Examinando por Autor "Cárdenas Pinto, Henry"
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- ÍtemModelo estadístico para establecer la relación entre el indicador de cartera vencida total, la pérdida neta de crédito y el costo de cartera de un crédito de consumo libre inversión otorgado por una entidad bancaria de Bogotá, ColombiaMedina Monroy, Oscar Mauricio; Cárdenas Pinto, Henry; Santana Contreras, Juan CamiloThis paper presents a statistical model to establish the relationship between the total overdue portfolio indicator, the net loss of credit and the cost of credit, for a credit of consumption of free investment granted by a bank of Bogot a (Colombia). The data contain information for a period from June 2011 to January 2015. The di erent statistical tests that were applied to the proposed model suggest that it is consistent. The augmented Dickey-Fuller unit root test allows us to establish that the series net loss of credit, credit cost and total overdue portfolio indicator are not stationary and have the same order of integration. The Engle-granger cointegration test provided su cient statistical evidence on the long-run and short-run equilibrium relationship between net credit loss and the total overdue portfolio indicator and between the cost of credit and the net loss of credit. Using historical data from the total overdue portfolio indicator in the proposed statistical model together with the accounting information contained in the pro t and loss statement, a Monte Carlo simulation was carried out, which allowed the forecast of the cost of credit and the rate of return on assets. With the results obtained it is possible to indicate to the bank what the probability of obtaining minimum pro ts for the product of consumer credit of free investment is.