Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia

Abstract

The paper makes an explicit assessment of the factors in which the corporative margin is composed, understanding it as the difference between the public debt spot rate and the corporative debt spot rate graded AAA and AA. The implemented methodology is based on proposal of Elton et al (2001), in which the corporative margin assumes the sum of three factors: issuer default risk, issuance costs and systemic risk. The analyzed information contains observed daily trade data taken from the Colombian Electronic Market (MEC) from January 2005 to November 2009. Default probabilities are measured from the main transition matrix calculated by the two principal risk rating agencies within the Colombian market.