In angible Capi al
IC, 2020 – 16(2): 61-77 – Online ISSN: 1697-9818 – P in ISSN: 2014-3214
h ps://doi.o g/10.3926/ic.1691
Empi ical e olu ion o c edi isk o e a decade in
IBEX 35 companies and i s ela ionship wi h he
quali ica ion o i s a ings
Josep Pa au B une
Escola Supe io de Ciències Socials i de l’Emp esa
TecnoCampus Ma a ó-Ma esme, Uni e si a Pompeu Fab a (Spain)
[email p o ec ed]
Recei ed Sep embe , 2020
Accep ed No embe , 2020
Abs ac
Pu pose:
The p esen wo k esponds o wo objec i es. On he one hand, i desc ibes he e olu ion o
he main economic- inancial indica o s ha in luence c edi isk (insol ency) o a sample o 10 Spanish
companies lis ed on he IBEX 35.This analysis is s udied o a compa a i e pe iod o 10 yea s, which
coincides wi h a p e-c isis s age (2002-2005) and an economic pos -c isis phase (2012-2015).On he
o he hand, i co obo a es he ela ionship be ween he analysed insol ency and he a ing o c edi - isk
a ing published o hese companies by an in e na ionally ecognized c edi a ing agency, S anda d&
Poo 's (S & P).
Design/me hodology:
A sample o 10 companies and a 10-yea pe iod including he yea s 2002-2005
(p e-c isis) and he yea s 2012-2015 (pos -c isis) a e chosen, omi ing he Spanish economic c isis ha
occu ed in he yea 2008. Fo he s udy o i s e olu ion, 6 a ios ob ained om he scien i ic li e a u e
ha ela e o c edi isk and i s e ec s on in es men s and company esul s a e calcula ed. Finally, he
co ela ions o hese a iables wi h he a ings o c edi isk assessmen by he a ing agency S & P a e
measu ed. Desc ip i e s a is ics will assign alue and g aphics o his en-yea e olu ion, and wi h he
inco po a ion o a ac o ial analysis, he co ela ion be ween he a ios and he S & P a ing will be
de e mined. The s a is ical analysis explains his co ela ion o a g ea e ex en .
Findings:
The esul s show a clea inc ease in he alue o he impai men a iable due o c edi isk
en yea s la e ha di ec ly a ec s he esul s o he companies, despi e hese companies ha ing
signi ican ly educed hei in es men s in comme cial loans pending collec ion and d as ically educed
he pe iod means o collec ion o clien s. In u n, he e is a clea co ela ion be ween he insol ency
s udied and he a iables used by he S & P a ing agency o he assessmen o c edi isk.
O iginali y/ alue:
The empi ical s udy concludes ha he e is a co espondence be ween insol ency
and he a ing gi en by an in e na ionally p es igious a ing agency (S & P) o he sample o 10
companies s udied. Th ee a iables – cus ome balance-accoun s ecei able, in es men s and he ne
amoun o u no e – a e de e mining ac o s explaining his co ela ion, and hese h ee a iables a e
he same ones ha decisi ely in luence bo h he p e-c isis pe iod and he pos -c isis pe iod 10 yea s
apa . The a ing agencies weigh he insol ency a iable in hei analyses.
Keywo ds:
C edi isk, Insol ency, C edi e alua ion ( a ing)
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In angible Capi al – h ps://doi.o g/10.3926/ic.1691
Jel Codes:
M41 Accoun ing
To ci e his a icle:
Pa au B une , J. (2020). Empi ical e olu ion o c edi isk o e a decade in IBEX 35 companies and i s
ela ionship wi h he quali ica ion o i s a ings. In angible Capi al, 16(2), 61-77.
h ps://doi.o g/10.3926/ic.1961
1. In oduc ion
When a company is inco po a ed in o he business wo ld and assumes he ules o he ma ke s, i is ully awa e
ha his p ocedu e en ails assuming a se ies o isks. One such isk is he isk o de aul ha may esul om he
comme cial ela ionships main ained wi h o he en i ies, which we will call clien -deb o s. We de ine his isk,
called c edi isk, as he possible loss assumed by an economic agen as a consequence o a b each o con ac ual
obliga ions incumben on coun e pa s wi h which i ela es. Such a isk is no subjec o con ol by he agen ,
al hough he agen has he op ion o insu e i h ough duly specialized companies by means o he assump ion
o some cos s; o example, he economic ope a ions p o ec ed by an insu ance gua an ee amoun o 137,000
million eu os, almos 14% o he Spanish GDP (Unespa-Insu ance Business Associa ion, 2009).
