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
N1 - Publisher Copyright:
© 2017 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración
PY - 2017/4
Y1 - 2017/4
N2 - 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.
AB - 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.
KW - Banking
KW - Credit
KW - Data estimation methodology
KW - Econometric models
KW - Optimization techniques
UR - http://www.scopus.com/inward/record.url?scp=85016808359&partnerID=8YFLogxK
U2 - 10.1016/j.cya.2017.02.006
DO - 10.1016/j.cya.2017.02.006
M3 - Artículo
SN - 0186-1042
VL - 62
SP - 399
EP - 418
JO - Contaduria y Administracion
JF - Contaduria y Administracion
IS - 2
ER -