DISTRIBUCION DE PERDIDAS POR RIESGO DE C

Simulación Monte Carlo - Modelo de BIS II

DISTRIBUCIO

% Frecuencia
Datos ENTRADA
Nº de operaciones 20 35%
Nº de simulaciones 200 30%
EAD 30,000.00 25%
EADi 1,500.00
20%
LGD 56.00%
15%
Correlación 15.00%
PD (portafolio) 7.00% 10%

5%

0%

0% 3% 6% 9% 12% 15%

RESUMEN DE PARAMETROS DE RIESGO

Pérdida
% incumpl. $us % cartera
EL - Valor medio 1.3% 1,126 3.8%
UL - Desviación Típica 1.4% 1,171 3.9%
Valor máximo 8.0% 6,720 22.4%
UL al 97% 5.0% 4,200 14.0%
UL al 99,5% 6.0% 5,048 16.8%
UL al 99,97% (AA) 7.9% 6,620 22.3%

EAD (Cartera Total) 30,000.00

POR RIESGO DE CREDITO
o - Modelo de BIS II
DISTRIBUCION DE INCUMPLIMIENTOS
% Frecuencia

35%

30%

25%

20%

15%

10%

5%

0%

0% 3% 6% 9% 12% 15% 18% 21% 24% 27% 30% 33% 36% 39% 42% 45% 48%
% Incumplimientos
 SIMULACION DE INCUMPLIMIENTOS

Vi   f  1   i
Datos SIMULACION
Correlación 15%
Valor de una distribución N(0,1)
PD 7.0% inversa de la PD
Pto. Crítico -1.4758

