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La Predicción de la Insolvencia de Empresas Chilenas

Author

Listed:
  • Felipe Zurita

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

Abstract

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.

Suggested Citation

  • Felipe Zurita, 2008. "La Predicción de la Insolvencia de Empresas Chilenas," Documentos de Trabajo 336, Instituto de Economia. Pontificia Universidad Católica de Chile..
  • Handle: RePEc:ioe:doctra:336
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    File URL: http://www.economia.uc.cl/docs/dt_336.pdf
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    References listed on IDEAS

    as
    1. Cheng Hsiao & M. Hashem Pesaran, 2004. "Random Coefficient Panel Data Models," CESifo Working Paper Series 1233, CESifo Group Munich.
    2. 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.
    3. William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, April.
    4. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    5. Ke Wang & Darrell Duffie, 2004. "Multi-Period Corporate Failure Prediction With Stochastic Covariates," Econometric Society 2004 Far Eastern Meetings 747, Econometric Society.
    6. repec:bla:joares:v:22:y:1984:i::p:59-82 is not listed on IDEAS
    7. 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, February.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Rodrigo Alfaro A. & Natalia Gallardo S. & Camilo Vio G., 2010. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 73-82, April.
    2. Rodrigo A. Alfaro & Rodrigo Cifuentes S., 2011. "Financial Stability, Monetary Policy, and Central Banking: An Overview," Central Banking, Analysis, and Economic Policies Book Series,in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 1, pages 001-010 Central Bank of Chile.
    3. repec:ehu:rdadme:20341 is not listed on IDEAS
    4. Felipe Zurita L., 2008. "Bankruptcy Prediction for Chilean Companies," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 93-116, April.
    5. repec:pab:rmcpee:v:24:y:2018:i:1:p:5-24 is not listed on IDEAS
    6. Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile 631, Central Bank of Chile.

    More about this item

    Keywords

    Insolvencia; riesgo de crédito;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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