Pérdida prevista según la NIIF 9: una propuesta de modelo para la estimación de la probabilidad de impago en las empresas sin rating

IFRS 9 Expected Loss: A Model Proposal for Estimating the Probability of Default for non-rated companies

Autores/as

DOI: https://doi.org/10.6018/rcsar.370951
Palabras clave: NIIF 9, Deterioro de Activos Financieros, Probabilidad de Quiebra, Rating Crediticio

Resumen

Bajo el modelo de provisiones por riesgo de crédito de la NIIF 9, las empresas deben estimar una Probabilidad de Default o quiebra (PD) para todos los activos financieros (y otros elementos) no valorados a valor razonable con cambios en la cuenta de resultados. Existen varias metodologías para estimar dicha PD utilizando información histórica o de mercado. No obstante, en algunos casos las empresas no disponen de información histórica o de mercado acerca de una contraparte. Para estos casos proponemos un modelo denominado Financial Ratios Scoring (FRS), a través del cual la entidad puede obtener un rating interno de la contraparte como primer paso para estimar la PD. El modelo se diferencia de otros modelos recientes en varios aspectos como, por ejemplo, el tamaño de la base de datos o el hecho de que se enfoca en empresas sin rating. Se basa en dar una puntuación a la contraparte en función de sus ratios financieros clave. La puntuación sitúa a la empresa en un percentil dentro de una distribución del sector previamente construida utilizando empresas con rating oficial u ofrecido por vendors. Hemos analizado la fiabilidad del modelo calculando el rating interno para empresas con rating oficial y hemos comparado el rating interno con el oficial, obteniendo resultados positivos.

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Publicado
01-07-2020
Cómo citar
Delgado-Vaquero, D., Morales-Díaz, J., & Zamora-Ramírez, C. (2020). Pérdida prevista según la NIIF 9: una propuesta de modelo para la estimación de la probabilidad de impago en las empresas sin rating: IFRS 9 Expected Loss: A Model Proposal for Estimating the Probability of Default for non-rated companies. Revista De Contabilidad - Spanish Accounting Review, 23(2), 180-196. https://doi.org/10.6018/rcsar.370951
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