C edi isk is inhe en o a company, and ze o isk does no exis . The e o e, companies mus lea n o li e wi h
c edi isk and manage he delinquency o hei clien s-deb o s in he bes possible way so ha hei incidence is
he leas bu densome o ou in e es s.
La e paymen has been, is and will be a d ag on he business ab ic. Ma iano Reyes w i es (quo ed in B ach ield,
2006) ha he high dea h a e o Spanish SMEs is due in la ge pa o la e paymen and ha one o e e y h ee
bank up cies in Spain is caused by delays in bill paymen s. He adds ha wha is wo ying is ha mos o he
de aul s ha occu in Eu ope a e in en ional and ha he pe cen age o hese de aul s in Spain (5.1%) is double
ha o he es o he con inen (2.6%).
I seems ha delinquency has become no mal and commonly accep ed. This a iable, which is di icul o
con ol and moni o , can ha e disas ous consequences o he good p og ess o c edi o companies ha ha e
been su p ised by he en y in o bank up cy o any o hei deb o s. Delinquency conside ably limi s he egula
inancing o asse s and esul s in impo an changes in e ms o p o i abili y, liquidi y and deg ee o
indeb edness.
Ins i u o Nacional de Es adís ica (2007) es ablished ha , in he mos ecen p e-c isis yea s, 50.79% o he
companies ha a e bo n in Spain do no li e long enough o celeb a e hei i h anni e sa y; he lack o business
aining and he delay in collec ing bills a e wo o he h ea s; and his igu e inc eases o 56.54% in he pos -
c isis pe iod 2010-2014 (Ins i u o Nacional de Es adís ica, 2017).
Acco ding o da a om he Mul isec o ial Pla o m o Comba ing La e Paymen s (Pla a o ma Mul isec o ial De
Lucha Con a La Mo osidad, 2010), his p oblem is he leading cause o insol ency in Spain in 67% o business
closu es ha ha e occu ed since 2007. The main eason was he delay in he collec ion o in oices, which has
le c edi o s wi hou liquidi y and wi h easu y p oblems.
A company becomes insol en when i canno mee he paymen o i s deb s on he co esponding due da es.
Acco ding o Suá ez (2003), his esul occu s due o poo easu y managemen when asse s ( o al in es men s)
exceed liabili ies ( o al o o he deb s). In hese cases, when he cessa ion in he paymen o obliga ions is
empo a y o ansi o y, he insol ency is called echnical insol ency, suspension o paymen s o ansi o y
insol ency. On he o he hand, when, in addi ion o he cessa ion o paymen , he alue o asse s is less han ha
o liabili ies ( ha is, when equi y is nega i e), he company aces a s a e o economic insol ency, bank up cy o
inal insol ency.
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Associa ed wi h he suspension o paymen s and bank up cy a e sepa a e legal p oceedings ha lead o he legal
decla a ion o each s a e o p o ec he legi ima e in e es s o he c edi o s. Bank up cy can mean he dea h o
disappea ance o he company. The suspension o paymen s, on he o he hand, ies p ecisely o a oid he
de ini i e disappea ance o he company by acili a ing he es ablishmen o an ag eemen be ween i and i s
c edi o s. Th ough his app oach, he company is g an ed a de e men , mo a o ium o wi hd awal o he
paymen o i s deb s. As a esul o he appea ance on he scene o he new law 22/2003 o July 9, Bank up cy,
he judicial p ocedu e was uni ied and came o be called bank up cy. Thus, en i ies subjec o his p ocess we e
designa ed insol en deb o s. The bank up cy law owes i s name o he concu ence o c edi o s on common
deb o 's asse s.
