Differentiated determinants of risk in portfolio at risk of

Determinantes diferenciados de riesgo en la cartera en riesgo

*,

Abstract

Available online at www.sciencedirect.com

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*

176 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

Keywords Panel data Credit risk

Resumen

Palabras clave Datos en panel Ries

Introduction

that it

177S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

oss and fss

178 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

179S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

4

A panel data approach

ted as

glp

ife

, the change on

rc

wor

ygpn and ygpr

md

4

180 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

of par

Descriptive analysis and unit roots panel data test

portfolio, ygpn and ygpr

181S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

it

tion of the lagged changes on the variables,

The second set of panel errors,

variables

i, and, L=i. This

and the trend,

The standardized errors

and

as and

the errors it ,

i e

gonalization:

182 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

, and the trend , are optional, that is:

H t

glp rc

Statistic

Prob

ife

H

panel

idea of a t

183S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

the standardized lagged changes in panel errors

Statistic *

Prob

Statistic **

Prob

Statistic ***

Prob* ** *** intercept and trend

184 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

the common intercept

and the slope vector

, and its vector of

, and

is important to remember that and are diagonal matrices of order and ,

and

is independent of and

is a

m

185S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

correlated terms, and this means that

Pooled Prob FE Prob RE Prob

glp

ife

rc

md

Cons

that the md

186 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

Test Statistic

Quantile regression in panel data

187S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

ob Y and parameters

Prob Prob prob Pooled Prob

rc

cons

md

glp wor, are

glp, the change on risk covera

rc

188 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

wor ygpn, and

ygpr

ygpn, is

ment in taking instead of

189S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

Prob Prob Prob Pooled Prob

glp

2007

2008

2009

2010

2011

2012

Prob Prob Prob Pooled Prob

2007

2008

2009

2010

2011

2012

Prob Prob Prob Pooled Prob

2007

2008

2009

2010

2011

2012

190 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

Conclusions

ygpn ygpr

ife

ife ygpr

191S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

glp rc wor

Appendix

Appendix A

Variable Description

md

Appendix B

S x, y

192 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

Appendix C

emiSol

4 COCDEP

Appendix D

References

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bargaining levels cointegrated? Applied Economics,

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Econometrics

Journal

193S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

rates

nomics

Contemporary

Econometrica,

World

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World Development, 39

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Journal of Development Studies, 48

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International Statistical Review/Revue Internationale de Statistique, 55

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World Development,

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Journal of Economic Literature,

/,

194 S. Cruz Aké et al. / Contaduría y Administración 60 (S1) 175-194

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