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Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas

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Nancy Eugenia Zamudio Gómez ()
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 trav´es de un modelo logit multinomial se encontró que la probabilidad de incumplimiento está asociada a indicadores financieros como la liquidez, al núumero de entidades con los que las empresas tienen créditos y a las caracter´ısticas crediticias como los plazos, las garant´ıas y el tipo de establecimiento de crédito. Las predicciones muestran que la probabilidad de incumplimiento se incrementó durante la crisis de finales de la d´ecada pasada y en el último año se encuentra en niveles históricamente bajos.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004292.

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Length: 58
Date of creation: 12 Nov 2007
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Handle: RePEc:col:000094:004292

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  1. Smith, David C., 2003. "Loans to Japanese borrowers," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 283-304, September. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September. [Downloadable!] (restricted)
  4. David C. Smith, 2003. "Loans to Japanese borrowers," International Finance Discussion Papers 769, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. 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. [Downloadable!] (restricted)
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