Resumo

SALAZAR VILLANO, Fabián Enrique. Default risk measuring in consumption credits: an econometric exercise for a bank in the municipality of Popayán, Colombia. estud.gerenc. [online]. 2013, vol.29, n.129, pp.416-427. ISSN 0123-5923.

This paper approaches the study of credit risk as an objective of modern banking regulation, advancing from theory to get a specific quantitative approach. In this way, two econometric models are estimated for a representative bank institution in terms of consumption credits in the municipality of Popayán, Department of the Cauca (Colombia). These demonstrate that the bank's portfolio is risk-free according to some clients and credit characteristics. On the other hand, it is found that the default risk is elastic or highly sensitive to economic cycles, but inelastic regarding interest and unemployment rates in this city.

Palavras-chave : Neo-institutional Theory; Bank risk; Consumer credits; Econometrics for Finances.

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