Resumen

ALFARO, Rodrigo; PACHECO, David  y  SAGNER, Andrés. Dinámica de la frecuencia de impago de los créditos de consumo en cuotas. El trimestre econ [online]. 2013, vol.80, n.318, pp.329-342. ISSN 2448-718X.

In this paper we consider an extension of Vasicek's (1991) model for new consumer fixed-payment credits in the Chilean banking system. Under the assumption that the economy experienced a complete business cycle during 2003-09, we are able to compute the so-called Long-Run Probability of Default (LRPD) which is 14.4% if we consider the number of defaulted credits or 12.9% if we weight default frequencies by loan size. In the model we allow a time-variant threshold which is a function of both macroeconomic factors and average-characteristics of incoming debtors. Also, counterfactual exercises indicate that credit standards for loan applications were relaxed during 2006-07, implying an increment on defaults.

Palabras llave : modelo de Vasicek; probabilidad de impago; riesgo crediticio.

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