Análisis de la probabilidad condicional de incumplimiento de los mayores deudores privados del sistema financiero colombiano

Gómez-González, José Eduardo; Orozco-Hinojosa, Inés Paola; Zamudio-Gómez, Nancy Eugenia

Análisis de la probabilidad condicional de incumplimiento de los mayores deudores privados del sistema financiero colombiano

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Temas de Estabilidad Financiera ; No. 19

Date published

2006-09-01

Date

2006-09

Authors

Gómez-González, José Eduardo
Orozco-Hinojosa, Inés Paola
Zamudio-Gómez, Nancy Eugenia

Document language

spa

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Las 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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

The private corporate sector is the primary debtor in the Colombian financial system (commercial loans account for 54.9% of the total gross portfolio). Consequently, it is extremely important to measure and monitor the risk this sector of the economy might pose to the financial system. Ever since the crisis in the late nineties, Colombian companies have not experienced a comparable situation. Today, the quality indicators for the commercial loan portfolio are at historic lows, and the portfolio has begun to grow, following the standstill in 2003-2005. The non-performing/total loan ratio for companies was 1.63% at June 2006, while real growth in the private commercial loan portfolio was 18.3%. Coupled with a good economic situation and good corporate performance in recent years, the foregoing poses no imminent risk to financial stability. However, the mid-term risks are still out there, which means this type of risk must continue to be measured and monitored. For example, a hefty increase in commercial loans is good, as it helps to fund investment projects. Nonetheless, an unexpected shock to corporate creditworthiness might be a source of risk to the financial system, because of possible deterioration in the loan portfolio.

Description

Mediante un modelo de duración se estima la probabilidad condicional de incumplimiento de las obligaciones financieras de las firmas del sector privado en Colombia