Riesgo común a todos los

activos

INCUMPLIMIENTOS CREDITOS =>

Nº % N(0,1) 1 2 3 4 5 6 7 8
2 2% -1.2300 1 0 0 0 0 0 0 0 1
0 0% 0.5197 2 0 0 0 0 0 0 0 0
SIMULACIONES =>

2 2% -0.4073 3 0 0 0 0 0 0 0 0
3 3% -1.8682 4 0 0 0 1 0 0 0 0
3 3% -1.2115 5 0 1 0 0 0 0 0 1
3 3% -1.4199 6 0 0 1 0 0 0 0 0
1 1% 0.2296 7 0 0 0 0 0 0 0 0
1 1% -0.7104 8 0 0 0 0 1 0 0 0
3 3% -0.2051 9 0 0 0 0 0 0 1 0
1 1% 0.5132 10 0 0 0 1 0 0 0 0
1 1% 0.5049 11 0 0 0 0 0 0 0 0
1 1% -1.3694 12 0 0 0 0 0 0 0 0
1 1% 0.8827 13 0 0 0 0 0 0 0 0
0 0% 1.2677 14 0 0 0 0 0 0 0 0
1 1% -0.3990 15 0 1 0 0 0 0 0 0
0 0% 0.6202 16 0 0 0 0 0 0 0 0
2 2% -0.7936 17 0 0 0 0 0 0 0 0
0 0% 1.6166 18 0 0 0 0 0 0 0 0
1 1% -1.2075 19 0 0 0 0 0 0 0 0
2 2% -1.4005 20 0 1 0 0 0 0 0 0
1 1% 1.7378 21 0 0 0 0 0 0 0 0
0 0% 0.4009 22 0 0 0 0 0 0 0 0
1 1% 0.5053 23 0 0 0 0 1 0 0 0
0 0% -0.1684 24 0 0 0 0 0 0 0 0
1 1% 1.5113 25 0 0 0 1 0 0 0 0
2 2% -1.1079 26 0 0 0 0 0 1 0 0
1 1% -0.3154 27 0 0 0 0 0 0 0 1
2 2% -0.3308 28 0 0 0 0 0 0 0 0
0 0% 3.0107 29 0 0 0 0 0 0 0 0
1 1% -0.4448 30 0 1 0 0 0 0 0 0
0 0% 1.6321 31 0 0 0 0 0 0 0 0
0 0% 0.1733 32 0 0 0 0 0 0 0 0
2 2% -0.8763 33 0 0 1 0 0 0 0 0
1 1% 0.0225 34 0 0 0 0 0 0 0 0
1 1% -0.4950 35 0 0 0 0 0 0 0 0
1 1% 0.6980 36 0 0 0 0 1 0 0 0
0 0% 0.9789 37 0 0 0 0 0 0 0 0
0 0% 1.7642 38 0 0 0 0 0 0 0 0
1 1% 0.1727 39 0 0 0 0 0 0 1 0
0 0% 0.1783 40 0 0 0 0 0 0 0 0
1 1% -0.9795 41 0 1 0 0 0 0 0 0
0 0% 1.5628 42 0 0 0 0 0 0 0 0
4 4% -1.4556 43 0 0 0 0 1 1 0 0
2 2% -2.1324 44 0 0 0 0 0 0 0 0
0 0% -0.4851 45 0 0 0 0 0 0 0 0
1 1% 0.1724 46 0 0 0 0 0 0 0 0
0 0% 0.5782 47 0 0 0 0 0 0 0 0
1 1% -0.4045 48 0 0 0 0 0 0 0 0
3 3% 0.0613 49 1 0 0 0 0 0 0 0
1 1% -0.4264 50 0 0 0 0 0 0 0 0
1 1% 0.3929 51 0 0 0 0 0 0 0 0
1 1% -1.0396 52 0 0 0 0 0 0 0 0
2 2% -1.4822 53 0 0 0 0 0 0 0 1
0 0% 0.7864 54 0 0 0 0 0 0 0 0
2 2% 0.3070 55 0 1 0 0 0 0 0 0
0 0% 1.2768 56 0 0 0 0 0 0 0 0
0 0% 1.2122 57 0 0 0 0 0 0 0 0
2 2% -0.3172 58 1 0 0 0 0 0 0 0
0 0% 1.3890 59 0 0 0 0 0 0 0 0
2 2% -0.7280 60 0 1 0 0 0 0 0 0
2 2% -0.4239 61 1 0 0 0 0 0 0 0
1 1% 0.1591 62 0 0 0 0 0 0 0 0
0 0% 1.0956 63 0 0 0 0 0 0 0 0
1 1% -0.5218 64 0 0 0 0 0 0 0 0
2 2% 0.6338 65 0 0 0 0 0 0 1 0
2 2% -1.2051 66 0 0 0 0 0 0 1 0
2 2% -0.2705 67 1 0 0 0 0 0 1 0
