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Determinantes del riesgo de crédito comercial en Colombia

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  • Angela González Arbeláez

Abstract

En este trabajo se estima la probabilidad de incumplimiento de las empresas, sus determinantes y el nivel de riesgo crediticio corporativo agregado del sistema financiero. Se utiliza un modelo logit ordenado generalizado con variables explicativas que contienen información a nivel de firmas y variables macroeconómicas que no han sido utilizadas en otros trabajos para Colombia, de tal manera que se puedan capturar los efectos que tiene la dinámica de la economía sobre la probabilidad de default, diferenciando por las categorías de riesgo asociadas a los créditos corporativos. Los resultados muestran que el conjunto de variables macroeconómicas mejora el poder explicativo del modelo, a la vez que se encuentra una alta persistencia en las categorías asociadas con mayor riesgo crediticio.

Suggested Citation

  • Angela González Arbeláez, 2010. "Determinantes del riesgo de crédito comercial en Colombia," Temas de Estabilidad Financiera 045, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:temest:045
    DOI: 10.32468/tef.45
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    References listed on IDEAS

    as
    1. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2013. "Firm Default And Aggregate Fluctuations," Journal of the European Economic Association, European Economic Association, vol. 11(4), pages 945-972, August.
    2. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
    3. Oscar Martínez A., 2003. "Determinantes de fragilidad en las empresas colombianas," Temas de Estabilidad Financiera 001, Banco de la Republica de Colombia.
    4. Nancy Eugenia Zamudio Gómez, 2007. "Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas," Borradores de Economia 4292, Banco de la Republica.
    5. Jose Eduardo Gómez & Paola Morales Acevedo & Fernando Pineda & Nancy Zamudio, 2007. "An Alternative Methodology for Estimating Credit Quality Transition Matrices," Borradores de Economia 4395, Banco de la Republica.
    6. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    7. Oscar Martínez, 2003. "Determinantes De Fragilidad En Las Empresas Colombianas," Borradores de Economia 2300, Banco de la Republica.
    8. Yatchew, Adonis & Griliches, Zvi, 1985. "Specification Error in Probit Models," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 134-139, February.
    9. Bercedis Peterson & Frank E. Harrell, 1990. "Partial Proportional Odds Models for Ordinal Response Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(2), pages 205-217, June.
    10. Oscar Martínez A., 2003. "Determinantes de Fragilidad en las Empresas Colombianas," Borradores de Economia 259, Banco de la Republica de Colombia.
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    Cited by:

    1. Claudia Sepúlveda Rivillas & Walter Reina Gutiérrez & Juan Carlos Gutiérrez Betancur, 2012. "Estimación del Riesgo de crédito para empresas del sector real en Colombia," Documentos de Trabajo de Valor Público 10715, Universidad EAFIT.

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    More about this item

    Keywords

    Riesgo de crédito; probabilidad de incumplimiento; logit ordenado generalizado.;
    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
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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