Metodología para el análisis de riesgo de crédito a través de matrices de transición

Abstract

The main objective of the research was to evaluate the credit risk and the expected loss of an Ecuadorian financial institution in an annual projection. It began with the analysis of credit risk exposure, the adequate management of this exposure, the importance of the debtor's solvency and the guarantees offered. Through the credit rating, the borrower's capacity to meet its payment obligations was evaluated, categorizing debtors from “normal risk” to “Default”. The development of the project included the use of monthly financial data, organized in detail between January and August 2024, as well as a collateral database that provided key information on the type and value of collateral associated with the loans. In addition, a transition probability matrix was applied to model changes in credit ratings, facilitating the calculation of expected loss. The main results showed that credit ratings correlate directly with risk exposure. In addition, the application of these techniques allow the financial institution to better assess the probabilities of rating changes and estimate expected losses, highlighting the importance of maintaining a robust and proactive portfolio management to minimize potential losses in the credit portfolio. Key words: credit risk, transition matrix, expected loss, credit rating, guarantees.