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Estimación del Riesgo de crédito para empresas del sector real en Colombia

Author

Listed:
  • Claudia Sepúlveda Rivillas

    ()

  • Walter Reina Gutiérrez

    ()

  • Juan Carlos Gutiérrez Betancur

    ()

Abstract

Resumen:El objetivo de la presente investigación es proponer un modelo probit para datos de panel desbalanceado con efectos aleatorios que permita estimar la probabilidad de quiebra de las empresas del sector real en Colombia, para inferir del riesgo de crédito, tomando información de empresas solventes y en estrés financiero, de las bases de datos de la Superintendencia de Sociedades y B.P.R, durante 2002-2008. Se partió del análisis fundamental, centrado en los indicadores de rentabilidad, apalancamiento, liquidez y solvencia, que propone Penman (2010). El aporte de esta investigación es el énfasis en los apalancamientos operativo y financiero y su efecto en la probabilidad de quiebra. Como principal hallazgo se resalta el efecto menos nocivo del apalancamiento operativo frente al impacto del apalancamiento financiero en épocas de crisis.Abstract:The objective of this research is to proposed a Probit Model for unbalanced panel data with random effects to estimate the probability of bankruptcy in the real sector firms in Colombia, to infer of credit risk of solvent and in financial distress firms, taking information from solvent companies and financial stress, the databases of the Superintendency of Companies, and BPR, since 2002-2008. Was based on the fundamental analysis, focusing on indicators of profitability, leverage, liquidity and solvency proposed by Penman (2010). The contribution of this research is the emphasis on operating and financial leverage and its effect on the probability of bankruptcy. Like main finding is highlights the less harmful effect of operating leverage in front the impact of financial leverage in times of crisis.

Suggested Citation

  • 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 CIEF 010715, UNIVERSIDAD EAFIT.
  • Handle: RePEc:col:000122:010715
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    File URL: http://repository.eafit.edu.co/bitstream/10784/729/1/2012_25_Juan_Carlos_Gutierrez.pdf
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    References listed on IDEAS

    as
    1. Henry Laverde Rojas, 2008. "Análisis de vulnerabilidad empresarial y sus efectos sobre la vulnerabilidad bancaria en Colombia: una aplicación delenfoque de hoja de balances," REVISTA CIFE, UNIVERSIDAD SANTO TOMÁS, December.
    2. Angela González Arbeláez, "undated". "Determinantes del riesgo de crédito comercial en Colombia," Temas de Estabilidad Financiera 045, Banco de la Republica de Colombia.
    3. 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.
    4. repec:bla:joares:v:18:y:1980:i:1:p:109-131 is not listed on IDEAS
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