Since 2014
Una MetodologÃa Basada en Cópulas y Valores Extremos para Estimar el Capital Económico Requerido de un Portafolio de Créditos al Menudeo
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Una MetodologÃa Basada en Cópulas y Valores Extremos para Estimar el Capital Económico Requerido de un Portafolio de Créditos al Menudeo
— |
|
| Creator |
Diaz Hernandez, Adan
Ramirez Sanchez, Jose Carlos |
|
| Description |
This paper poses a new methodology to estimate the required economic capital for a retail-credit portfolio. The methodology is based on both the general copula concepts and some core results from the extreme value theory (EVT). The main results support the fact that the proposed methodology is more flexible than other traditional techniques, in particular when it makes use of elliptical generalized or grouped t Student copulas to model the dependence structure of risk-parameters or when it includes elements of the EVT to analyze the extreme losses behavior of a retail-credit portfolio. When applying algorithms, the paper includes data from a Mexican bank.
— |
|
| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
|
|
| Contributor |
—
— |
|
| Date |
2010-03-05
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/93
|
|
| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 24, No 2 (2009); 95-132
Revista de Análisis Económico – Economic Analysis Review; Vol 24, No 2 (2009); 95-132 0718-8870 0716-5927 |
|
| Language |
spa
|
|
| Relation |
http://www.rae-ear.org/index.php/rae/article/view/93/178
|
|