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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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    En este documento se caracteriza el endeudamiento del sector corporativo privado con el sistemafinanciero durante el período 1998-2005, y se hallan los determinantes de la probabilidadde que una empresa colombiana incumpla con el pago las obligaciones que ha contraído coneste. A trav´es de un modelo logit multinomial se encontró que la probabilidad de incumplimientoestá asociada a indicadores financieros como la liquidez, al núumero de entidades con los que lasempresas tienen créditos y a las caracter´ısticas crediticias como los plazos, las garant´ıas y el tipode establecimiento de crédito. Las predicciones muestran que la probabilidad de incumplimientose incrementó durante la crisis de finales de la d´ecada pasada y en el último año se encuentra enniveles 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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    Keywords: Riesgo de crédito; Probabilidad de incumplimiento; Logit multinomial.;

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    1. Oscar Martínez, 2003. "Determinantes De Fragilidad En Las Empresas Colombianas," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 002300, BANCO DE LA REPÚBLICA.
    2. Philip Bunn & Victoria Redwood, 2003. "Company accounts based modelling of business failures and the implications for financial stability," Bank of England working papers, Bank of England 210, Bank of England.
    3. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 44(4), pages 909-22, September.
    4. Smith, David C., 2003. "Loans to Japanese borrowers," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 283-304, September.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    6. Nobuo Inaba & Takashi Kozu & Toshitaka Sekine & Takashi Nagahata, 2005. "Non-performing loans and the real economy: Japan’s experience," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 106-27 Bank for International Settlements.
    7. repec:sae:niesru:v:139:y::i:1:p:88-94 is not listed on IDEAS
    8. 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, Banco de la Republica de Colombia 019, Banco de la Republica de Colombia.
    9. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 59-117, January.
    10. David C. Smith, 2003. "Loans to Japanese borrowers," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 769, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:
    1. Angela González Arbeláez, . "Determinantes del riesgo de crédito comercial en Colombia," Temas de Estabilidad Financiera, Banco de la Republica de Colombia 045, Banco de la Republica de Colombia.
    2. Javier Gutiérrez Rueda, . "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," Temas de Estabilidad Financiera, Banco de la Republica de Colombia 046, Banco de la Republica de Colombia.


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