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Análisis de vulnerabilidad empresarial y sus efectos sobre la vulnerabilidad bancaria en Colombia: una aplicación delenfoque de hoja de balances

Author

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  • Henry Laverde Rojas

Abstract

Este documento mide las vulnerabilidades del sector bancario utilizando dosindicadores basados en la valoración de opciones. El primero trata de capturarlas pérdidas crediticias transmitidas por parte del sector corporativo. Se estimala probabilidad de quiebra de companías individuales para ser utilizada en lainferencia del capital en riesgo que pueda llevar a un banco a una situación deinsolvencia. El segundo, la distancia de default, es un indicador que tiene encuenta la estructura de capital de los bancos, dado que la quiebra de un bancosólo se producirá si éste no cuenta con el capital suficiente en la eventualidadde quiebra de su contraparte. El indicador se estima utilizando la información deprecios de las acciones y hojas de balance para ocho bancos que reportan estainformación a la Superintendencia Financiera de Colombia.

Suggested Citation

  • Henry Laverde Rojas, 2008. "Análisis de vulnerabilidad empresarial y sus efectos sobre la vulnerabilidad bancaria en Colombia: una aplicación delenfoque de hoja de balances," Revista CIFE, Universidad Santo Tomás, December.
    • Handle: RePEc:col:000195:005551
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    File URL: http://www.usta.edu.co/otras_pag/revistas/r_cife/cife13/RC13_4.pdf
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    Cited by:

    1. Claudia Sepúlveda Rivillas & Walter Reina Gutiérrez & Juan Carlos Gutiérrez Betancur, 2012. "Estimación del Riesgo de crédito para empresas del sector real en Colombia," Documentos de Trabajo de Valor Público 10715, Universidad EAFIT.

    More about this item

    Keywords

    indicadores de vulnerabilidad; fragilidad financiera; distanciade default.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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