Dynamic copulas in the defaulting index of the consumer credit in Mexico

Cópulas dinámicas en el índice de morosidad del crédito al consumo en México

This research applies the theory of copulas with mobile windows, to analyze the behavior of the consumer credit delinquency index (IMOR) for a sample of five of the main banks operating in Mexico for the period May 2001 to October 2020. It seeks to analyze whether there is any relationship between the overdue portfolios of these banks, mainly in periods of instability induced by similar credit practices, or else by some structural factors in the economy; such dependence can create a systemic risk that results in a widespread crisis in the economy. The weighting of this relationship is carried out via Kendall's Tau dependency parameter of the copula functions of the elliptical family. Empirical results show that there is some similarity in the behavioral patterns of dependence between these indices, especially in periods of financial instability. The evidence also suggests measuring continuously dependence between credit delinquency indices employing models that precise their changes and levels, such as copula theory used in this study; it also implies careful credit risk management, as well as ongoing preventive supervision by regulatory authorities.