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Colombia: Selected Issues

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  • International Monetary Fund

Abstract

This Selected Issues paper uses contingent claims analysis (CCA) to assess risks to the Colombian banking sector. The CCA approach is based on the estimation of the default probability by an entity on its obligations, and is widely used by rating agencies to assess creditworthiness in the corporate sector. The paper also estimates the effects of changes in selected macroeconomic and financial variables on default probabilities for a sample of Colombian banks. The sample includes five banks for which market-based default probabilities are available.

Suggested Citation

  • International Monetary Fund, 2009. "Colombia: Selected Issues," IMF Staff Country Reports 2009/024, International Monetary Fund.
    • Handle: RePEc:imf:imfscr:2009/024
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    References listed on IDEAS

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    1. Sebastian Edwards, 2007. "Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences," NBER Books, National Bureau of Economic Research, Inc, number edwa06-1, March.
    2. Braumoeller, Bear F., 2004. "Hypothesis Testing and Multiplicative Interaction Terms," International Organization, Cambridge University Press, vol. 58(4), pages 807-820, October.
    3. Sebastian Edwards & Roberto Rigobon, 2005. "Capital Controls, Exchange Rate Volatility and External Vulnerability," NBER Working Papers 11434, National Bureau of Economic Research, Inc.
    4. Nicolas Magud & Carmen M. Reinhart, 2007. "Capital Controls: An Evaluation," NBER Chapters, in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences, pages 645-674, National Bureau of Economic Research, Inc.
    5. Leonardo Villar G. & Hernán Rincón C., 2001. "Flujos de capital y regímenes cambiarios en la década de los 90," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 19(39), pages 5-71, June.
    6. Antonio David, 2009. "Are price-based capital account regulations effective in developing countries?," Applied Economics, Taylor & Francis Journals, vol. 41(26), pages 3375-3388.
    7. Herman Kamil, 2008. "Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia," IMF Working Papers 2008/088, International Monetary Fund.
    8. Sebastian Edwards, 2007. "Introduction to "Capital Controls and Capital Flows in Emerging Economies: Policies, Practices and Consequences"," NBER Chapters, in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences, pages 1-18, National Bureau of Economic Research, Inc.
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