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

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

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 accredited 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 methodological criteria and the statistical tests in accordance with the Compiled Banking Regulation and Basel II guidelines on credit risk issues.

Translated title of the contributionCredit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics
Original languageEnglish
Pages (from-to)399-418
Number of pages20
JournalContaduria y Administracion
Volume62
Issue number2
DOIs
StatePublished - Apr 2017

Keywords

  • Banking
  • Credit
  • Data estimation methodology
  • Econometric models
  • Optimization techniques

Fingerprint

Dive into the research topics of 'Credit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics'. Together they form a unique fingerprint.

Cite this