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Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas


  • Nancy Eugenia Zamudio Gómez



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.

Suggested Citation

  • Nancy Eugenia Zamudio Gómez, 2007. "Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas," BORRADORES DE ECONOMIA 004292, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:004292

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    References listed on IDEAS

    1. Nobuo Inaba & Takashi Kozu & Toshitaka Sekine & Takashi Nagahata, 2005. "Non-performing loans and the real economy: Japan’s experience," BIS Papers chapters,in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 106-27 Bank for International Settlements.
    2. José Eduardo Gómez G. & Inés Orozco & Nancy Zamudio Gómez, "undated". "Análisis de la probabilidad condicional de incumplimiento de los mayores deudores privados del sistema financiero colombiano," Temas de Estabilidad Financiera 019, Banco de la Republica de Colombia.
    3. Smith, David C., 2003. "Loans to Japanese borrowers," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 283-304, September.
    4. David C. Smith, 2003. "Loans to Japanese borrowers," International Finance Discussion Papers 769, Board of Governors of the Federal Reserve System (U.S.).
    5. repec:sae:niesru:v:139:y::i:1:p:88-94 is not listed on IDEAS
    6. Oscar Martínez, 2003. "Determinantes De Fragilidad En Las Empresas Colombianas," BORRADORES DE ECONOMIA 002300, BANCO DE LA REPÚBLICA.
    7. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-922, September.
    8. Philip Bunn & Victoria Redwood, 2003. "Company accounts based modelling of business failures and the implications for financial stability," Bank of England working papers 210, Bank of England.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
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    Cited by:

    1. Angela González Arbeláez, "undated". "Determinantes del riesgo de crédito comercial en Colombia," Temas de Estabilidad Financiera 045, Banco de la Republica de Colombia.
    2. Javier Gutiérrez Rueda, "undated". "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," Temas de Estabilidad Financiera 046, Banco de la Republica de Colombia.

    More about this item


    Riesgo de crédito; Probabilidad de incumplimiento; Logit multinomial.;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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