CAMEL vs discriminant, a risk analysis to the Venezuelan financial system

Authors

  • Jesús Yoel Crespo Universidad Nacional Experimental Politécnica de las Fuerzas Armadas Nacional

Keywords:

CAMEL, Discriminant Analysis, Risk Rating, the Venezuelan financial system.

Abstract

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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Author Biography

  • Jesús Yoel Crespo, Universidad Nacional Experimental Politécnica de las Fuerzas Armadas Nacional

    Licenciado en Estadística, Universidad de los Andes (ULA) Venezuela. Banco Bicentenario Banco Universal C.A. Unidad de Administración Integral de Riesgo (Las opiniones contenidas aquí son de responsabilidad exclusiva del autor y no comprometen al Banco Bicentenario ni a su Junta Directiva). Profesor Universidad Nacional Experimental Politécnica de las Fuerzas Armadas Nacional, Venezuela.

References

Crawley M. (2007). The R Book. Inglaterra: Editorial Wiley.

Escoto R. (2007). Banca Comercial. Costa Rica: Editorial EUNED.

Peña D. (2002). Análisis de Datos Multivariantes. Madrid: Editorial McGraw-Hill/ Interamericana de España.

Superintendencia de Bancos y Otras instituciones Financieras. (2010). Boletín Trimestral Enero-Marzo 2010. Recuperado de: http://www.sudeban.gob.ve/inf_estadistica.php

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Published

2011-12-15

Issue

Vol. 15 No. 33 (2011)

Section

Articles

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How to Cite

Crespo, J. Y. (2011). CAMEL vs discriminant, a risk analysis to the Venezuelan financial system. Ecos de Economía, 15(33), 25-47. https://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/447