El análisis de supervivencia en la gestión del riesgo de crédito: el caso de una cartera hipotecaria ecuatoriana.

Abstract

This document aims to analyze the application of survival analysis, and specifically the cox model in an area such as finance, which has not traditionally been addressed in Latin America. In the first instance the existing bibliography has been described and analyzed with respect to the benefits that the application of the analysis of survival derives in the dynamics of the formal financial system, later a methodological procedure has been proposed that allows to to apply a survival analysis to a mortage portfolio loans belonging to an Ecuadorian financial institution, with the purpose of segmenting it and identifying internal and external situations in order to define differentiated strategies for both the credit granting and the collection management. Finally, the analysis was automated through programming in the R software, thus facilitating its reproduction and parameterization for its implementation as part of the credit risk management and mitigation actions associated with the mortgage portfolio analyzed.