3 3% -0.4268 68 0 1 0 0 0 1 0 0
0 0% -0.0381 69 0 0 0 0 0 0 0 0
1 1% -1.4372 70 0 0 0 0 0 0 0 1
3 3% -0.8940 71 0 0 0 0 0 0 0 0
3 3% -0.8161 72 1 0 0 0 0 0 0 0
1 1% -0.8229 73 0 0 0 0 1 0 0 0
0 0% 1.3542 74 0 0 0 0 0 0 0 0
2 2% 0.1732 75 0 0 1 0 0 0 0 0
2 2% -0.7757 76 0 0 0 1 0 0 0 0
0 0% 1.0764 77 0 0 0 0 0 0 0 0
3 3% -2.2616 78 0 1 1 1 0 0 0 0
1 1% 1.6951 79 0 0 0 0 1 0 0 0
0 0% 1.2803 80 0 0 0 0 0 0 0 0
1 1% 0.5532 81 0 0 0 0 0 0 0 1
0 0% -0.1268 82 0 0 0 0 0 0 0 0
0 0% 0.5489 83 0 0 0 0 0 0 0 0
0 0% -0.7375 84 0 0 0 0 0 0 0 0
0 0% 0.8817 85 0 0 0 0 0 0 0 0
5 5% -0.6632 86 0 1 0 0 0 0 0 1
0 0% 1.1843 87 0 0 0 0 0 0 0 0
2 2% -0.8103 88 0 0 1 0 0 0 0 0
1 1% 0.2224 89 0 0 0 0 0 0 0 0
0 0% 0.7449 90 0 0 0 0 0 0 0 0
6 6% -1.6882 91 0 1 0 1 0 0 0 1
0 0% 0.1610 92 0 0 0 0 0 0 0 0
0 0% 1.1970 93 0 0 0 0 0 0 0 0
1 1% -1.0717 94 0 0 0 0 1 0 0 0
2 2% -0.8074 95 0 0 0 0 0 0 0 0
4 4% 0.2704 96 0 0 0 0 0 1 0 1
1 1% -0.7325 97 0 0 1 0 0 0 0 0
1 1% -1.4703 98 0 0 0 0 0 0 0 0
4 4% -0.9547 99 0 0 0 1 0 0 0 0
1 1% 0.6836 100 0 0 0 1 0 0 0 0
1 1% 0.4186 101 0 0 0 0 0 0 0 0
0 0% -0.4966 102 0 0 0 0 0 0 0 0
0 0% 1.6947 103 0 0 0 0 0 0 0 0
0 0% -0.1455 104 0 0 0 0 0 0 0 0
0 0% 1.5541 105 0 0 0 0 0 0 0 0
4 4% -0.8029 106 0 0 1 0 0 0 1 0
4 4% -3.0013 107 1 1 0 0 0 0 1 1
0 0% 1.4255 108 0 0 0 0 0 0 0 0
0 0% -0.4399 109 0 0 0 0 0 0 0 0
2 2% -1.3526 110 0 0 0 0 0 0 1 0
3 3% -1.0778 111 0 0 1 0 0 0 0 0
3 3% -0.7338 112 0 0 1 1 0 1 0 0
0 0% 1.4617 113 0 0 0 0 0 0 0 0
1 1% 0.8860 114 0 0 0 0 0 0 0 0
0 0% 1.1945 115 0 0 0 0 0 0 0 0
1 1% 1.0675 116 0 0 0 0 0 0 0 0
0 0% 0.4612 117 0 0 0 0 0 0 0 0
1 1% 0.0350 118 0 1 0 0 0 0 0 0
1 1% 0.8981 119 0 0 1 0 0 0 0 0
3 3% -0.7799 120 0 0 0 0 0 0 1 0
0 0% 0.4875 121 0 0 0 0 0 0 0 0
2 2% 0.1600 122 0 0 1 0 0 1 0 0
5 5% -1.6303 123 0 0 0 0 0 1 0 0
2 2% -1.0905 124 0 0 0 0 0 0 1 0
6 6% -2.4217 125 0 1 0 0 0 1 0 0
2 2% -0.3750 126 0 0 0 0 1 0 0 0
0 0% 0.2815 127 0 0 0 0 0 0 0 0
1 1% -0.4818 128 0 0 0 0 0 0 0 0
0 0% 1.5268 129 0 0 0 0 0 0 0 0
0 0% -0.6261 130 0 0 0 0 0 0 0 0
0 0% 0.1605 131 0 0 0 0 0 0 0 0
0 0% 2.0129 132 0 0 0 0 0 0 0 0
2 2% -0.9659 133 0 0 0 0 0 0 0 0
3 3% -1.5628 134 0 0 0 0 0 1 1 0
3 3% -0.8928 135 0 0 0 0 0 0 0 1
3 3% -0.5159 136 1 1 0 0 1 0 0 0
1 1% 1.3182 137 0 0 0 0 0 0 0 0