See Table 1, which shows, by way o example, he e olu ion o he numbe o companies ha eques
bank up cy du ing he decades s udied. No da a appea in he yea s 2002 and 2003 because he bank up cy law
(22/2003 o July 9) appea ed in mid-2003, and wi h i , he e was he c ea ion o he me can ile cou s o decide
hese issues. I is no un il iscal yea 2004 ha he e is eal and concen a ed in o ma ion abou he bank up cy
si ua ions p esen ed and, in his case, only o he las ou -mon h pe iod. The able shows he e olu ion
bank up cy has had: compa ed o 2005 (1,001 companies), he numbe o companies submi ed o he p ocess
en yea s la e had inc eased by a ac o o 5.7 (5,746 companies) and was e en mul iplied by almos 10 wo yea s
p e iously in 2013 (9,937 companies).
Table 1. E olu ion o he numbe o companies ha apply o bank up cy C edi o s in Spain du ing he
yea s s udied (INE, 2017)
The iden i ica ion o alid indica o s o p edic co po a e insol ency has been a cons an in he in es iga ion o
he accoun ing and inancial a ea in ecen decades. The lack o a posi i e heo y on his issue has o ced
esea che s o app oach i om a pu ely empi ical pe spec i e. Wi h he eme gence o di e en p edic i e
models, he new a enue o open accoun ing esea ch has inco po a ed abundan accoun ing discipline li e a u e,
in which he inancial in o ma ion o companies has acqui ed g ea e p ominence and one o he a iables used
is c edi isk.
The mos ele an wo ks on he in es iga ion o business ailu es, whe e c edi isk acqui es g ea e se e i y,
co espond o wo au ho s: Bea e (1966), who conduc ed an analysis o business c ises by applying accoun ing
a ios uni a ia ely, and Al man (1968), who also used mul idisc iminan analysis o p edic co po a e bank up cy
based on accoun ing a ios. No e he di icul y in hose imes o handling a la ge amoun o in o ma ion wi hou
ha ing he compu e esou ces ha exis oday. The e o e, i is no isky o say ha he decade o he six ies
ma ked he beginning o his line o esea ch.
In u n, in e ms o c edi isk, we highligh he changes ha he banking sec o has made wi h he New Basel II
Ag eemen . I s ounda ion is ha capi al equi emen s a e mo e sensi i e o isk, especially c edi isk. The
cu en ag eemen is ocussed on a single isk measu e, a single sui sys em and a simple s uc u e. The p oposal
o he new Ag eemen places mo e emphasis on he in e nal c edi isk measu emen models o each bank, he
supe iso 's e iew and he ma ke discipline; i is mo e lexible, i has se e al app oaches and incen i es, bu i is
also mo e complex. Al hough he banking sec o will no be pa o he objec o his wo k, i is good o ake i
in o conside a ion due o he subs an ial ad an age ha his sec o has wi h espec o he es o he business
sec o s in e ms o he sensi i i y gene a ed o con ol and manage he isks o c edi .
Finally, we highligh ha c edi isk is one o he a iables used by c edi a ing agencies o a ings. The main
objec i e o hese ins i u ions, which a e associa ed wi h he inancial sys em, is he alua ion and quan i ica ion
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o he c edi isk associa ed wi h he public and p i a e deb issues ha a e aded in he capi al ma ke s.
Th ough his alua ion, hey issue a a ing o a ings o gi e an opinion on he ins umen issued and he
economic- inancial heal h o he issue o mee he obliga ions con ac ed wi h i s in es o s. These ins i u ions
a e accused in some cases o a lack o anspa ency, o p o oking specula ions in he inancial ma ke s and o
ac ing acco ding o who pays hem; e e o he bank up cy o he ene gy co po a ion En on (2001) o he
bank up cy o Lehman B o he s (2008), among o he s.
The a ing agency ma ke has been concen a ed in h ee la ge and his o ic o ganiza ions o yea s: S anda d &
Poo 's, Moody's and Fi ch Ra ings. The "Big Th ee", as hey a e known in he Anglophone wo ld, ha e bene i ed
om yea s o special dis inc ions g an ed by egula o y ins i u ions, such as he Ame ican NRSRO (Na ionally
Recognized S a is ical Ra ing O ganiza ions). In ou case, we will ocus on S anda d & Poo 's (S & P), which
appea s as a esul o he me ge o Poo 's Publishing and S anda d S a is ics in 1941, al hough i s oo s go back
o 1860.
