<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1390-0129</journal-id>
<journal-title><![CDATA[Revista Politécnica]]></journal-title>
<abbrev-journal-title><![CDATA[Rev Politéc. (Quito)]]></abbrev-journal-title>
<issn>1390-0129</issn>
<publisher>
<publisher-name><![CDATA[Escuela Politécnica Nacional]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1390-01292022000400071</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Exposición al Default: Estimación para un Portafolio de Tarjeta de Crédito]]></article-title>
<article-title xml:lang="en"><![CDATA[Exposure to Default: Estimation for a Credit Card Portfolio]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Bambino-Contreras]]></surname>
<given-names><![CDATA[Carlos]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Morales-Oñate]]></surname>
<given-names><![CDATA[Víctor]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Banco Solidario  ]]></institution>
<addr-line><![CDATA[Quito ]]></addr-line>
<country>Ecuador</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad de las Américas  ]]></institution>
<addr-line><![CDATA[Quito ]]></addr-line>
<country>Ecuador</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>01</month>
<year>2022</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>01</month>
<year>2022</year>
</pub-date>
<volume>50</volume>
<numero>2</numero>
<fpage>71</fpage>
<lpage>82</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://scielo.senescyt.gob.ec/scielo.php?script=sci_arttext&amp;pid=S1390-01292022000400071&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://scielo.senescyt.gob.ec/scielo.php?script=sci_abstract&amp;pid=S1390-01292022000400071&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://scielo.senescyt.gob.ec/scielo.php?script=sci_pdf&amp;pid=S1390-01292022000400071&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: Este trabajo estima la exposición al incumplimiento sin hacer uso del factor de conversión de crédito, mecanismo habitual empleado en la literatura de estimación de pérdidas y sugerido por el Comité de Basilea. Para lograr este objetivo se ha identificado la distribución de probabilidad de esta variable (exposición al default), que posteriormente es estimada en partes (EAD = 0 y EAD &gt; 0) mediante modelos lineales generalizados (logit y GLM-Gamma). Los resultados obtenidos son competitivos con los que se encuentran en la literatura. Esto muestra que la estimación simultánea de parámetros, así como la estimación separada arrojan resultados prometedores. Adicionalmente, el caso EAD &gt; 0 es contrastado con un modelo MARS cuyo rendimiento es superior al GLM-Gamma. Estos modelos se aplicaron a un conjunto de datos de un portafolio de tarjeta de crédito de una entidad financiera del Ecuador.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: This work estimates the exposure at default without using the credit conversion factor, a common mechanism used in the expected loss estimation literature and suggested by the Basel Committee. To achieve this objective, the probability distribution of this variable (exposure at default) has been identified, which is subsequently estimated in parts (EAD = 0 and EAD &gt; 0) using generalized linear models (logit and GLM-Gamma). The results obtained are competitive with those found in the literature. This shows that the simultaneous estimation of parameters, as well as the separate estimation, give promising results. Additionally, the EAD &gt; 0 case is contrasted with a MARS model whose performance is superior to GLM-Gamma. These models were applied to a data set of a credit card portfolio of a financial institution in Ecuador.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Pérdida esperada]]></kwd>
<kwd lng="es"><![CDATA[Riesgo de crédito]]></kwd>
<kwd lng="es"><![CDATA[Exposición al riesgo]]></kwd>
<kwd lng="es"><![CDATA[Modelos lineales generalizados]]></kwd>
<kwd lng="es"><![CDATA[Distribución Gamma]]></kwd>
<kwd lng="es"><![CDATA[Aprendizaje Automático]]></kwd>
<kwd lng="en"><![CDATA[Expected loss]]></kwd>
<kwd lng="en"><![CDATA[Credit risk]]></kwd>
<kwd lng="en"><![CDATA[Exposure at default]]></kwd>
<kwd lng="en"><![CDATA[Generalized linear models]]></kwd>
<kwd lng="en"><![CDATA[Gamma Distribution]]></kwd>
<kwd lng="en"><![CDATA[Machine Learning]]></kwd>
</kwd-group>
</article-meta>
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