3 3% -1.6630 138 0 0 0 0 0 0 0 0
1 1% -0.7616 139 0 0 0 0 0 0 1 0
2 2% -0.3753 140 0 0 0 1 0 0 0 0
3 3% -0.1268 141 0 0 1 0 0 0 0 0
0 0% 1.3694 142 0 0 0 0 0 0 0 0
0 0% 0.5821 143 0 0 0 0 0 0 0 0
0 0% 2.0256 144 0 0 0 0 0 0 0 0
1 1% 1.6227 145 0 0 0 0 0 0 0 0
0 0% 0.4462 146 0 0 0 0 0 0 0 0
0 0% 0.3602 147 0 0 0 0 0 0 0 0
2 2% -0.6660 148 0 0 1 0 0 0 0 0
2 2% -0.0324 149 1 0 0 1 0 0 0 0
1 1% -1.5352 150 0 0 0 0 0 0 0 0
3 3% -0.9000 151 0 0 0 0 0 0 1 0
0 0% -0.5837 152 0 0 0 0 0 0 0 0
2 2% -0.6333 153 0 0 0 1 0 1 0 0
1 1% -0.9694 154 0 0 0 0 0 0 0 0
3 3% -0.9383 155 0 0 0 0 0 0 1 1
1 1% 0.2529 156 0 0 0 0 0 0 0 0
3 3% -1.3876 157 0 0 0 0 0 0 0 0
0 0% 1.1048 158 0 0 0 0 0 0 0 0
0 0% 0.5885 159 0 0 0 0 0 0 0 0
4 4% -1.4739 160 0 0 0 1 0 1 0 0
2 2% 0.3904 161 0 0 0 0 1 0 0 0
2 2% 0.0740 162 0 0 0 0 0 0 0 1
0 0% 1.0558 163 0 0 0 0 0 0 0 0
1 1% 0.5634 164 0 0 0 0 0 0 0 1
1 1% 0.5843 165 0 0 0 0 0 1 0 0
2 2% 1.0911 166 0 0 0 0 0 0 1 0
1 1% 1.2313 167 0 0 0 0 0 0 0 0
1 1% 0.2410 168 0 0 0 0 0 0 1 0
2 2% -1.1911 169 0 0 1 0 0 0 0 0
2 2% -1.6831 170 0 0 0 0 1 0 0 1
0 0% -0.5237 171 0 0 0 0 0 0 0 0
0 0% 0.0085 172 0 0 0 0 0 0 0 0
1 1% 0.9503 173 0 0 1 0 0 0 0 0
0 0% 0.2480 174 0 0 0 0 0 0 0 0
2 2% -0.8040 175 0 1 0 0 0 0 0 0
5 5% -1.6823 176 0 0 0 0 0 1 1 0
1 1% -0.9863 177 0 0 0 0 0 0 0 0
3 3% -1.1828 178 0 0 0 1 0 0 0 0
0 0% 0.3761 179 0 0 0 0 0 0 0 0
2 2% -0.6859 180 0 0 0 0 0 0 0 0
0 0% 1.8656 181 0 0 0 0 0 0 0 0
1 1% -1.1579 182 0 0 0 0 0 0 0 0
5 5% -2.2933 183 0 0 0 1 0 1 0 0
1 1% 0.4426 184 1 0 0 0 0 0 0 0
2 2% 0.2692 185 0 0 0 0 0 0 0 0
1 1% -0.6897 186 0 0 0 0 0 0 0 0
0 0% 0.5717 187 0 0 0 0 0 0 0 0
2 2% 0.1077 188 0 0 0 0 1 0 0 0
2 2% 0.7535 189 0 1 0 0 0 0 0 0
8 8% -1.1472 190 0 0 1 1 0 1 0 0
1 1% 0.2518 191 0 0 0 0 0 0 0 0
0 0% 0.5929 192 0 0 0 0 0 0 0 0
0 0% 0.9789 193 0 0 0 0 0 0 0 0
1 1% -0.4617 194 0 0 0 0 0 0 0 0
1 1% -0.1169 195 0 0 0 0 0 0 0 0
3 3% -1.0462 196 0 0 0 0 0 0 0 0
1 1% -0.4222 197 0 0 0 0 0 0 0 0
0 0% -0.9846 198 0 0 0 0 0 0 0 0
0 0% 1.3553 199 0 0 0 0 0 0 0 0
1 1% 0.0639 200 0 0 0 0 0 0 0 1
1   i
Estadísticas sobre INCUMPLIMIENTOS
Media 1.3%
Desviación Típica 1.4%
Maximo 8.0%
Minimo 0.0%
Percentil al 97% 5.0%
Percentil al 99,5% 6.0%
Percentil al 99,97% 7.9%