2. Li e a u e e iew
The e is an ex ensi e li e a u e abou c edi isk in he business sec o . In ou case, we wan ed o limi ou
analysis o he concep o comme cial c edi and he speci ic a iables o s udy and e alua e his c edi isk o e
ime, which will help us o ca y ou ou empi ical analysis and de e mine whe he he e is a ela ionship wi h he
c edi a ings o e ed by he a ing companies.
Reie son (1959) e e ed o he isk o de aul seen om a cus ome 's poin o iew. I was sugges ed ha he
demands o sho - e m comme cial c edi would inc ease apidly and signi ican ly, concen a ing i s s eng h on
less du able p oduc s. This demand would expand in o comme cial ela ionships, whe e he isk o de aul would
be highe and would a ec he esul s o he company and i s liquidi y. Howe e , his c edi policy would cause
an inc ease in u no e .
Comme cial c edi allows companies wi h di icul ies in accessing ins i u ional inancing o ob ain unds h ough
a comme cial ela ionship ha is es ablished wi h companies ha can p esen , a p io i, a g ea e acili y o ob ain
c edi in he inancial ma ke s. This aspec is indica ed in Schwa s (1974) and Eme y (1984); howe e , his excess
o in es men in cash mus be conside ed by he selling company o see how i a ec s ha company’s liquidi y.
In u n, Cea (1992) unde s ands c edi isk as he se o ac o s o ci cums ances ha de e mine o a ec he
achie emen o he esul a p esen and in he u u e, so ha business isk is de ined as he isk o ob aining o
income, which di ec ly a ec s he po en ial delinquency o ou clien -deb o and he economic- inancial
consequences ha may occu in ou inancial s a emen s, bo h a he pa imonial le el and a he le el o esul s.
O he au ho s, among whom we highligh Chuliá (1991, 1992 and 1993), Ga cía Vaque o and Maza (1996) and
He nández de Cos and He nando (1999), ca y ou s udies in which he exis ence o a size e ec was ound,
poin ing ou ha smalle companies a e hose ha mos o en eso o inancing ia supplie s. In such cases, he
isk o no being paid and i s consequences may be g ea e , which esul s in less liquidi y, g ea e in es men in
cash, longe paymen e ms and an impac on esul s. Ga cía Pé ez de Lema, Cal o-Flo es Segu a and A qués
Pé ez (2000) also associa e he size e ec wi h he concep o inancial isk and a gue ha smalle companies
ha e g ea e exposu e o isk by ha ing a less a ou able deb s uc u e and lowe economic p o i abili y.
Acco ding o Ga ido (2000), he app oach o a c edi policy o cus ome s in ol es analysing he eal
possibili ies o inancing he sales o u no e ha he company wan s o achie e, quan i ying he cos o
inancing sales and, o cou se, assuming he isk o possible losses due o inal insol encies o one o mo e o
he clien s. The e o e, Vidal (2001) inco po a es a new elemen o analysis, accoun ing, which should be an
indispensable ool o adequa e and a ional inancial decision-making and could be expec ed o p o ide hi d
pa ies use ul in o ma ion o assess p o i abili y and he isk o he company. Howe e , he e e ences ha may
be use ul in he assessmen o isk a e insu icien , and he limi ed in o ma ion p o ided on isk is dispe sed in
he in o ma ion p o ided by he companies wi hou any ype o sys ema ic managemen o ea men .
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Simila ly, he Commission o Expe s o he Whi e Book o he e o m o accoun ing in Spain, and
i sp esiden , Gonzalo, J. (2002), unde s and ha his commission should boos he in o ma ion on en e p ise
isks un il o he less adical o mulas such as he alloca ion o a poin in he annual accoun s
A a mee ing held in Oc obe 2002, he In e na ional Accoun ing S anda s Boa d-IASB (2005) iden i ied he
need o de elop a documen ha con ains in o ma ion beyond he annual accoun s, e lec ed in he p ojec
managemen commen a y (MC), whe e in es o s become he main use s, since such a documen would allow
in es o s o be e unde s and inancial s a emen s. The poin o depa u e was o ind a ela ionship be ween
inancial in o ma ion (de eloped h ough adi ional inancial s a emen s) and he impo ance o o he
in o ma ion ha should accompany hese s a emen s o comple e hem; among ha o he in o ma ion we e
po en ial c edi isks.
