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Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas

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  • Nancy Eugenia Zamudio Gómez

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    Abstract

    En este documento se caracteriza el endeudamiento del sector corporativo privado con el sistema financiero durante el período 1998-2005, y se hallan los determinantes de la probabilidad de que una empresa colombiana incumpla con el pago las obligaciones que ha contraído con este. A través de un modelo logit multinomial se encontró que la probabilidad de incumplimiento está asociada a indicadores financieros como la liquidez, al número de entidades con los que las empresas tienen créditos y a las características crediticias como los plazos, las garantías y el tipo de establecimiento de crédito. Las predicciones muestran que la probabilidad de incumplimiento se incrementó durante la crisis de finales de la década pasada y en el último año se encuentra en niveles históricamente bajos.

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    Bibliographic Info

    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 466.

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    Handle: RePEc:bdr:borrec:466

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    Keywords: Riesgo de crédito; Probabilidad de incumplimiento; Logit multinomial. Classification JEL: G21; G33; G38; C25.;

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Nobuo Inaba & Takashi Kozu & Toshitaka Sekine & Takashi Nagahata, 2005. "Non-performing loans and the real economy: Japan’s experience," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 106-27 Bank for International Settlements.
    2. repec:sae:niesru:v:139:y::i:1:p:88-94 is not listed on IDEAS
    3. Philip Bunn & Victoria Redwood, 2003. "Company accounts based modelling of business failures and the implications for financial stability," Bank of England working papers 210, Bank of England.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    5. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September.
    6. Smith, David C., 2003. "Loans to Japanese borrowers," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 283-304, September.
    7. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    8. David C. Smith, 2003. "Loans to Japanese borrowers," International Finance Discussion Papers 769, Board of Governors of the Federal Reserve System (U.S.).
    9. Oscar Martínez, 2003. "Determinantes De Fragilidad En Las Empresas Colombianas," BORRADORES DE ECONOMIA 002300, BANCO DE LA REPÚBLICA.
    10. José Eduardo Gómez G. & Inés Orozco & Nancy Zamudio Gómez, . "Análisis de la probabilidad condicional de incumplimiento de los mayores deudores privados del sistema financiero colombiano," Temas de Estabilidad Financiera 019, Banco de la Republica de Colombia.
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