9 10 11 12 13 14 15 16 17 18 19 20
0 0 0 0 1 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0 0 0 1 0
0 1 0 0 0 0 1 0 0 0 0 0
0 0 1 0 0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 1 0
0 0 0 0 0 0 1 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 1 0 0 0 0
0 0 0 0 0 0 0 0 0 0 1 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 1 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 1 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 1 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 1 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 1 0 0 0
1 0 0 0 0 0 0 0 0 0 1 0
1 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 1 0 0 0
0 1 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 1 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 1 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 1 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 1 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 1 1 0 0 0 0
0 0 0 0 0 0 0 0 1 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 1 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 1 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 1 0 0 1 1 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0 0 1 0 0
0 0 1 0 0 0 0 0 0 0 0 1
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 1 0 0 0
0 1 0 1 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 1 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 1 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 1
0 0 0 0 0 0 0 0 0 0 1 1
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 1 0 0 1 0 0 0 1 1 0 0
0 1 0 0 0 0 0 0 0 0 0 0
1 1 1 1 0 0 0 0 0 0 0 0
0 0 0 1 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 1 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 1 0 0 1 0 0 0 0 0 0
0 0 0 1 0 0 0 0 0 0 0 0
0 0 0 1 1 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 1 0 0 0 0 0
0 0 0 0 1 0 0 0 1 0 0 1
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 1 1 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 1 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 0 0 0
1 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 0 0 0 0
0 0 0 1 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 0 0 0
1 0 0 0 0 1 0 0 0 0 0 1
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 1 0 0 0 0 0
0 0 0 0 1 0 0 0 0 0 0 0
0 0 0 0 0 0 0 1 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 1 1 0 0 0 1 0
0 0 0 0 1 0 0 0 0 0 0 0
0 0 0 0 0 1 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 1 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 1 0 0 0 1 1
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 1 1
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 0 0 0 0 0 0 0 0 0
1 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 1 0 0 0 0 0
0 1 1 0 0 1 0 0 1 0 0 1
0 1 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 1 0 0
0 0 0 1 0 0 0 0 0 0 0 0
0 0 1 0 0 0 0 0 1 0 1 0
0 0 0 0 0 1 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0 0 0 0
 DISTRIBUCIÓN DE INCUMPLIMIENTOS

