Camels modelDetection and treatment of collinearity

  1. Ainara Rodríguez Sánchez 1
  2. Claudia García García 1
  3. Catalina B. García García 1
  4. Román Salmerón Gómez 1
  1. 1 Universidad de Granada
    info

    Universidad de Granada

    Granada, España

    ROR https://ror.org/04njjy449

Libro:
Contributions to risk analysis: risk 2018
  1. Sarabia Alegría, José María (coord.)
  2. Prieto, Faustino (coord.)
  3. Guillén Estany, Montserrat (coord.)

Editorial: Fundación MAPFRE

ISBN: 978-84-9844-683-8

Año de publicación: 2018

Páginas: 253-261

Tipo: Capítulo de Libro

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Resumen

Nowadays, the importance of risk analysis of financial institutions has increased, due to the recent financial and economic crisis. To evaluate this risk, there is a known methodology called CAMELS. The variables of this model are commonly used as explanatory factors in regression model leading to collinearity since these variables may be related between them. In spite of this fact, collinearity is usually disregarded and the model is estimated by ordinary least squares obtaining instable estimations. This paper presents a literature review about the detection and treatment of this problem in the different scientific works that use the variables of CAMELS model as explanatory variables in regression model.

Fuente de los datos: Dialnet