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Factores determinantes del margen entre la deuda

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  • Karim Parra

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    Abstract

    Este trabajo hace una estimación de los factores en los cualesestá compuesto el margen corporativo, entendido como la diferencia entre latasa spot de deuda pública y la tasa spot de deuda corporativa con calificación AAA y AA. Siguiendo la propuesta metodológica de Elton et al. (2001), se establece el margen corporativo como la suma de tres factores: factor por riesgo de emisor, factor por costos de emisión y factor por riesgo sistémico. La muestra analizada contiene los datos diarios de negociación observados en el Mercado Electrónico Colombiano (MEC) desde enero de 2005 hasta noviembre de 2009. Las probabilidades de incumplimiento son estimadas a partir de las matrices de transición calculadas por las dos principales calificadoras de valores del mercado colombiano.ABSTRACT: The paper makes an assessment of the factors behind corporatemargin. Corporate margin is defined as the difference between the public debtspot rate and the corporative debt spot rate graded AAA and AA. FollowingElton et al (2001), in corporate margin is defined as the sum of three factors: issuer default risk, issuance costs and systemic risk. The data used contains daily trading data from the Colombian Electronic Market (MEC) since January 2005 to November 2009. The default probabilities are estimated from atransition matrix calculated by the two main risk rating agencies within theColombian market.

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    Bibliographic Info

    Article provided by UNIVERSIDAD DEL ROSARIO in its journal REVISTA DE ECONOMÍA DEL ROSARIO.

    Volume (Year): (2010)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000151:008876

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    Keywords: Margen Corporativo; agencias calificadoras de riesgo; probabilidadde no pago de deuda; deuda corporativa y deuda pública.Corporate spread; risk rating agencies; probability of default; corporate debt and government debt.;

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