Diseño de un modelo predictivo de seguimiento de riesgo de crédito para la cartera comercial, para una entidad financiera del Valle de Aburrá

Abstract

National financial entities receiving public resources (and therefore regulated by Superintendencia Financiera de Colombia), which trade purpose is to efficiently place resources in the market for those customers given a credit as contemplated by the guidelines of such regulatory entity, are exposed to risks during the execution of this credit activity. As financial intermediaries they should strictly comply with the three stages defined by the Supervising Entity for reaching proper management of credit risk: Credit Approval, Supervision and Control, and Recovery. The process developed is basically focused on the second stage by developing a Supervision and Control System which allows the Company’s guidelines subject to study to anticipate credit risk events in an attempt to reduce the economic impact such events may cause to their financial structure. Bearing in mind that Superintendencia Financiera de Colombia only sets forth basic guidelines for implementing this stage, credit entities can develop several Supervision and Control models, specifically prepared for each entity, provided that the Regulatory Entity’s general guidelines are observed. Accordingly, this Project develops a structure that follows guidelines in force in relation to credit risk and is consistent with the commercial portfolio of the financial entity under study, thus resulting in a system that enables generation of early alerts, their segmentation according to their economic impact, and establishment of timely action plans intended to decrease potential credit portfolio breaches.