Publication: Un modelo de credit scoring para insituciones de microfinanzas en el marco de Basilea II
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2010-06
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ESAN
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Abstract
El crecimiento de los microcréditos a nivel mundial, junto con la normativa internacional sobre requerimientos de capital (Basilea II), están impulsando a las instituciones de microfinanzas (IMFs) a una mayor competencia con las entidades bancarias por este segmento de negocio. La banca tradicionalmente ha contado con adecuados modelos de credit scoring para analizar el riesgo de incumplimiento, pero esto no ha sido así en las IMFs supervisadas. El objetivo de esta investigación es diseñar un modelo de credit scoring para una institución sometida a supervisión y especializada en microcréditos, como es la Entidad de Desarrollo de la Pequeña y Micro Empresa (Edpyme) del sistema financiero del Perú. El resultado de la investigación muestra la metodología y fases necesarias para diseñar el modelo, así como el proceso de valoración y validación para que pueda ser aplicado en el área de negocio, especialmente para establecer la política de tasas de interés con clientes. Por último, también se muestra cómo puede utilizarse el modelo para desarrollar una gestión del riesgo de crédito en el marco de los métodos IRB de Basilea II.------------------------------------------------------------
The growth of microcredit worldwide along with international rules on capital requirements (Basel II) are increasing the competition between microfinance institutions (MFIs) and banks for this business segment. The bank system traditionally has relied on adequate credit scoring models to analyze the risk of payment failures, but this has not been the case in supervised MFIs. The objective of this research is to design a credit scoring model for any institution subjected to supervision and specialized in microcredit as the Development Agency for Small and Micro Enterprise (Entidad de Desarrollo de la Pequeña y Micro Empresa - Edpyme) of the financial system in Peru. The results of this research includes a methodology and the steps needed to design the model, and the assessment and validation process that can be applied in the business area, in particular, to establish an interest rate policy with customers. Eventually, the paper also explains how the model can be used to develop credit risk management under the Basel II IRB approaches.
The growth of microcredit worldwide along with international rules on capital requirements (Basel II) are increasing the competition between microfinance institutions (MFIs) and banks for this business segment. The bank system traditionally has relied on adequate credit scoring models to analyze the risk of payment failures, but this has not been the case in supervised MFIs. The objective of this research is to design a credit scoring model for any institution subjected to supervision and specialized in microcredit as the Development Agency for Small and Micro Enterprise (Entidad de Desarrollo de la Pequeña y Micro Empresa - Edpyme) of the financial system in Peru. The results of this research includes a methodology and the steps needed to design the model, and the assessment and validation process that can be applied in the business area, in particular, to establish an interest rate policy with customers. Eventually, the paper also explains how the model can be used to develop credit risk management under the Basel II IRB approaches.
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Keywords
Microcréditos, Instituciones de microfinanzas, Basilea II, Credit scoring, Logit, IRB, Microcredit, Institutions of microfinance, Basel II
Bibliographic citation
Journal of economics, finance and administrative science, v. 15, n. 28, jun. 2010, pp. 89-124