Modelo Estocástico de Cadenas de Markov Ocultas para el problema de quiebra de las empresas ecuatorianas, en un sector específico de la economía ecuatoriana

Abstract

In the last few decades the financial turbulence have been manifested as: banking crises, sovereign debt crisis, external debt crisis, currency crises or crisis of inflation (James Gerber 2011), which have an impact on factors such as: external debt, stock exchanges, hifpeinflaciones, volatility in exchange rates, among other effects. In this article raises the need to analyze the financial collapse using a stochastic model of Hidden Marcov Chains by integrating it with the Altmant Model (1969), in order to project the financial statements in a given period T, subject to restrictions of an observable signal (portfolio delinquency index), which allows the bankruptcy of the moniotorear Ecuadorian banks. In the present study in first applied the model Altman , to determine the financial statements concerning the financial solvency of banks, in the second instance ran the model of Hidden Markov Chains to delineate the possible scenarios faced by banks in the future , subject to the restriction of the signal , which made it possible to establish the likelihood of the sequence of the Hidden Markov Chain by means of the algorithms Forward, and the Algorithm Viteri in such analysis.