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Nuevas técnicas de medición del riesgo de crédito
Juan Carlos García Céspedes |
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The first two parts of this article are a review about some techniques and methodologies for credit risk measurement. Firstly some basic concepts as Probability of default (PD), exposure at default (EAD), loss given default (LGD), expected loss (EL) and economic capital are defined. Secondly, a more formal discussion is included about the use of correlations in credit risk and the particular case of a one-factor economy.
The third part of this article deals with new rules about capital requirements for credit institutions (Basel II) and how these rules are based on the one-factor model previously described.
Finally some thoughts are given about how expected loss and economic capital should be included in loan pricing and profitability measurement.
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