Propuesta metodológica de análisis de estados financieros para la medición del riesgo de refinanciamiento

CAPIC REVIEW

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Title Propuesta metodológica de análisis de estados financieros para la medición del riesgo de refinanciamiento
Measuring refinancing risk: a methodological approach for financial statement analysis
 
Creator Contreras, Harold
Malatesta, Giovanni
 
Subject financial analysis
financial statements
refinancing risk
análisis financiero
estados financieros
riesgo de refinanciamiento
 
Description El refinanciamiento de pasivo es una de las prácticas más utilizadas por las corporaciones para hacer frente al vencimiento de obligaciones de corto plazo. Sin una adecuada gestión de activos y pasivos (ALM por su sigla en inglés), las entidades se ven obligadas a refinanciar en condiciones de mercado desfavorables, por ejemplo, altas tasas de interés. Si bien, la gestión de riesgo de refinanciamiento a través de ALM es un tema bien estudiado y aplicado en el sector financiero, en las empresas no financieras su uso es escaso.
El presente trabajo establece una metodología de análisis del riesgo de refinanciamiento, para empresas no financieras, por medio de la cuantificación de exposiciones utilizando información públicamente disponible en los Estados Financieros.
Específicamente, se proponen dos métricas: (1) el descalce estructural de plazos de balance, que aproxima cuán probable es que una empresa deba refinanciar pasivo, y (2) el Patrimonio at Risk (PaR), el cual mide la mayor pérdida esperada de valor patrimonial al refinanciar en condiciones de mercado desfavorables.
Las referidas métricas son debidamente validadas a través de análisis empírico. Para ello, se utiliza una muestra de 163 empresas chilenas cotizadas en Bolsa y se muestra que las métricas propuestas explican más fuertemente la probabilidad de que una empresa refinancie pasivo, en comparación con otra medida establecida en la literatura.
Refinancing obligations is a common practice among firms when long-term maturity has shortened markedly. Without the application of Asset and Liability management (ALM), firms are often forced to refinance in unfavorable market conditions, for example, facing higher interest rates. Although, ALM has been widely studied and applied for firms in the financial sector, in the non-financial sector its application has been scarce.
This article sets a methodology for risk management analysis, to be applied in the non-financial sector, which quantifies how exposed a firm could be, by only using publicly available information contained in Financial Statements.
In particular, we propose two measures: (1) the structural mismatch of the Balance Sheet, which measures how likely a firm is to refinance its obligations, and (2) the Equity at Risk (PaR due to its’ Spanish abbreviation), which captures the greatest expected loss that comes from refinancing in adverse market conditions. The referred metrics are validated accordingly thorough statistical tools.
To do this, we use a sample of 163 Chilean public firms and show that our measures explain more the likelihood of refinancing by a firm compared to an alternative proxy commonly used in the literature.
 
Publisher Conferencia Académica Permanente de Investigación Contable
 
Date 2018-12-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Artículo evaluado por pares
 
Format application/pdf
 
Identifier https://capicreview.com/index.php/capicreview/article/view/65
10.35928/cr.vol16.2018.65
 
Source CAPIC REVIEW; Vol 16 (2018): CAPIC REVIEW; 1-15
CAPIC REVIEW; Vol. 16 (2018): CAPIC REVIEW; 1-15
0718-4662
0718-4654
10.35928/cr.vol16.2018
 
Language spa
 
Relation https://capicreview.com/index.php/capicreview/article/view/65/43
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Rights https://creativecommons.org/licenses/by-nc-sa/4.0
 

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