Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana
Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR), obse...
| Autores principales: | , |
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| Formato: | Online |
| Idioma: | espanhol |
| Editor: |
El Colegio de México, A.C.
2013
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| Acesso em linha: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/85 |
| Recursos: |
Estudios Económicos |
| authentication_code | dc |
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| _version_ | 1853489712765861888 |
| author | Rodríguez Vázquez, Verónica P. Hernández Vaquero, Japhet |
| author_facet | Rodríguez Vázquez, Verónica P. Hernández Vaquero, Japhet |
| author_sort | Rodríguez Vázquez, Verónica P. |
| category_str_mv |
"Bolivia", "hyperinflation", "economic crisis", "Bolivia", "hiperinflación", "crisis económica"
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| collection | OJS |
| description | Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR), observing the regulations of the Unique Circular of Saving and Popular Credit emitted by “Commission of National Banking and Securities” CNBV. Both, the methodology for its construction based in Markov chains theory and the obtained results, are presented. The hypotheses of absorbing state and the high recovery of microcredit are confirmed. Finally it is detected that men are as good payers as women. |
| format | Online |
| id | oai:oai.estudioseconomicos.colmex.mx:article-85 |
| index_str_mv | CONAHCYT LATINDEX PKP Index DORA Redalyc Scielo México Handbook of Latin American Studies (HLAS) JSTOR Dialnet HAPI Ulrich’s International Periodicals Directory Google Scholar IBSS Gale OneFile: Informe Académico Global Issues in Context InfoTracCustom Cengage Learning EconLit Índice bibliográfico Publindex RePEc The Journal of Economic Literature |
| journal | Estudios Económicos |
| language | spa |
| publishDate | 2013 |
| publisher | El Colegio de México, A.C. |
| record_format | ojs |
| Terms_governing_use_and_reproduction_note | Copyright (c) 2018 Estudios Económicos |
| data_source_entry/ISSN | Estudios Económicos de El Colegio de México; 55-vol. 28, no. 1, january-june, 2013; 39-77 Estudios Económicos de El Colegio de México; 55-vol. 28, núm. 1, enero-junio, 2013; 39-77 0186-7202 0188-6916 |
| spelling | oai:oai.estudioseconomicos.colmex.mx:article-852025-12-03T15:15:24Z Transition Probability Matrix of Microcredits: The case of a Mexican microfinance Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana Rodríguez Vázquez, Verónica P. Hernández Vaquero, Japhet microfinance credit risk transition probability matrix Markov chains Value at Risk. G21 G32 microfinanzas riesgo de crédito matriz de probabilidad de transición cadenas de Markov Valor en Riesgo G21 G32 Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR), observing the regulations of the Unique Circular of Saving and Popular Credit emitted by “Commission of National Banking and Securities” CNBV. Both, the methodology for its construction based in Markov chains theory and the obtained results, are presented. The hypotheses of absorbing state and the high recovery of microcredit are confirmed. Finally it is detected that men are as good payers as women. El microfinanciamiento en México ha crecido a un ritmo acelerado y poco se ha realizado sobre el riesgo de crédito en dicho sector. El objetivo de este trabajo es la construcción de una matriz de probabilidad de transición en la calificación de los microcréditos, utilizable en la estimación del VaR, considerando la normativa de la “Circular única de ahorro y crédito popular” emitida por la CNBV. Se presenta la metodología para su construcción con base en cadenas de Markov y los resultados obtenidos. Se comprueba la hipótesis de absorbencia, la alta recuperación de los microcréditos y se detecta que los hombres son tan buenos pagadores como las mujeres. El Colegio de México, A.C. 2013-01-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/85 10.24201/ee.v28i1.85 Estudios Económicos de El Colegio de México; 55-vol. 28, no. 1, january-june, 2013; 39-77 Estudios Económicos de El Colegio de México; 55-vol. 28, núm. 1, enero-junio, 2013; 39-77 0186-7202 0188-6916 spa https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/85/87 Copyright (c) 2018 Estudios Económicos |
| spellingShingle | microfinance credit risk transition probability matrix Markov chains Value at Risk. G21 G32 microfinanzas riesgo de crédito matriz de probabilidad de transición cadenas de Markov Valor en Riesgo G21 G32 Rodríguez Vázquez, Verónica P. Hernández Vaquero, Japhet Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana |
| title | Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana |
| title_alt | Transition Probability Matrix of Microcredits: The case of a Mexican microfinance |
| title_full | Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana |
| title_fullStr | Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana |
| title_full_unstemmed | Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana |
| title_short | Matriz de probabilidad de transición de microcréditos: el caso de una microfinanciera mexicana |
| title_sort | matriz de probabilidad de transicion de microcreditos el caso de una microfinanciera mexicana |
| topic | microfinance credit risk transition probability matrix Markov chains Value at Risk. G21 G32 microfinanzas riesgo de crédito matriz de probabilidad de transición cadenas de Markov Valor en Riesgo G21 G32 |
| topic_facet | microfinance credit risk transition probability matrix Markov chains Value at Risk. G21 G32 microfinanzas riesgo de crédito matriz de probabilidad de transición cadenas de Markov Valor en Riesgo G21 G32 |
| url | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/85 |
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