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

José Carlos Trejo García; Miguel Ángel Martínez García; Francisco Venegas Martínez

doi:10.1016/j.cya.2017.01.003

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

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

José Carlos Trejo García, Miguel Ángel Martínez García, Francisco Venegas Martínez

Escuela Superior de Economía (ESE)

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

The early prediction of bad debtors in revolving loans in Mexico is a relevant current issue. The proposed econometric model of behavioral scoring considers the changes in the characteristics of consolidated clients and produces better results than those obtained with methodology used by the CNBV on provisions. The obtained results show the possibility of replacing the current model, minimizing the expected loss and increasing the ROA of Mexican financial institutions in 2.20% complying the methodology and statistical testing criteria according to the Unique Banking Dispositions and the guidelines of Basel II on credit risk.

Translated title of the contribution	Credit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics
Original language	English
Pages (from-to)	377-398
Number of pages	22
Journal	Contaduria y Administracion
Volume	62
Issue number	2
DOIs	https://doi.org/10.1016/j.cya.2017.01.003
State	Published - Apr 2017

Keywords

Banks
Credit
Data estimation methodology
Econometric modeling
Optimization techniques

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10.1016/j.cya.2017.01.003

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

abstract = "The early prediction of bad debtors in revolving loans in Mexico is a relevant current issue. The proposed econometric model of behavioral scoring considers the changes in the characteristics of consolidated clients and produces better results than those obtained with methodology used by the CNBV on provisions. The obtained results show the possibility of replacing the current model, minimizing the expected loss and increasing the ROA of Mexican financial institutions in 2.20% complying the methodology and statistical testing criteria according to the Unique Banking Dispositions and the guidelines of Basel II on credit risk.",

keywords = "Banks, Credit, Data estimation methodology, Econometric modeling, Optimization techniques",

author = "{Trejo Garc{\'i}a}, {Jos{\'e} Carlos} and {Mart{\'i}nez Garc{\'i}a}, {Miguel {\'A}ngel} and {Venegas Mart{\'i}nez}, Francisco",

note = "Publisher Copyright: {\textcopyright} 2017 Universidad Nacional Aut{\'o}noma de M{\'e}xico, Facultad de Contadur{\'i}a y Administraci{\'o}n",

year = "2017",

month = apr,

doi = "10.1016/j.cya.2017.01.003",

language = "Ingl{\'e}s",

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pages = "377--398",

journal = "Contaduria y Administracion",

issn = "0186-1042",

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Credit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics. / Trejo García, José Carlos ; Martínez García, Miguel Ángel ; Venegas Martínez, Francisco.
In: Contaduria y Administracion, Vol. 62, No. 2, 04.2017, p. 377-398.

Research output: Contribution to journal › Article › peer-review

TY - JOUR

T1 - Credit risk management at retail in Mexico

T2 - An econometric improvement in the selection of variables and changes in their characteristics

AU - Trejo García, José Carlos

AU - Martínez García, Miguel Ángel

AU - Venegas Martínez, Francisco

PY - 2017/4

Y1 - 2017/4

N2 - The early prediction of bad debtors in revolving loans in Mexico is a relevant current issue. The proposed econometric model of behavioral scoring considers the changes in the characteristics of consolidated clients and produces better results than those obtained with methodology used by the CNBV on provisions. The obtained results show the possibility of replacing the current model, minimizing the expected loss and increasing the ROA of Mexican financial institutions in 2.20% complying the methodology and statistical testing criteria according to the Unique Banking Dispositions and the guidelines of Basel II on credit risk.

AB - The early prediction of bad debtors in revolving loans in Mexico is a relevant current issue. The proposed econometric model of behavioral scoring considers the changes in the characteristics of consolidated clients and produces better results than those obtained with methodology used by the CNBV on provisions. The obtained results show the possibility of replacing the current model, minimizing the expected loss and increasing the ROA of Mexican financial institutions in 2.20% complying the methodology and statistical testing criteria according to the Unique Banking Dispositions and the guidelines of Basel II on credit risk.

KW - Banks

KW - Credit

KW - Data estimation methodology

KW - Econometric modeling

KW - Optimization techniques

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DO - 10.1016/j.cya.2017.01.003

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JO - Contaduria y Administracion

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

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Keywords

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