Maestría en Administración Financiera · 2025
Metodología para la evaluación del riesgo de concentración sectorial en el portafolio de crédito de Bancolombia bajo el Marco de Basilea
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Resumen
This paper analyzes the sector concentration risk in Bancolombia's commercial credit portfolio and its impact on the additional capital required under the Basel regulatory framework. The study poses the following central question: What level of sector concentration does Bancolombia have and how does this impact its economic capital requirements? To answer this question, sector portfolio data, risk parameters (probability of default PD, loss given default LGD, and exposure at default EAD), and current regulations were used. The methodology combines concentration indicators (Herfindahl-Hirschman, Gini, and Theil), sector stress simulations, and economic capital models such as the Asymptotic Single Risk Factor (ASRF) and its multifactor extension. This approach allows for comparing real-life scenarios with counterfactual diversification scenarios, identifying the sectors that contribute most to concentration risk, and estimating the additional capital required. The results seek to provide guidelines for strengthening risk management within the framework of the Internal Capital Adequacy Assessment Process (ICAAP) and, thereby, contribute to the entity's financial stability.