Abstract

BUENDIA MORA, Sandra Milena  and  CASTILLA CARRERA, Lina Margarita. Estimation and projection of the debt's risk premiums of companies in Colombia, 1998-2008. Semest. Econ. [online]. 2010, vol.13, n.26, pp.101-118. ISSN 0120-6346.

The purpose of this paper is to determine and project the debt premium risk of companies in Colombia by studying the behavior of the 1998-2008 period. For this calculation, existent financial risk methods such as the Capital Asset Pricing Model (CAPM) and Fisher relation were used as base. These were adapted under several assumptions; while for its projection a multiple regression econometric model with some macroeconomic variables was executed. Results show that inflation expectation, TRM or nominal exchange rate variations and the political uncertainty caused by presidential elections, are statistically significant and in the exposed models they explain the premium behavior and permits its short term projection.

Keywords : Risk premium; corporate credits interest rate; private debt; CAPM model; Fisher relation.

        · abstract in Spanish | Portuguese     · text in Spanish     · Spanish ( pdf )