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CAMEL vs. discriminante, un análisis de riesgo al sistema financiero venezolano CAMEL vs discriminant, a risk analysis to the Venezuelan financial system

Keywords: CAMEL , Análisis discriminante , Calificación de Riesgo , Sistema Financiero Venezolano

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Abstract:

El artículo presentan las calificaciones de riesgo de las instituciones pertenecientes al sistema financiero venezolano al cierre del primer semestre del a o 2010, obtenidas mediante la aplicación de dos metodologías: la primera conocida como CAMEL y la segunda a través de una técnica estadística denominada análisis discriminante, esta última permitirá clasificar a las instituciones financieras en categorías de riesgo, formar un perfil que muestre las característica más representativa de las categoría y cuantificar la probabilidad de pertenecer a una calificación. La investigación pretende establecer si un modelo es mejor que el otro, sino demostrar que se puede complementar el análisis netamente descriptivo con el análisis multivariante, aplicándolo en un área del saber que ha sido poco explotada en Venezuela, permitiendo informar a la colectividad en general, las técnicas estadísticas empleadas en materia de riesgo. Abstract This paper presents the credit ratings of the institutions belonging to the Venezuelan financial system at the end of the first half of 2010, obtained by applying two methods: the first known as CAMEL and the second through a statistical technique called analysis discriminant, the latter will qualify for financial institutions in risk categories, form a profile that shows the most representative feature of the category and quantify the probability of belonging to a rating. This research does not establish whether one model is better than the other, but show that you can supplement purely descriptive analysis multivariate analysis, applied to an area of knowledge that has been little exploited in Venezuela, allowing to inform the public at large , the statistical techniques used in risk. This paper presents the credit ratings of the institutions belonging to the Venezuelanfinancial system at the end of the first half of 2010, obtained by applying two methods:the first known as CAMEL and the second through a statistical technique called analysisdiscriminant, the latter will qualify for financial institutions in risk categories, form aprofile that shows the most representative feature of the category and quantify theprobability of belonging to a rating.This research does not establish whether one model is better than the other, but showthat you can supplement purely descriptive analysis multivariate analysis, applied toan area of knowledge that has been little exploited in Venezuela, allowing to inform thepublic at large , the statistical techniques used in risk.

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