Year: 2025
Type: article
Abstract: This paper analyzes solvency dynamics in Ecuador’s mutualist segment by modeling the joint behavior of the productive-assets-to-total-assets ratio (PATR) and portfolio-specific delinquency rates. Using monthly supervisory data from the Superintendencia de Economía Popular y Solidaria (SEPS) for the full universe of four mutualist institutions (2022–2025), we estimate a multivariate Gaussian Hidden Markov Model on system-level aggregates. The model identifies latent regimes that summarize configurations of asset productivity and segmented credit risk, distinguishing relatively sound conditions from episodes of heightened vulnerability. Model selection is based on information criteria, complemented by convergence checks, distributional diagnostics, and alternative covariance specifications to assess robustness. The approach is explicitly framed as diagnostic rather than causal or prescriptive: it does not replace simple thresholds nor calibrate capital buffers, but organizes supervisory information into interpretable solvency states with associated frequencies and expected durations. The framework is transparent and reproducible and provides a baseline for future extensions with longer samples and richer covariates.
Source: Risks
Authors: Alexander Haro, Genaro Sandoval, María Rodríguez, Victor Armijo, Ivonne Arana, William Vasquez, Elizabeth Proaño, Amanda Martínez
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,172
OpenAlex ID: W7106811381