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Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil

Author

Listed:
  • JUAN SERGIO CRUZ MERCHÁN
  • JAIME VARGAS VIVES

Abstract

El propósito de este artículo es evaluar el grado de aplicabilidad de la ruptura -Black y Scholes (1973) y Merton (1974)- en el mercado de valores de Colombia, desde la aproximación de reclamos contingentes, dentro de la nueva coyuntura del ciclo económico para América Latina. En particular, se examinará la habilidad de la Aproximación de Reclamos Contingentes desde la perspectiva de KMV Moody´s, para estimar dos indicadores de riesgo de crédito: la distancia de bancarrota y la probabilidad de default y luego comparar estas medidas con las que produce el mercado. Los resultados sugieren la posibilidad de uso de este modelo en Colombia, en especial para las empresas que no cotizan en bolsa.

Suggested Citation

  • Juan Sergio Cruz Merchán & Jaime Vargas Vives, 2011. "Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil," Estudios Gerenciales, Universidad Icesi, March.
    • Handle: RePEc:col:000129:008515
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    More about this item

    Keywords

    Reclamo contingente; indicadores de quiebra; distancia de default.;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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