Valor medio
Desv. Típica
Valor máximo
CE al 97%
CE al 99,5%
CE al 99,7% (BBB)
CE al 99,90% (A)
CE al 99,97% (AA)
CE al 99,99% (AAA)
EAD 1500
LGD 56%
INCUMPLIMIENTOS HISTOGRAMA INCUMPLIMIENTOS Pérdidas
Nº % Clases Nº casos Frecuencia $us
2 2% 0% 66 33% 1,680
0 0% 1% 60 30% 0
2 2% 2% 39 20% 1,680
3 3% 3% 22 11% 2,520
3 3% 4% 6 3% 2,520
3 3% 5% 4 2% 2,520
1 1% 6% 2 1% 840
1 1% 7% 0 0% 840
3 3% 8% 1 1% 2,520
1 1% 9% 0 0% 840
1 1% 10% 0 0% 840
1 1% 11% 0 0% 840
1 1% 12% 0 0% 840
0 0% 13% 0 0% 0
1 1% 14% 0 0% 840
0 0% 15% 0 0% 0
2 2% 16% 0 0% 1,680
0 0% 17% 0 0% 0
1 1% 18% 0 0% 840
2 2% 19% 0 0% 1,680
1 1% 20% 0 0% 840
0 0% 21% 0 0% 0
1 1% 22% 0 0% 840
0 0% 23% 0 0% 0
1 1% 24% 0 0% 840
2 2% 25% 0 0% 1,680
1 1% 26% 0 0% 840
2 2% 27% 0 0% 1,680
0 0% 28% 0 0% 0
1 1% 29% 0 0% 840
0 0% 30% 0 0% 0
0 0% 31% 0 0% 0
2 2% 32% 0 0% 1,680
1 1% 33% 0 0% 840
1 1% 34% 0 0% 840
1 1% 35% 0 0% 840
0 0% 36% 0 0% 0
0 0% 37% 0 0% 0
1 1% 38% 0 0% 840
0 0% 39% 0 0% 0
1 1% 40% 0 0% 840
0 0% 41% 0 0% 0
4 4% 42% 0 0% 3,360
2 2% 43% 0 0% 1,680
0 0% 44% 0 0% 0
1 1% 45% 0 0% 840
0 0% 46% 0 0% 0
1 1% 47% 0 0% 840
3 3% 48% 0 0% 2,520
1 1% 49% 0 0% 840
1 1% 50% 0 0% 840
1 1% 51% 0 0% 840
2 2% 52% 0 0% 1,680
0 0% 53% 0 0% 0
2 2% 54% 0 0% 1,680
0 0% 55% 0 0% 0
0 0% 56% 0 0% 0
2 2% 57% 0 0% 1,680
0 0% 58% 0 0% 0
2 2% 59% 0 0% 1,680
2 2% 60% 0 0% 1,680
1 1% 61% 0 0% 840
0 0% 62% 0 0% 0
1 1% 63% 0 0% 840
2 2% 64% 0 0% 1,680
2 2% 65% 0 0% 1,680
2 2% 66% 0 0% 1,680
3 3% 67% 0 0% 2,520
0 0% 68% 0 0% 0
1 1% 69% 0 0% 840
3 3% 70% 0 0% 2,520
3 3% 71% 0 0% 2,520
1 1% 72% 0 0% 840
0 0% 73% 0 0% 0
2 2% 74% 0 0% 1,680
2 2% 75% 0 0% 1,680
0 0% 76% 0 0% 0
3 3% 77% 0 0% 2,520
1 1% 78% 0 0% 840
0 0% 79% 0 0% 0
1 1% 80% 0 0% 840
0 0% 81% 0 0% 0
0 0% 82% 0 0% 0
0 0% 83% 0 0% 0
0 0% 84% 0 0% 0
5 5% 85% 0 0% 4,200
0 0% 86% 0 0% 0
2 2% 87% 0 0% 1,680
1 1% 88% 0 0% 840
0 0% 89% 0 0% 0
6 6% 90% 0 0% 5,040
0 0% 91% 0 0% 0
0 0% 92% 0 0% 0
1 1% 93% 0 0% 840
2 2% 94% 0 0% 1,680
4 4% 95% 0 0% 3,360
1 1% 96% 0 0% 840
1 1% 97% 0 0% 840
4 4% 98% 0 0% 3,360
1 1% 99% 0 0% 840
1 1% 100% 0 0% 840
0 0% 101% 0 0% 0
0 0% 102% 0 0% 0
0 0% 103% 0 0% 0
0 0% 104% 0 0% 0
4 4% 105% 0 0% 3,360
4 4% 106% 0 0% 3,360
0 0% 107% 0 0% 0
0 0% 108% 0 0% 0
2 2% 109% 0 0% 1,680
3 3% 110% 0 0% 2,520
3 3% 111% 0 0% 2,520
0 0% 112% 0 0% 0
1 1% 113% 0 0% 840
0 0% 114% 0 0% 0
1 1% 115% 0 0% 840
0 0% 116% 0 0% 0
1 1% 117% 0 0% 840
1 1% 118% 0 0% 840
3 3% 119% 0 0% 2,520
0 0% 120% 0 0% 0
2 2% 121% 0 0% 1,680
5 5% 122% 0 0% 4,200
2 2% 123% 0 0% 1,680
6 6% 124% 0 0% 5,040
2 2% 125% 0 0% 1,680
0 0% 126% 0 0% 0
1 1% 127% 0 0% 840
0 0% 128% 0 0% 0
0 0% 129% 0 0% 0
0 0% 130% 0 0% 0
0 0% 131% 0 0% 0
2 2% 132% 0 0% 1,680
3 3% 133% 0 0% 2,520
3 3% 134% 0 0% 2,520
3 3% 135% 0 0% 2,520
1 1% 136% 0 0% 840
3 3% 137% 0 0% 2,520
1 1% 138% 0 0% 840
2 2% 139% 0 0% 1,680
3 3% 140% 0 0% 2,520
0 0% 141% 0 0% 0
0 0% 142% 0 0% 0
0 0% 143% 0 0% 0
1 1% 144% 0 0% 840
0 0% 145% 0 0% 0
0 0% 146% 0 0% 0
2 2% 147% 0 0% 1,680
2 2% 148% 0 0% 1,680
1 1% 149% 0 0% 840
3 3% 150% 0 0% 2,520
0 0% 151% 0 0% 0
2 2% 152% 0 0% 1,680
1 1% 153% 0 0% 840
3 3% 154% 0 0% 2,520
1 1% 155% 0 0% 840
3 3% 156% 0 0% 2,520
0 0% 157% 0 0% 0
0 0% 158% 0 0% 0
4 4% 159% 0 0% 3,360
2 2% 160% 0 0% 1,680
2 2% 161% 0 0% 1,680
0 0% 162% 0 0% 0
1 1% 163% 0 0% 840
1 1% 164% 0 0% 840
2 2% 165% 0 0% 1,680
1 1% 166% 0 0% 840
1 1% 167% 0 0% 840
2 2% 168% 0 0% 1,680
2 2% 169% 0 0% 1,680
0 0% 170% 0 0% 0
0 0% 171% 0 0% 0
1 1% 172% 0 0% 840
0 0% 173% 0 0% 0
2 2% 174% 0 0% 1,680
5 5% 175% 0 0% 4,200
1 1% 176% 0 0% 840
3 3% 177% 0 0% 2,520
0 0% 178% 0 0% 0
2 2% 179% 0 0% 1,680
0 0% 180% 0 0% 0
1 1% 181% 0 0% 840
5 5% 182% 0 0% 4,200
1 1% 183% 0 0% 840
2 2% 184% 0 0% 1,680
1 1% 185% 0 0% 840
0 0% 186% 0 0% 0
2 2% 187% 0 0% 1,680
2 2% 188% 0 0% 1,680
8 8% 189% 0 0% 6,720
1 1% 190% 0 0% 840
0 0% 191% 0 0% 0
0 0% 192% 0 0% 0
1 1% 193% 0 0% 840
1 1% 194% 0 0% 840
3 3% 195% 0 0% 2,520
1 1% 196% 0 0% 840
0 0% 197% 0 0% 0
0 0% 198% 0 0% 0
1 1% 199% 0 0% 840
 Pérdida
$us % cartera
1,126 3.75%
1,171 3.90%
6,720 22.40%
4,200 14.00%
5,048 16.83%
5,717 19.06%
6,386 21.29%
6,620 22.07%
6,687 22.29%
 DISTRIBUCION DE PERDIDAS POR RIESGO DE CRED
Simulación Monte Carlo - Modelo de BIS II

