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Sánchez Montero, Ivanna Karina
The Fractional Brownian Model, Applied in the Credit Placement of the Popular and Solidarity Financial Sector
2023
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Sánchez Montero, Ivanna Karina
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Tipán, Diego
Previous studies have extensively explored the application of Fractional Brownian Motion in the financial systems of countries. The objective of this study was to evaluate the effectiveness of using Fractional Brownian Motion in credit placement within the popular and solidarity financial sector, specifically in the Savings and Credit Cooperatives of segment 1.A comprehensive analysis was conducted on historical credit placement data from this sector over time, and the Fractional Brownian Motion model was implemented to simulate placement patterns. Several parameters, such as the Hurst exponent, were estimated. The results showed that the application of Fractional Brownian Motion in credit placement within the popular and solidarity financial sector improved the accuracy of credit risk assessment. It revealed long-term dependence patterns and captured the inherent dynamics of the sector. The model demonstrated higher predictive power and better portfolio risk management capabilities compared to conventional methods. The findings suggest that Fractional Brownian Motion is a valuable tool for credit placement analysis, as well as for improving credit risk assessment and portfolio management dynamics. Implementing this model can lead to more accurate credit decisions, fostering the country's economic development. © 2023 IEEE.