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La Predicción de la Insolvencia de Empresas Chilenas

  • Felipe Zurita


    (Instituto de Economía. Pontificia Universidad Católica de Chile.)

Este trabajo compara modelos de inestabilidad financiera de naturaleza estadística y basados en la teoría de opciones, para el conjunto de sociedades anónimas abiertas chilenas. Los modelos estadísticos tienen un ajuste adecuado, aunque la peculiar historia de las quiebras en el período considerado, a saber, su aglomeración al inicio, pone en duda su utilidad como herramienta predictiva. En el segundo caso, en cambio, el promedio de probabilidades de quiebra muestra una alta correlación con indicadores de riesgo bancarios, y los precede hasta en tres trimestres. En suma, este primer esfuerzo de medición es de un éxito moderado, pero señala una serie de caminos cuya exploración aparece promisoria.

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Paper provided by Instituto de Economia. Pontificia Universidad Católica de Chile. in its series Documentos de Trabajo with number 336.

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Date of creation: 2008
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Handle: RePEc:ioe:doctra:336
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  1. Ke Wang & Darrell Duffie, 2004. "Multi-Period Corporate Failure Prediction With Stochastic Covariates," Econometric Society 2004 Far Eastern Meetings 745, Econometric Society.
  2. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  3. Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
  4. Cheng Hsiao & M. Hashem Pesaran, 2004. "Random Coefficient Panel Data Models," CESifo Working Paper Series 1233, CESifo Group Munich.
  5. Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007. "Common Failings: How Corporate Defaults Are Correlated," Journal of Finance, American Finance Association, vol. 62(1), pages 93-117, 02.
  6. William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, November.
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