Abstract

CASTILLO, José A.  and  MORA-VALENCIA, Andrés. The effect of moral hazard on the SMEs credit portfolio guaranteed by Colombia's National Guarantee Fund. estud.gerenc. [online]. 2023, vol.39, n.168, pp.379-386.  Epub Oct 30, 2023. ISSN 0123-5923.  https://doi.org/10.18046/j.estger.2023.167.5961.

This article determines the effect of moral hazard on the probability of default of the credit portfolio of small and medium-sized companies guaranteed by Colombia's National Guarantee Fund. A copula methodology with two logit models with traditional and moral hazard financial ratios was used. The results show that the probabilities of default have the same pattern, evidencing that by incorporating the ratios of moral hazard, no significant variations are shown in the results. Thus, the moral hazard categories become an important tool not only at the calculation level of individual default probability but also in a portfolio.

Keywords : moral hazard ratios; credit risk; national guarantee fund; credit portfolio; copula.

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