Differentiated determinants of risk in portfolio at risk of the microfinance institutions in Mexico (2007-2012)

Roberto Alejandro Ramírez Silva; Salvador Cruz Aké; Francisco Venegas Martínez

doi:10.1016/j.cya.2015.08.007

Differentiated determinants of risk in portfolio at risk of the microfinance institutions in Mexico (2007-2012)

Roberto Alejandro Ramírez Silva, Salvador Cruz Aké, Francisco Venegas Martínez

Escuela Superior de Economía (ESE)

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

4 Scopus citations

Abstract

This paper is aimed at examining the credit risk assumed by the Micro Finance Institutions (MFIs) through their sizes, margins and costs for a sample of 13 Mexican MFIs during the 2007-2012 period. We also study the differentiated effects of those risk factors on the MFIs credit risk through time and between MFIs by using quantile regression methodologies. We find that the use of the normality assumption on the traditional panel analysis biases the results when the studied variables are not normal by diluting the 0.75 percentile sample characteristics (the most heterogeneous part of the sample). Finally, by using quantile panel data with fixed effects, we find that for credit risk management the MFIs only consider the income they can attain.

Original language	English
Pages (from-to)	175-194
Number of pages	20
Journal	Contaduria y Administracion
Volume	60
DOIs	https://doi.org/10.1016/j.cya.2015.08.007
State	Published - 1 Oct 2015

Keywords

Credit risk
Microfinance institutions
Panel data
Quantile regression

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10.1016/j.cya.2015.08.007

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title = "Differentiated determinants of risk in portfolio at risk of the microfinance institutions in Mexico (2007-2012)",

abstract = "This paper is aimed at examining the credit risk assumed by the Micro Finance Institutions (MFIs) through their sizes, margins and costs for a sample of 13 Mexican MFIs during the 2007-2012 period. We also study the differentiated effects of those risk factors on the MFIs credit risk through time and between MFIs by using quantile regression methodologies. We find that the use of the normality assumption on the traditional panel analysis biases the results when the studied variables are not normal by diluting the 0.75 percentile sample characteristics (the most heterogeneous part of the sample). Finally, by using quantile panel data with fixed effects, we find that for credit risk management the MFIs only consider the income they can attain.",

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AU - Silva, Roberto Alejandro Ramírez

AU - Aké, Salvador Cruz

AU - Martínez, Francisco Venegas

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N2 - This paper is aimed at examining the credit risk assumed by the Micro Finance Institutions (MFIs) through their sizes, margins and costs for a sample of 13 Mexican MFIs during the 2007-2012 period. We also study the differentiated effects of those risk factors on the MFIs credit risk through time and between MFIs by using quantile regression methodologies. We find that the use of the normality assumption on the traditional panel analysis biases the results when the studied variables are not normal by diluting the 0.75 percentile sample characteristics (the most heterogeneous part of the sample). Finally, by using quantile panel data with fixed effects, we find that for credit risk management the MFIs only consider the income they can attain.

AB - This paper is aimed at examining the credit risk assumed by the Micro Finance Institutions (MFIs) through their sizes, margins and costs for a sample of 13 Mexican MFIs during the 2007-2012 period. We also study the differentiated effects of those risk factors on the MFIs credit risk through time and between MFIs by using quantile regression methodologies. We find that the use of the normality assumption on the traditional panel analysis biases the results when the studied variables are not normal by diluting the 0.75 percentile sample characteristics (the most heterogeneous part of the sample). Finally, by using quantile panel data with fixed effects, we find that for credit risk management the MFIs only consider the income they can attain.

KW - Credit risk

KW - Microfinance institutions

KW - Panel data

KW - Quantile regression

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DO - 10.1016/j.cya.2015.08.007

M3 - Artículo

SN - 0186-1042

VL - 60

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EP - 194

JO - Contaduria y Administracion

JF - Contaduria y Administracion

ER -

Differentiated determinants of risk in portfolio at risk of the microfinance institutions in Mexico (2007-2012)

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Keywords

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