Medidas de Incumplimiento de Empresas Chilenas Basadas en Datos Administrativos

Jorge Fernández B. and Francisco Vásquez M.

Economic Statistics Series from Central Bank of Chile

Abstract: The risk associated with the commercial portfolio is relevant for financial stability. This link is clear considering that 60% of the total stock of loans corresponds to this group, as of December 2017. In this document, we propose three different indicators designed to monitor the level of credit risk in this portfolio: the installments arrears rate (ICI by its Spanish acronym), the nonpayment index, and the debtor nonpayment rate, all of them based on administrative data provided by the Superintendence of Banks and Financial Institutions. By decomposing these indicators we found that most firms in arrears have been in that state for more than one year, also this group exhibits the lowest probability of recovery among all groups of firms. A sectoral analysis of the ICI shows important differences between productive and service sectors, where the latter displays persistently lower arrears rates, even though it experienced a significant increase in 2017. The use of microdata for the construction of these indicators, in contrast with aggregate data, allows for deeper analysis and a more detailed description of the nonpayment dynamics at the individual level, which can lead to a more accurate aggregate interpretation of this phenomenon.

Date: 2019-02
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