Examinando por Materia "Modelo CreditMetrics"
Mostrando 1 - 1 de 1
Resultados por página
Opciones de ordenación
Publicación Aplicación del enfoque Credit VaR en el modelo CreditMetrics de JP Morgan para la medición del riesgo crediticio en portafolios de renta fija en Colombia(Universidad EAFIT, 2026-05) Patiño Castro, Ángela Alejandra; Rodríguez Contreras, Marry; Botero Ramírez, Juan CarlosThis research analyzes the application of a simplified version of JP Morgan's CreditMetrics model for measuring credit risk in fixed-income portfolios in Colombia. Using a portfolio constructed with publicly available information, its performance is evaluated through credit rating migration probabilities and credit spreads. Through the Credit Value at Risk (Credit VaR) framework, the results allow for estimating the distribution of losses and demonstrate that this model is a useful tool for measuring credit risk in portfolios with limited information.