Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru

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The calculation of probabilities of default can be improved by incorporating additional variables that can be predicted and which are associated with changes in the debtors' financial situation and the economic situation. The inclusion of these variables is possible through the use of survival...

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Detalles Bibliográficos
Autores: Uriarte Cáceres, Fátima, Agüero Palacios, Ysela
Formato: artículo
Fecha de Publicación:2017
Institución:Universidad Nacional Mayor de San Marcos
Repositorio:Revistas - Universidad Nacional Mayor de San Marcos
Lenguaje:español
OAI Identifier:oai:ojs.csi.unmsm:article/13486
Enlace del recurso:https://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/13486
Nivel de acceso:acceso abierto
Materia:survival analysis
Cox proportional hazards model
probability of default
análisis de supervivencia
modelo de riesgos proporcionales de Cox
probabilidad de incumplimiento
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spelling Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in PeruAnálisis de supervivencia como alternativa metodológica para estimar probabilidades de incumplimiento de los deudores de créditos corporativos y a grandes empresas en el PerúUriarte Cáceres, FátimaAgüero Palacios, Yselasurvival analysisCox proportional hazards modelprobability of defaultanálisis de supervivenciamodelo de riesgos proporcionales de Coxprobabilidad de incumplimientoThe calculation of probabilities of default can be improved by incorporating additional variables that can be predicted and which are associated with changes in the debtors' financial situation and the economic situation. The inclusion of these variables is possible through the use of survival analysis. In the present paper, an application of the Cox proportional hazards model is performed to identify some explanatory variables of the risk of default of new corporate credit debtors and large companies. The characteristics of the debtor (economic sector, indebtedness, profitability, size of the company); credit (initial loan, percentage in foreign currency, percentage of guarantees); together with entity grouping and business confidence index were identified as risk factors for non-compliance in the payment of corporate and large companies loans.El cálculo de probabilidades de incumplimiento puede mejorarse si se incorporan variables adicionales que pueden predecirse y que están asociadas a los cambios en la situación financiera de los deudores y en la situación económica. La inclusión de estas variables es posible mediante el uso del análisis de supervivencia. En el presente documento, se realiza una aplicación del modelo de riesgos proporcionales de Cox para identificar algunas variables explicativas del riesgo de incumplimiento de los nuevos deudores de créditos corporativos y a grandes empresas. Las características del deudor (sector económico, endeudamiento, rentabilidad, tamaño de la empresa), del crédito (saldo inicial, porcentaje en moneda extranjera, porcentaje de garantías), la agrupación de la entidad y el índice de confianza empresarial fueron identificados como factores de riesgo significativos para el incumplimiento en el pago de los créditos de las empresas corporativas y grandes.Facultad de Ingeniería Industrial, Universidad Nacional Mayor de San Marcos2017-07-24info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/1348610.15381/idata.v20i1.13486Industrial Data; Vol. 20 No. 1 (2017); 7 - 16Industrial Data; Vol. 20 Núm. 1 (2017); 7 - 161810-99931560-9146reponame:Revistas - Universidad Nacional Mayor de San Marcosinstname:Universidad Nacional Mayor de San Marcosinstacron:UNMSMspahttps://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/13486/11936Derechos de autor 2017 Fátima Uriarte Cáceres, Ysela Agüero Palacioshttps://creativecommons.org/licenses/by-nc-sa/4.0info:eu-repo/semantics/openAccessoai:ojs.csi.unmsm:article/134862019-07-11T17:25:27Z
dc.title.none.fl_str_mv Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
Análisis de supervivencia como alternativa metodológica para estimar probabilidades de incumplimiento de los deudores de créditos corporativos y a grandes empresas en el Perú
title Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
spellingShingle Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
Uriarte Cáceres, Fátima
survival analysis
Cox proportional hazards model
probability of default
análisis de supervivencia
modelo de riesgos proporcionales de Cox
probabilidad de incumplimiento
title_short Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
title_full Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
title_fullStr Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
title_full_unstemmed Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
title_sort Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
dc.creator.none.fl_str_mv Uriarte Cáceres, Fátima
Agüero Palacios, Ysela
author Uriarte Cáceres, Fátima
author_facet Uriarte Cáceres, Fátima
Agüero Palacios, Ysela
author_role author
author2 Agüero Palacios, Ysela
author2_role author
dc.subject.none.fl_str_mv survival analysis
Cox proportional hazards model
probability of default
análisis de supervivencia
modelo de riesgos proporcionales de Cox
probabilidad de incumplimiento
topic survival analysis
Cox proportional hazards model
probability of default
análisis de supervivencia
modelo de riesgos proporcionales de Cox
probabilidad de incumplimiento
description The calculation of probabilities of default can be improved by incorporating additional variables that can be predicted and which are associated with changes in the debtors' financial situation and the economic situation. The inclusion of these variables is possible through the use of survival analysis. In the present paper, an application of the Cox proportional hazards model is performed to identify some explanatory variables of the risk of default of new corporate credit debtors and large companies. The characteristics of the debtor (economic sector, indebtedness, profitability, size of the company); credit (initial loan, percentage in foreign currency, percentage of guarantees); together with entity grouping and business confidence index were identified as risk factors for non-compliance in the payment of corporate and large companies loans.
publishDate 2017
dc.date.none.fl_str_mv 2017-07-24
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/13486
10.15381/idata.v20i1.13486
url https://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/13486
identifier_str_mv 10.15381/idata.v20i1.13486
dc.language.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistasinvestigacion.unmsm.edu.pe/index.php/idata/article/view/13486/11936
dc.rights.none.fl_str_mv Derechos de autor 2017 Fátima Uriarte Cáceres, Ysela Agüero Palacios
https://creativecommons.org/licenses/by-nc-sa/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Derechos de autor 2017 Fátima Uriarte Cáceres, Ysela Agüero Palacios
https://creativecommons.org/licenses/by-nc-sa/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Facultad de Ingeniería Industrial, Universidad Nacional Mayor de San Marcos
publisher.none.fl_str_mv Facultad de Ingeniería Industrial, Universidad Nacional Mayor de San Marcos
dc.source.none.fl_str_mv Industrial Data; Vol. 20 No. 1 (2017); 7 - 16
Industrial Data; Vol. 20 Núm. 1 (2017); 7 - 16
1810-9993
1560-9146
reponame:Revistas - Universidad Nacional Mayor de San Marcos
instname:Universidad Nacional Mayor de San Marcos
instacron:UNMSM
instname_str Universidad Nacional Mayor de San Marcos
instacron_str UNMSM
institution UNMSM
reponame_str Revistas - Universidad Nacional Mayor de San Marcos
collection Revistas - Universidad Nacional Mayor de San Marcos
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 13.959468
Survival analysis as a methodological alternative to estimate probabilities of default of corporate credit debtors and large companies in Peru
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