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Determinantes del riesgo del crédito comercial en Colombia

  • Ángela González Arbeláez

    ()

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 la categorías asociadas con mayor riesgo crediticio.

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File URL: http://cea.javeriana.edu.co/documents/153049/2786252/Vol.10_3_2010.pdf/6bd61702-620a-4911-bb3f-82705f5d5e8a
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Paper provided by UNIVERSIDAD JAVERIANA - BOGOTÁ in its series VNIVERSITAS ECONÓMICA with number 008215.

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Length: 69
Date of creation: 28 Feb 2010
Date of revision:
Handle: RePEc:col:000416:008215
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  1. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2011. "Firm default and aggregate fluctuations," International Finance Discussion Papers 1029, Board of Governors of the Federal Reserve System (U.S.).
  2. Oscar Martínez, 2003. "Determinantes De Fragilidad En Las Empresas Colombianas," BORRADORES DE ECONOMIA 002300, BANCO DE LA REPÚBLICA.
  3. Jose E. Gómez & Paola Morales & Fernando Pineda & nzamudgo@banrep.gov.co, . "An Alternative Methodology for Estimating Credit Quality Transition Matrices," Borradores de Economia 478, Banco de la Republica de Colombia.
  4. Yatchew, Adonis & Griliches, Zvi, 1985. "Specification Error in Probit Models," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 134-39, February.
  5. 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.
  6. 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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