Modelos para medir el riesgo de crédito de la banca

Abstract

This article describes the main models for determining banking credit risk, for the purpose of comparing them and disseminating their usefulness in bank credit risk management, thus, offering a frame of reference for studying this topic in financial theory and praxis alike. The descriptive study defines credit risk and analyzes the main traditional models (expert systems and qualification systems), the modern models (the Kecholfer, McQuown and Vasicek model [KMV] and the model Capital and Credit Risk for Emerging Nations (CYRCE) created by Banco de Mexico. Findings show that traditional models are based on a scheme that analyzes certain basic components by integrally assessing them whereas modern models aim to record the high volatility to which the securities are subject, employing more sophisticated techniques to so determine. Results indicate that the models have evolved par to the more complex banking system environment.