Abstract

CAICEDO CEREZO, Edinson; MERCE CLARAMUNT BIELSA, M  and  CASANOVAS RAMON, Monserrat. The measurement of credit risk through structural models: An application to the Colombian market. Cuad. Adm. [online]. 2011, vol.24, n.42, pp.73-100. ISSN 0120-3592.

This article presents the results of the study on credit risk management in shares included in the Colombian stock exchange index (IGBC), between 2005 and 2007. The probability of default and rates of recovery given default are estimated using the Merton structural approach, and its extensions. The assumptions of constant volatility and heteroskedacity of the companies;acute; assets are used to provide estimates by individual company and by economic sector. The results indicate, with a statistical significance of 1%, and using non-parametric tests, that in that period there were significant differences in the probability of default at the level of the sector, and that the patterns of heteroskedacity considered in the volatility of assets have no significant influence on the estimates of the probability of default.

Keywords : Probability of default; structural models; Merton model; asset volatility.

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