The lack o published in o ma ion on c edi isk in he inancial s a emen s does li le o sol e his clima e o
dis us on he pa o in es o s. This lack is i emediably linked o he ac ha , in he as majo i y o business
c isis scena ios, he audi epo s ha e no ese es ha would ale pa ne s, c edi o s o he ma ke in gene al
(Fe nández del Pozo, 2001). This poin leads us o a i m ha he mechanisms es ablished by he o de o he
de ec ion o c isis si ua ions, as well as he public in o ma ion a ailable o all in e es ed pa ies, a e nei he
su icien no , abo e all, e icien (Vicen Chuliá, 2002) because hey do no allow knowing p e-insol ency
si ua ions i he adminis a ion body does no communica e hem.
The con ibu ion o Jiménez and Sau ina (2006) is o o e e idence o a posi i e ela ionship, al hough
ou da ed, be ween he apid g ow h o c edi and u u e delinquency a ios. Mo eo e , hey ind a di ec
ela ionship be ween he phase o he c edi cycle in which he ope a ions a e g an ed and he s anda ds o he
c edi policy a ha momen . Thus, c edi isk inc eases in pe iods o economic expansion, bu i only shows up
as c edi losses du ing ecessions, which will g ea ly depend on he momen and economic en i onmen in which
we a e mo ing.
Thus, o A güelles (2007), in e es in he in o ma ion p o ided by companies o ex e nal use s is inc easingly
g owing, since he en i onmen in which business is conduc ed is mo e in e na ional and mo e globalized. Thus,
agen s a e inc easingly in e es ed in ecei ing inancial s a emen s p epa ed by companies as a ue e lec ion o
he si ua ion hey a e going h ough and he esul s hey ob ain. He adds ha he needs o use s go u he , no
only being limi ed o inancial s a emen s bu also equi ing non inancial in o ma ion. In his non inancial
in o ma ion, he e is oom o all he mo emen de i ed om he di e en isks ha occu o he company,
especially he comme cial c edi isk.
This need o addi ional in o ma ion ha he inancial s a emen s do no p o ide is whe e isk a ing agencies
ake cen e s age, whe e h ough econome ic models in which hey use di e en a iables hey y o assess he
economic po en ial o he analysed subjec . Acco ding o Agnew (2012), hei no es o a ings assess he isk o
de aul and he de e io a ion o he sol ency o he issue . These ins i u ions, being p i a e, ha e an independen
assessmen s uc u e, so he quali ica ion depends on he de ailed s udy ca ied ou , gi en ha hei opinions will
ully a ec decisions ha may be made by hi d pa ies ex e nal o he company.
T iple and Idea (2009) a gue ha among alua ion me hods, hese a ing companies ocus hei s udies on wo
basic concep s, liquidi y and sol ency, as hey a e conside ed indispensable ac o s o he s abili y o a company
conce ning mee ing i s sho - and long- e m obliga ions. Howe e , despi e being s ongly linked ac o s, hey do
no necessa ily ha e o be ecip ocal. A company may coun on a high le el o liquidi y ha is none heless
insu icien o deal wi h he liabili ies o he company; al e na i ely, he company may ha e solid sol ency, bu i s
liquidi y may p e en i om acing sho - e m deb s.
Howe e , disco dan commen s appea . Fo example, Eij inge (2012) assesses he ole o c edi a ing agencies
du ing he so e eign deb c isis in he Eu opean Union in he 2010-2011 pe iod. The s udy concludes ha he 3
majo agencies, including S anda d & Poo 's, ha e a oo s ong ma ke posi ion due o lack o compe i ion. The
s udy also a gues ha he dependence on c edi a ing agencies should be educed o less impo ance and ha
hey should p o ide g ea e anspa ency o inc ease he quali y and eliabili y o hei a ings. Dominique Shaw
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In angible Capi al – h ps://doi.o g/10.3926/ic.1691
Kahn, o me di ec o o he In e na ional Mone a y Fund, said in Ap il 2010, " a ing agencies do no always
succeed. People belie e hem and ha is why hey ha e in luence in he sho e m, bu in he long e m wha
p edomina es a e o he ac o s. "
Howe e , o ci e an example, in he ace o cons an mani es a ions showing ha a ing agencies may conspi e o
assign in la ed a ings due o he incen i es hey may ha e om he companies analysed, S olpe (2009) shows
ha he e is a scheme o app o al ha induces he c edi a ing agencies o assign co ec a ings, hus
coun e ac ing some o he disc edi s a ibu able o he agencies hemsel es.
