Publicado Nov 25, 2011



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Edinson Caicedo Cerezo

Mercè Claramunt Bielsa

Monserrat Casanovas Ramón

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Resumen

Este artículo presenta los resultados del estudio sobre medición del riesgo de
crédito en firmas incluidas en el Índice General de la Bolsa de Valores de Colombia (igbc) entre 2005 y 2007. Las probabilidades de incumplimiento y las
tasas de recuperación dado el incumplimiento se estiman mediante el enfoque
estructural de Merton y sus extensiones. Con los supuestos de volatilidad constante y heterocedástica de los activos de las firmas se obtienen estimaciones a nivel de empresas y sector económico. Los resultados indican, con una significación estadística del 1% y mediante la aplicación de pruebas no paramétricas, que en ese periodo no hubo diferencias significativas en la probabilidad de incumplimiento a nivel de sectores y que los patrones de heterocedasticidad considerados en la volatilidad de los activos no tienen incidencia significativa en la estimación de la probabilidad de incumplimiento.

Keywords

Probabilidades de inadimplência, modelos estruturais, modelo de Merton, volatilidade de ativosProbabilidades de incumplimiento, modelos estructurales, modelo de Merton, volatilidad de activosProbability of default, structural models, Merton model, asset volatility

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Cómo citar
Caicedo Cerezo, E., Claramunt Bielsa, M., & Casanovas Ramón, M. (2011). Medición del riesgo de crédito mediante modelos estructurales: una aplicación al mercado colombiano. Cuadernos De Administración, 24(42). https://doi.org/10.11144/Javeriana.cao24-42.mrcm
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