2012-05-012015-12-062015-12-142017-10-242012-05-012012-05https://repositorio.banrep.gov.co/handle/20.500.12134/2062The 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.25 páginas : gráficas, tablasPDFengOpen AccessAnálisis discriminanteMora en pagosLogitPruebas de estrésSector corporativo colombianoRiesgo crediticioWorking PaperC25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; ProbabilitiesD22 - Firm Behavior: Empirical AnalysisG21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesG33 - Bankruptcy; LiquidationDiscriminant analysisDefaultLogitColombian corporate sectorCredit riskStress testingIndicadores financieros -- Colombia -- 2009-2011Crédito comercial -- Colombia -- 2009-2011Créditos morosos -- Colombia -- 2009-2011Acceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0C25 - Modelos de regresión discreta y elección cuantitativa; Regresores discretos; Proporciones; ProbabilidadD22 - Comportamiento de la empresa: análisis empíricosG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; HipotecasG33 - Insolvencia; LiquidaciónLas 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.https://hdl.handle.net/20.500.12134/2062