Pérdida esperada: paneles dinámicos para la cuantificación del riesgo de crédito

Palabras clave: riesgo de crédito, gestión cuantitativa de ries, banca, paneles dinámicos, pérdida esperada

Resumen

La crisis financiera mundial, iniciada en 2007, ha marcado un antes y un después en la administración de riesgos contemporánea, no desde el punto de vista del desarrollo de la
administración de riesgos, sino desde la necesidad de aplicar lo desarrollado y utilizarlo oportunamente, tanto por parte de las instituciones financieras como por los reguladores y el Estado. De acuerdo con Dionne (2013), el estudio de la administración de riesgos se ha desarrollado desde la finalización de la Segunda Guerra Mundial, por lo que ha tenido más de 50 años para evolucionar con relación a técnicas cuantitativas y científicas. Este artículo propone el uso de paneles dinámicos para la cuantificación agregada del riesgo de crédito, utilizando la metodología de Macro Credit Scoring; se construye un modelo econométrico para medir el riesgo de crédito de un sistema bancario en función del crecimiento económico y del perfil financiero de los bancos (que refleja su perfil de riesgo). Para la metodología se utilizó lo propuesto por Arellano-Bond para controlar la endogeneidad entre el riesgo de crédito y el crecimiento económico; se estima la medida de pérdida esperada como producto final. Se determinó que la cobertura por riesgo de crédito es adecuada en Bolivia y se demuestra la aplicabilidad de la metodología propuesta.

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Publicado
2021-02-09
Cómo citar
Torrico-Salamanca, S. (2021). Pérdida esperada: paneles dinámicos para la cuantificación del riesgo de crédito. Estudios De La Gestión: Revista Internacional De administración, (9), 157-190. https://doi.org/10.32719/25506641.2021.9.7