concedidos. Estos modelos son los llamados modelos comportamentales y son uno de los requerimientos del Comité de Supervisión Bancaria de Basilea. Este trabajo aborda la modelización del riesgo comportamental para las carteras concedidas de consumo y microcrédito. Para este propósito, se estimó un modelo de elección binaria con especificación logit. Los datos de corte transversal, utilizados en el análisis empírico, provienen de Guatemala. El estudio incluye el análisis de 62,000 individuos y el tratamiento de 157 variables explicativas recogidas en un período histórico entre 2015/01 y 2015/11. Se evaluó el riesgo de manera integral (mercado) y no solamente en silos de producto, lo que representa un aporte técnico importante. Los resultados de la investigación sugieren que la probabilidad de mora disminuye si la edad del prestatario aumenta. Existe una relación positiva entre la probabilidad de mora y las variables comportamentales relativas a atraso en pagos (en el producto, en otros productos o en otras instituciones financieras) y entre el compromiso de la renta (deuda sobre salario) y la probabilidad de mora. La probabilidad de mora aumenta con la disminución de la renta y cuando el prestatario tiene relación crediticia con un mayor número de instituciones financieras (proxy de endeudamiento). Además, se alerta una fragilidad en el segmento de microcrédito, el mismo requiere de una tecnología y análisis crediticio más especializado.

Suggested Citation

  • Adriana Uquillas, 2017. "Determinantes del riesgo comportamental en préstamos de consumo y microcrédito: Un estudio de caso en Centro América," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 3(1), pages 35-66, July.
    • Handle: RePEc:snh:journl:v:3:y:2017:i:1:p:35-66
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    References listed on IDEAS

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