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Ensayos sobre POLÍTICA ECONÓMICA
versão impressa ISSN 0120-4483
Resumo
GOMEZ-GONZALEZ, José Eduardo e OROZCO HINOJOSA, Inés Paola. An Early Warning Model for the Colombian Financial System. Ens. polit. econ. [online]. 2010, vol.28, n.62, pp.124-147. ISSN 0120-4483.
This study presents a statistical early warning model that uses survival analysis techniques to evaluate and forecast the current and future state of Colombian banks' financial health. The model built in this article analyzes how changes in borrowers' creditworthiness affect the probability of default of loans and the banks' solvency. This model complements early warning models that study banks' default probability directly. It has a pretty good insample forecast capacity.
Palavras-chave : statistical early warning models; hazard function models; migration intensities.