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dc.creatorLemus-Esquivel, Juan Sebastián
dc.creatorCorredor, Adriana
dc.creatorGutiérrez-Rueda, Javier
dc.description.abstractThe aim of this paper is to identify a set of early warning indicators that effectively discriminate between firms that are more prone to default on their financial obligations from those that are less prone to do so. To fulfill this objective, we use the Discriminant Analysis methodology. We find that the strongest predictors that a Colombian real sector firm will fail to meet their financial obligations are: debt ratio and the number of banking relationships. We also use a Logit model to estimate the debtor’s probability of default (PD) and its distribution. The PD distribution has a positive skew and leptokurtic, suggesting a low overall PD. When performing a stress test (i.e. when a negative shock is applied to the firms’ performance), we find that the PD distribution shifts to the right causing an increase in loan loss provisions and a decrease in net profits.
dc.format.extent25 páginas : gráficas, tablas
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de Trabajo
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 66
dc.rights.accessRightsOpen Access
dc.subjectAnálisis discriminante
dc.subjectMora en pagos
dc.subjectPruebas de estrés
dc.subjectSector corporativo colombiano
dc.subjectRiesgo crediticio
dc.titleFragility determinants of the private corporate sector in Colombia
dc.typeWorking Paper
dc.subject.jelC25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
dc.subject.jelD22 - Firm Behavior: Empirical Analysis
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
dc.subject.jelG33 - Bankruptcy; Liquidation
dc.subject.keywordDiscriminant analysis
dc.subject.keywordColombian corporate sector
dc.subject.keywordCredit risk
dc.subject.keywordStress testing
dc.subject.lembIndicadores financieros -- Colombia -- 2009-2011
dc.subject.lembCrédito comercial -- Colombia -- 2009-2011
dc.subject.lembCréditos morosos -- Colombia -- 2009-2011
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC25 - Modelos de regresión discreta y elección cuantitativa; Regresores discretos; Proporciones; Probabilidad
dc.subject.jelspaD22 - Comportamiento de la empresa: análisis empíricos
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas
dc.subject.jelspaG33 - Insolvencia; Liquidación
dc.type.hasversionPublished Version
dc.source.bibliographicCitationAltman, E. I. (1968), ‘Financial ratios, discriminant analysis and the prediction of corporate bankruptcy’, The Journal of Finance XXIII, 589–609.
dc.source.bibliographicCitationBrezigar-Masten, A. & Masten, I. (2009), ‘Comparison of parametric, semi-parametric and non-parametric methods in bankruptcty prediction’, IMAD Working Paper Series XVIII, 18.
dc.source.bibliographicCitationOrtega, J., Martínez, J. & Valencia, J. (2010), ‘El modelo de calificación crediticia z-score: Aplicación en la evaluación del riesgo crediticio de hb fuller Colombia ltda.’, Revista MBA EAFIT pp. 102–111.
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

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