IFRS 9 Expected LossA Model Proposal for Estimating the Probability of Default for non-rated companies

  1. Delgado-Vaquero, David 1
  2. Morales-Díaz, José 2
  3. Zamora-Ramírez, Constancio 3
  1. 1 EY Spain
  2. 2 Universidad Complutense de Madrid
    info

    Universidad Complutense de Madrid

    Madrid, España

    ROR 02p0gd045

  3. 3 Universidad de Sevilla
    info

    Universidad de Sevilla

    Sevilla, España

    ROR https://ror.org/03yxnpp24

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Revista:
Revista de contabilidad = Spanish accounting review: [RC-SAR]

ISSN: 1138-4891

Año de publicación: 2020

Volumen: 23

Número: 2

Páginas: 180-196

Tipo: Artículo

DOI: 10.6018/RCSAR.370951 DIALNET GOOGLE SCHOLAR lock_openDIGITUM editor

Otras publicaciones en: Revista de contabilidad = Spanish accounting review: [RC-SAR]

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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Fuente de los datos: Dialnet