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Estimación de la probabilidad de incumplimiento para las firmas del sector económico industrial y comercial en una entidad financiera colombiana entre los anos 2009 y 2014

Author

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  • Diego Alejandro Castro
  • Alejandro Pérez y Soto

Abstract

En este artículo se estima la probabilidad de incumplimiento para las firmas que tienen obligaciones contractuales con una entidad financiera colombiana entre 2009 y 2014. A través de un modelo logístico ordinal generalizado se encontró que la probabilidad de incumplimiento está asociada a las variables financieras liquidez, endeudamiento, rentabilidad y eficiencia. También se incorporó una variable de comportamiento, dos dicotómicas asociadas al tamano de las firmas y una para el crecimiento económico del país. Además, se verificó el supuesto de líneas paralelas. Los resultados son previsibles y acordes con la teoría económica de riesgo. ***** In this paper, we estimated the probability of non-compliance for enterprises that have contractual obligations with a Colombian financial company between 2009 and 2014. Using a generalized logistical ordinal model, we found that the probability of non-compliance is related to financial variables such as: liquidity, indebtedness, profitability, and efficacy. We also included a behavioural variable, two dichotomous variables associated with the size of the companies, and another variable for Colombia’s economic growth. We verify the premise of parallel lines. The results are predictable and correspond to the economic theory of risk.

Suggested Citation

  • Diego Alejandro Castro & Alejandro Pérez y Soto, 2017. "Estimación de la probabilidad de incumplimiento para las firmas del sector económico industrial y comercial en una entidad financiera colombiana entre los anos 2009 y 2014," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 36(71), pages 293-319, July.
  • Handle: RePEc:col:000093:015355
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    More about this item

    Keywords

    riesgo de crédito; logit ordenado generalizado; probabilidad deincumplimiento; crecimiento económico;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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