Acco ding o Regula ion 1060/2009 o he Eu opean Pa liamen and he Council, da ed Sep embe 16, 2009,
ega ding c edi a ing agencies, a Eu opean supe iso y body called he Eu opean Secu i ies Ma ke Au ho i y is
c ea ed wi h he objec i e o supe ising he ac i i y o c edi a ing agencies. This supe ision is suppo ed a
he na ional le el by he Na ional Secu i ies Ma ke Commission, which ocuses on e icien Eu opean
supe ision ia collabo a ion be ween he di e en na ional supe iso y bodies and he Eu opean cen al body.
Howe e , i is essen ial o highligh ha he a ing agencies a e egis e ed as jou nalism agencies; hus legally,
hei only job is o p o ide in o ma ion. Fo example, hey a e no subjec o he ules o igh s, du ies and
esponsibili ies o he audi i ms ha should p ese e he anspa ency o hei epo s.
Examining mo e deeply he ela ionship be ween c edi a ing and c edi isk, Abad and Robles (2014) analyse
he ela ionship be ween he announcemen s o changes in he a ing assigned o co po a e deb and he isk
le els o he issuing company. This s udy also analyses changes in he companies ha quo e o ha e been quo ed
in he con inuous ma ke be ween 1988 and 2010 when he deb a ings o Spanish companies ha e been
announced by he 3 main a ing agencies, among hem, again, S anda d & Poo 's. The esul s show changes in
isk le el di ec ions signalled by he change in a ing.
Hilsche and Wilson (2017) a gue ha i he a ings should be in o ma i e indica o s o c edi isk, hey should
e lec wha ma e s o an in es o who is isk a e se; he e o e, hey in es iga e he p obabili y o de aul o
hei obliga ions as he isk associa ed wi h i . They de ec ha a model is used o p edic ailu e based on
publicly a ailable inancial in o ma ion; hus, a quan i y o in o ma ion ele an o he in es o who mus make
decisions is los . The e o e, hey conclude ha i is no possible o one measu e o cap u e all ele an da a o
decision making, al hough a ing in o ma ion gi es us a i s imp ession abou he good economic- inancial
heal h o companies.
To espond o his lack o in o ma ion, Samaniego, T ujillo and Ma ín (2006) had a he ime al eady joined o
in es iga e he e olu ion o c edi isk, p oducing a compa a i e analysis o accoun ing models and ma ke
models applied o he Spanish s ock ma ke along he same lines as he da abase ha occupies us in his wo k.
The au ho s conclude ha he e is a ce ain deg ee o posi i e linea associa ion be ween he c edi a ings
p o ided by he accoun ing model h ough i s inancial s a emen s and hose based on ma ke da a, which allows
such models o p o ide simila esul s in mos sec o s analysed, excep o he echnology sec o and he eal
es a e sec o , as bo h a e e y ola ile sec o s a he cu en junc u e. In his wo k, we use accoun ing a ios o
he e alua ion o c edi isk.
3. Design and me hodology
3.1. Sample
The sample consis s o jus 10 companies (see Table 2) ha a e quo ed on he IBEX 35 e e ence s ock
exchange index o he Spanish s ock ma ke p epa ed by Bolsas y Me cados Españoles (BME); he IBEX 35
comp ise he 35 mos liquid companies lis ed on he Spanish S ock Exchange In e connec ion Sys em (SIBE) on
he ou Spanish s ock exchanges (Mad id, Ba celona, Bilbao and Valencia). The e a e only 10 companies o wo
easons: a) hose companies in he banking sec o quo ed on he IBEX 35 a e omi ed om he analysis because
hey depa om he ini ial objec i e o comme cial c edi isk analysis, since hey ha e di e en pe o mance
cha ac e is ics han do indus ial and comme cial companies, and b) only hese 10 companies epea hei
quo a ionson he Spanish s ock ma ke en yea s la e and all ha e a c edi a ing by he S anda d& Poo 's
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app aisal company. A en-yea pe iod is chosen om he yea s 2002-2005 (p e-c isis) o 2012-2015 (pos -c isis),
speci ying he beginning o he Spanish economic c isis in 2008 acco ding o he Na ional Ins i u e o S a is ics
(2017).
