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

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardo
dc.creatorMorales-Acevedo, Paola
dc.creatorPineda, Fernando
dc.creatorZamudio-Gómez, Nancy Eugenia
dc.creator.firmaPaola Morales-Acevedo
dc.date.accessioned2007-09-01T08:30:10Zeng
dc.date.available2015-12-06T08:30:10Zspa
dc.date.available2015-12-14T08:30:10Zspa
dc.date.available2017-10-24T08:30:10Zspa
dc.date.created2007-09-01spa
dc.date.issued2007-09eng
dc.descriptionSe 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.spa
dc.description.abstractFinancial 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.eng
dc.format.extent14 páginas : tablasspa
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2072spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2072spa
dc.language.isospaspa
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/tef.26spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesTemas de Estabilidad Financieraspa
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 26spa
dc.relation.numbertef 26eng
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/026.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationBangia, A.; Diebold, F. X.; Kronimus, A.; Schagen, C.; Schuermann, T. (2002). “Rating Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing”, Journal of Banking and Finance, núm. 26, pp. 445-474.spa
dc.source.bibliographicCitationGómez González, J. E.; Orozco, I. P., Zamudio, N. E. (2006), “Análisis de la probabilidad condicional de incumplimiento de los mayores deudores privados del sistema financiero colombiano”, Reporte de Estabilidad Financiera, Banco de la República, septiembre.spa
dc.source.bibliographicCitationZamudio, N. E. (2007): “Determinantes de la probabilidad de incumplimiento de las empresas colombianas”, tesis de grado de maestría , Facultad de Economía, Universidad de los Andes.spa
dc.source.handleRepecRePEc:bdr:temest:026spa
dc.subjectBancosspa
dc.subjectCréditospa
dc.subjectMatrices de transiciónspa
dc.subjectEstimacionesspa
dc.subjectColombiaspa
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgageseng
dc.subject.jelG29 - Financial Institutions and Services: Othereng
dc.subject.jelG11 - Portfolio Choice; Investment Decisionseng
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecasspa
dc.subject.jelspaG29 - Instituciones y servicios financieros: Otrosspa
dc.subject.jelspaG11 - Selección de cartera; Decisiones de inversiónspa
dc.subject.keywordBankseng
dc.subject.keywordCrediteng
dc.subject.keywordTransition matrixeng
dc.subject.keywordEstimationseng
dc.subject.keywordColombiaeng
dc.subject.lembCartera comercial -- Colombiaspa
dc.subject.lembInstituciones financieras -- Colombiaspa
dc.subject.lembDeudores -- Colombiaspa
dc.titleEstimación de matrices de transición de la calidad de cartera comercial de las entidades financieras colombianasspa
dc.title.alternativeEstimating credit quality transition matrices for the commercial loan portfolio in the colombian financial systemspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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