Publicado abr 10, 2018



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Jorge Iván Pérez García

Mauricio Lopera Castaño

Fredy Alonso Vásquez Bedoya

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Resumen

Para discriminar en riesgo de quiebra y no quiebra a las empresas colombianas que reportaron sus estados financieros a la Superintendencia de Sociedades de Colombia para el periodo 2011-2015, este trabajo considera la quiebra como un evento raro y emplea un modelo logístico, un modelo aditivo generalizado, un modelo de valor extremo generalizado y un modelo binario aditivo de valor extremo generalizado (BGEVA). En términos comparativos, el modelo BGEVA presenta mejor desempeño predictivo con respecto a los otros al asumir una distribución de valor extremo en la función link y estructuras semi-paramétricas en las estimaciones, permitiendo así determinar la relación existente entre la probabilidad de default y las variables explicativas.

Keywords

Quiebra, eventos raros, modelos de predicción.

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Cómo citar
Pérez García, J. I., Lopera Castaño, M., & Vásquez Bedoya, F. A. (2018). Estimación de la probabilidad de riesgo de quiebra en las empresas colombianas a partir de un modelo para eventos raros. Cuadernos De Administración, 30(54), 7–38. https://doi.org/10.11144/Javeriana.cao30-54.eprqe
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