Datos ENTRADA
Nº de operaciones 20
Nº de simulaciones 100
EAD 15,780.00
EADi 789.00

LGD 50.00%
Correlación 15.00%
PD (portafolio) 10.00%

RESUMEN DE PARAMETROS DE RIESGO

Pérdida
% incumpl. $us % cartera
EL - Valor medio
UL - Desviación Típica
Valor máximo
UL al 97%
UL al 99,5%
UL al 99,97% (AA)

EAD (Cartera Total) 15,780.00

SE PIDE:
CONSIDERANDO LOS DATOS DE ENTRADA
1. CALCULAR PERDIDAS ESPERADAS.
2. CALCULAR PERDIDAS INESPERADAS.
RIESGO DE CREDITO
odelo de BIS II

SIMULACION DE INCUMPLIMIENTOS
Datos SIMULACION
Correlación
PD
Pto. Crítico

INCUMPLIMIENTOS CREDITOS =>

Nº % N(0,1) 1 2 3 4 5 6 7 8
1
2
3
SIMULACIONES =>

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
 86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
 DISTRIBUCIÓN DE INC
Estadísticas sobre INCUMPLIMIENTOS
Media
Desviación Típica
Maximo
Minimo
Percentil al 97%
Percentil al 99,5%
Percentil al 99,97%

EAD
LGD
9 10 11 12 13 14 15 16 17 18 19 20 INCUMPLIMIENTOS
Nº %
STRIBUCIÓN DE INCUMPLIMIENTOS Pérdida
$us
Valor medio
Desv. Típica
Valor máximo
CE al 97%
CE al 99,5%
CE al 99,7% (BBB)
CE al 99,90% (A)
CE al 99,97% (AA)
CE al 99,99% (AAA)

HISTOGRAMA INCUMPLIMIENTOS Pérdidas

Clases Nº casos Frecuencia $us
Pérdida
% cartera