Construcción de un modelo de scoring para el otorgamiento de crédito en una entidad financiera

RESUMEN: La Superintendencia Financiera de Colombia (SFC) mediante la Carta Circular 31 y la Circular Externa 11 de 2002, exige que todas las instituciones financieras deben implementar un Sistema de Administración del Riesgo Creditico (SARC); teniendo en cuenta la volatilidad de las variables financieras gracias a la globalización de los mercados financieros mundiales y la importancia de un sistema financiero fuerte. En este marco regulatorio, el presente trabajo implementa una metodología de análisis discriminante para la construcción de un modelo de Scoring de otorgamiento de crédito; mediante el análisis estadístico de variables cualitativas y cuantitativas dentro de una base de datos facilitadas por una cooperativa financiera del Valle de Aburrá con esto se pretende definir perfiles de prestatarios propensos al incumplimiento de sus obligaciones, y perfiles de prestatarios de buen comportamiento.ABSTRACT: The Superintendencia Financiera of Colombia (SFC) by the Carta Circular 31 and the Circular Externa 11 of 2002, it requires to all financial institutions implement a Risk Management System Credit, taking into account the volatility of financial variables through the world financial markets globalization and the importance of a strong financial system. In this regulatory framework, the paper proposes a grand model of credit scoring to define profiles of borrowers susceptible to default in their obligations, and profiles of borrowers with good behavior, that, through statistical analysis of qualitative and quantitative variables with a database provided by a financial cooperative in the Aburrá Valley

Balance sheet effects in Colombian non-financial firms

After building up foreign currency-denominated (FC) liabilities over several years, the balance sheets of Colombian firms might be particularly vulnerable to a shift in external conditions. This paper undertakes four exercises in order to get a better understanding of these vulnerabilities. First, probit/logit estimations are used to identify the firm-level and macroeconomic determinants of FC borrowing by non-financial corporations. Second, the implications of the balance sheet vulnerability for real activity are investigated. Evidence is found of an FC balance sheet effect that transmits exchange rate fluctuations to firm-level investment, and show that that this effect is asymmetric, much greater for depreciations than for appreciations. Third, using logit/probit estimations, it is shown that not all firms use forward exchange derivatives solely to hedge their FC liabilities. This might be a consequence of exchange rate intervention by the monetary authority, protecting against extreme exchange rate misalignments. Finally, results are reported of a survey-based qualitative analysis on the hedging policies and activities of 12 large non-financial firms