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Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes

  • Javier Gutiérrez Rueda

    ()

En la literatura se considera al riesgo de crédito como una de las principales fuentes de vulnerabilidad para el sistema financiero, por lo que su correcta medición resulta de vital importancia tanto para el sistema como para los agentes que hacen parte del mercado de crédito. Este documento tiene como objetivo identificar los determinantes del riesgo de crédito a través del estudio de la probabilidad de que una empresa incumpla con el pago de sus créditos. El análisis se realiza para el periodo comprendido entre 1998 y 2007. Siguiendo los hallazgos de la literatura relacionada con este tema, se emplea un modelo Probit Heteroscedástico con efectos no lineales, el cual muestra que la rentabilidad, la liquidez y el endeudamiento son los principales determinantes de este incumplimiento. Adicionalmente, se utiliza un modelo de regresión por cuantiles para identificar los efectos de los factores macroeconómicos sobre dicha probabilidad. Los resultados de este análisis indican que el impacto de estos factores varían a lo largo de la distribución de default y que estos tienen un mayor efecto sobre los deudores más riesgosos. Estos ejercicios se complementan con un análisis de sensibilidad, el cual evidencia la vulnerabilidad de los intermediarios de crédito ante cambios en el ritmo de crecimiento del la economía.

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Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 046.

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  1. Nancy Eugenia Zamudio Gómez, 2007. "Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas," BORRADORES DE ECONOMIA 004292, BANCO DE LA REPÚBLICA.
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  3. Javier Gutiérrez Rueda & Diego M. Vásquez E., . "Un Análisis de Cointegración para el Riesgo de Crédito," Temas de Estabilidad Financiera 035, Banco de la Republica de Colombia.
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  18. Arnab Bhattacharjee & Chris Higson & Sean Holly & Paul Kattuman, 2007. "Macroeconomic Conditions and Business Exit: Determinants of Failures and Acquisitions of UK Firms," CDMA Working Paper Series 200713, Centre for Dynamic Macroeconomic Analysis.
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