Estimación de matrices de transición de la calidad de cartera comercial de las entidades financieras colombianas

Gómez-González, José Eduardo; Morales-Acevedo, Paola; Pineda, Fernando; Zamudio-Gómez, Nancy Eugenia

Estimación de matrices de transición de la calidad de cartera comercial de las entidades financieras colombianas

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Temas de Estabilidad Financiera ; No. 26

Date published

2007-09-01

Date

2007-09

Authors

Gómez-González, José Eduardo
Morales-Acevedo, Paola
Pineda, Fernando
Zamudio-Gómez, Nancy Eugenia

Document language

spa

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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

Financial institutions rate loans as an expression of the risk they believe the client poses. With the data from those ratings, they can evaluate the current quality of their balance sheet and calculate the loan-loss provisions required for their loan portfolio. A loan rating also is an instrument for assessing and granting a loan, and for deciding how much to charge for it. However, in a credit-risk management system, the forecast on client default and possible changes in client status also is extremely important.1 For financial institutions, transition matrices are a fundamental tool in this respect, as they measure the likelihood of migration from one rating to another. This is done for each client and should be measured as precisely as possible.

Description

Se hicieron diferentes estimaciones de matrices de transición para los deudores de la cartera comercial colombiana, y dependiendo de la metodología empleada, los resultados son diferentes.