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

• José Carlos Trejo García ^[1] ; Miguel Ángel Martínez García ^[1] ; Francisco Venegas Martínez ^[1]
  1. [1] Instituto Politécnico Nacional

     Instituto Politécnico Nacional

     México

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 62, Nº. 2, 2017, págs. 399-418
• Idioma: inglés
• DOI: 10.1016/j.cya.2017.02.006
• Enlaces
  • Texto completo (pdf)
• Dialnet Métricas: 4 Citas
• Resumen
  • español

    La predicción temprana de malos deudores para créditos rotatorios en México es un asunto de relevancia actual. El modelo econométrico propuesto de comportamiento crediticio considera los cambios en las características de los acreditados consolidados y proporciona mejores resultados que los obtenidos con la metodología utilizada por la CNBV en materia de provisiones. Los resultados obtenidos muestran que la posibilidad de reemplazar el modelo vigente, minimizando la pérdida esperada y aumentando el ROA por entidad financiera a nivel nacional en un 2.20%, cumple con los criterios metodológicos y pruebas estadísticas de acuerdo a la Circular Única de Bancos y lineamientos de Basilea II en materia de riesgo crediticio

  • English

    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 accred-ited 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 method-ological criteria and the statistical tests in accordance with the Compiled Banking Regulation and Basel II guidelines on credit risk issues.

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