<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422021000100013</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2020.2510</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Estimación del riesgo de crédito en proyectos de infraestructura mediante modelos estructurales]]></article-title>
<article-title xml:lang="en"><![CDATA[Estimation of credit risk in infrastructure projects using structural models]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Zapata Quimbayo]]></surname>
<given-names><![CDATA[Carlos Andrés]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Externado de Colombia  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Colombia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2021</year>
</pub-date>
<volume>66</volume>
<numero>1</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422021000100013&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422021000100013&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422021000100013&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este trabajo tiene como objetivo implementar un modelo de riesgo de crédito en proyectos de infraestructura, donde se estima la probabilidad de incumplimiento teniendo en cuenta el flujo de efectivo disponible para el servicio de deuda y su ratio de cobertura. Para ello, se utiliza un modelo estructural de riesgo de crédito desarrollado para activos ilíquidos, como una extensión de los modelos de Merton (1974) y KMV de Moody&#8217;s, mediante el cual se analizan los componentes de probabilidad de incumplimiento, exposición, tasa de recuperación y pérdida esperada. La principal innovación de este enfoque se debe a la incorporación de una dinámica propia de la ratio de cobertura del servicio de deuda, el cual se modela estocásticamente siguiendo los mismos supuestos de la teoría de valoración de opciones financieras. Además, este modelo se complementa con la técnica de simulación de Monte Carlo, bajo la cual se estiman algunos parámetros esenciales, así como la pérdida esperada y el valor en riesgo (VaR) crediticio.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper aims to implement a credit risk model in infrastructure investment projects, where the probability of default is estimated considering the cash flow available for debt service, which determines the debt service coverage ratio. For that, a structural model developed for illiquid assets is used, such as an extension of the credit risk models of Merton (1974) and KMV of Moody&#8217;s, through which the components of the probability of default, exposure, recovery rate and expected loss are analyzed. The main innovation of this approach is due to the incorporation of a dynamic of the debt service coverage ratio, which is modelled stochastically following the same assumptions of the option pricing theory. In addition, this model is complemented with the Monte Carlo simulation technique, under which some essential parameters are estimated, as well as the expected loss and the credit value-at-risk (VaR).]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Riesgo de crédito]]></kwd>
<kwd lng="es"><![CDATA[Probabilidad de incumplimiento]]></kwd>
<kwd lng="es"><![CDATA[Proceso estocástico]]></kwd>
<kwd lng="es"><![CDATA[C14]]></kwd>
<kwd lng="es"><![CDATA[G13]]></kwd>
<kwd lng="es"><![CDATA[G21]]></kwd>
<kwd lng="en"><![CDATA[Credit risk]]></kwd>
<kwd lng="en"><![CDATA[Probability of default]]></kwd>
<kwd lng="en"><![CDATA[Stochastic process]]></kwd>
<kwd lng="en"><![CDATA[C14]]></kwd>
<kwd lng="en"><![CDATA[G13]]></kwd>
<kwd lng="en"><![CDATA[G21]]></kwd>
</kwd-group>
</article-meta>
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