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1 Introducción

Este estudio tiene un enfoque descriptivo.

Se utilizó la base de información de cartera con corte al 30 de junio de 2015 considerando exclusivamente la cartera sin pago, se excluyen garantías mayores a 500 VSM y saldos menores a 5 VSM; cada observación corresponde a un crédito. La estructura comprende:

2 Distribuciones

##     Min.  1st Qu.   Median     Mean  3rd Qu.     Max. 
##  0.03408  0.35620  0.42030  0.63210  0.60230 22.26000

##     Min.  1st Qu.   Median     Mean  3rd Qu.     Max. 
##    0.000    1.023    1.178    2.376    1.430 6097.000

##    Min. 1st Qu.  Median    Mean 3rd Qu.    Max. 
##  0.0000  0.6994  0.8486  0.9935  0.9773 39.1200

## [1] 27.84939

3 Matrices

3.1 Ratio de pago vs severidad

La siguiente tabla presenta el ratio de pago en renglones y el ratio de severidad en columnas en términos relativos marginalizado sobre el total.

[0,0.1] (0.1,0.2] (0.2,0.3] (0.3,0.4] (0.4,0.5] (0.5,0.6] (0.6,0.7] (0.7,0.8] (0.8,0.9] (0.9,1] (1,40000]
[0,0.5] 0.0025604 0.000000 0.0000000 0.000000 0.0000000 0.0000000 0.0025604 0.0128018 0.0076811 0.0230432 4.3372507
(0.5,0.75] 0.0000000 0.000000 0.0000000 0.000000 0.0000000 0.0409658 0.2201910 0.8910055 1.0651100 0.7655478 2.4809893
(0.75,0.9] 0.0000000 0.000000 0.0000000 0.000000 0.0204829 1.0267046 2.1814271 1.0318253 0.2637171 0.1561820 1.3313875
(0.9,1] 0.0000000 0.000000 0.0000000 0.000000 1.5387767 2.7344650 0.7732289 0.2278721 0.2227514 0.2765189 0.7373838
(1,1.25] 0.0000000 0.000000 0.0000000 10.745833 18.9057019 2.8061551 0.7220217 0.7220217 0.8218757 0.4378216 0.7757892
(1.25,1.5] 0.0000000 0.000000 0.0179225 13.677446 2.9956218 0.7169009 1.1828866 0.8858847 0.4173388 0.2406739 0.3712523
(1.5,2] 0.0000000 0.000000 1.4235604 4.634252 0.6733748 0.5735208 0.4864685 0.2150703 0.1177766 0.0947333 0.2048288
(2,4000] 0.4250198 1.994521 7.2125355 1.935633 0.5530379 0.2329928 0.0972937 0.0819315 0.0460865 0.0691297 0.1126559

La siguiente tabla presenta la información anterior en número de créditos.

[0,0.1] (0.1,0.2] (0.2,0.3] (0.3,0.4] (0.4,0.5] (0.5,0.6] (0.6,0.7] (0.7,0.8] (0.8,0.9] (0.9,1] (1,40000]
[0,0.5] 1 0 0 0 0 0 1 5 3 9 1694
(0.5,0.75] 0 0 0 0 0 16 86 348 416 299 969
(0.75,0.9] 0 0 0 0 8 401 852 403 103 61 520
(0.9,1] 0 0 0 0 601 1068 302 89 87 108 288
(1,1.25] 0 0 0 4197 7384 1096 282 282 321 171 303
(1.25,1.5] 0 0 7 5342 1170 280 462 346 163 94 145
(1.5,2] 0 0 556 1810 263 224 190 84 46 37 80
(2,4000] 166 779 2817 756 216 91 38 32 18 27 44

4 Reestrucura con quita

Los créditos fueron clasificados en las siguientes categorias considerando una severidad del 60%:

## 
##     A     B     C     D 
## 30615  2437  1963  4043

##     Min.  1st Qu.   Median     Mean  3rd Qu.     Max. 
##    0.000    0.921    1.060    2.138    1.287 5487.000
A B C D
[0,0.2] 1 6 0 512
(0.2,0.4] 0 0 2 906
(0.4,0.6] 0 56 479 977
(0.6,0.8] 838 1059 389 754
(0.8,1] 8334 384 502 488
(1,1.2] 9550 378 303 178
(1.2,1.4] 4773 429 190 131
(1.4,1.6] 1574 71 41 38
(1.6,1.8] 692 11 12 15
(1.8,2] 450 6 10 5
(2,10000] 4403 37 35 39 

##     Min.  1st Qu.   Median     Mean  3rd Qu.     Max. 
##    0.000    0.818    0.943    1.900    1.144 4877.000
A B C D
[0,0.2] 1 6 0 623
(0.2,0.4] 0 0 12 1071
(0.4,0.6] 38 412 715 969
(0.6,0.8] 2823 901 359 808
(0.8,1] 12834 407 492 303
(1,1.2] 7085 522 257 145
(1.2,1.4] 2175 135 70 61
(1.4,1.6] 806 11 13 19
(1.6,1.8] 488 7 10 5
(1.8,2] 337 3 5 3
(2,10000] 4028 33 30 36 

##     Min.  1st Qu.   Median     Mean  3rd Qu.     Max. 
##    0.000    0.716    0.825    1.663    1.001 4268.000
A B C D
[0,0.2] 1 6 0 771
(0.2,0.4] 0 9 102 1295
(0.4,0.6] 517 1003 747 968
(0.6,0.8] 10396 535 586 636
(0.8,1] 10576 578 340 203
(1,1.2] 3284 249 127 104
(1.2,1.4] 988 14 16 22
(1.4,1.6] 535 7 10 5
(1.6,1.8] 372 4 10 4
(1.8,2] 278 5 6 5
(2,10000] 3668 27 19 30

4.1 Nivel de descuento

El nivel de descuento considera la relación entre el valor teorico actual \(V_{ta}\) y el saldo actual \(S\).

##      Min.   1st Qu.    Median      Mean   3rd Qu.      Max. 
## -3812.000     2.275    15.140     0.654    30.060   100.000
##      Min.   1st Qu.    Median      Mean   3rd Qu.      Max. 
##   0.00184  10.80000  21.72000  28.36000  35.27000 100.00000
A B C D
[-50,0] 2861 1313 1086 3471
(0,0.1] 6311 186 286 166
(0.1,0.2] 6523 221 206 137
(0.2,0.3] 5794 405 197 99
(0.3,0.4] 3031 245 119 96
(0.4,0.5] 1241 18 24 30
(0.5,0.6] 825 10 15 8
(0.6,0.7] 748 13 19 11
(0.7,0.8] 1466 9 1 11
(0.8,0.9] 1066 8 5 7
(0.9,1] 749 9 5 7

5 Análisis de sensibilidad

# Plusvalía -10%
median(cartera$GARANTIA_VSM*0.3*0.9/cartera$SALDO_VSM)
## [1] 0.2837161
median(cartera$GARANTIA_VSM*0.4*0.9/cartera$SALDO_VSM)
## [1] 0.3782881
median(cartera$GARANTIA_VSM*0.5*0.9/cartera$SALDO_VSM)
## [1] 0.4728601
# Sin plusvalía
median(cartera$GARANTIA_VSM*0.3*1.0/cartera$SALDO_VSM)
## [1] 0.3152401
median(cartera$GARANTIA_VSM*0.4*1.0/cartera$SALDO_VSM)
## [1] 0.4203201
median(cartera$GARANTIA_VSM*0.5*1.0/cartera$SALDO_VSM)
## [1] 0.5254002
# Plusvalía 10%
median(cartera$GARANTIA_VSM*0.3*1.1/cartera$SALDO_VSM)
## [1] 0.3467641
median(cartera$GARANTIA_VSM*0.4*1.1/cartera$SALDO_VSM)
## [1] 0.4623521
median(cartera$GARANTIA_VSM*0.5*1.1/cartera$SALDO_VSM)
## [1] 0.5779402