Table 2. IBEX 35 companies ha a e pa o he sample unde s udy
3.2. Va iables
The a iables chosen o analyse he c edi isk a e ob ained om he consolida ed annual accoun s ha he
companies publish in he me can ile egis e s impai men due o c edi isk, he balance o accoun s ecei able,
he a e age collec ion pe iod, he in es men in cu en asse s and o al in es men s. In u n, we add he u no e
and he esul s ob ained a e ax. All a iables a e ob ained om he scien i ic li e a u e.
S anda d & Poo 's a ing company ob ain he c edi e alua ion a ings o he 10 IBEX 35 companies du ing he
pe iods s udied. Following he educa ional adi ion in English-speaking coun ies, g ades a e assigned by le e ,
in alphabe ical o de om bes o wo s . Thus (see Table 3), an "AAA" a ing deno es a high-quali y paymen
capaci y, a "BBB" a ing deno es specula i e in es men wi h medium- and long- e m isks, and a "C" o "D"
a ings indica e a cu en o imminen bank up cy si ua ion. In addi ion, each agency keeps he possibili y o
applying "+" o "-" badges as a subca ego iza ion. The a ings a e usually accompanied by a pe spec i e on he
u u e o he agency (whe e he a ing could a y in a sho e m): neu al (mos common), posi i e o nega i e.
Table 3. C edi a ing o he company S anda d & Poo 's
wi h i s nume ical equi alence o s a is ical pu poses
Al hough none o he a ings a e binding ( ha is, hey a e he esul o a iable and con o e sial obse a ions),
hey do heo e ically ha e a di ec impac on he p ice ha a company is indeb ed o . The highe he isk is, he
mo e a ac i e he e u n ( he in e es and bene i s ou lined) will be o a ac in es o s, and ice- e sa: i a
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company imp o es i s a ing, i will be able o issue bonds wi h a lowe in e es a e, gi en ha he p obabili ies
o de aul dec ease (and con idence in he in es men inc eases). Gi en ha he a ings a e alphabe ic, we assign
(see Table 3) a nume ical equi alence o s a is ical pu poses ha p o ides us wi h g ea e ease o calcula ion, so
ha he lowe he assigned numbe , he highe is he quali ica ion ob ained, a alue o 1 being he bes possible
a ing.
3.3. Me hodology
The use o adi ional inancial s a emen s (balance shee and income s a emen ) becomes an essen ial
equi emen o ou objec i e. None heless, no less impo an will be he use o ools o homogenize all his
in o ma ion, such as he economic- inancial a ios and he s a is ical echniques used o his pu pose.
The a ios ha e been consolida ed as a ool used by expe s o pe o m an analysis o inancial s a emen s. The
use o hese a ios, bo h in he s udy o hei e olu ion o e ime and in compa isons wi h o he en i ies, has
become widely dissemina ed hanks o hei ad an ages as an elemen o he ela ionship be ween all ypes o
indica o s.
In any case, he e iew o he li e a u e does no gi e a clea idea abou wha he ca ego ies o essen ial a ios
should be. The e o e, he e is no heo y ha guides he esea che on which a iables o use o his ype o
esea ch (Le , 1978; Za g en, 1983; Jones, 1987). Absen such a heo y, he endency is o use hose ha enjoy
g ea e popula i y in he scien i ic li e a u e.
In he i s esea ch wo k on a ios, p ominen au ho s insis ed on he ad an ages ha hese ins umen s can
ha e on o he inancial measu es. Among he a gumen s ha ha e been gi en in a ou o inancial a ios,
Whi ing on (1980) emphasizes ha his app oach is he bes o elimina e he in luence o he size o he
companies unde analysis. This ad an age means ha he quo ien be ween i ems in he inancial s a emen s
allows compa isons o companies o di e en sizes o be made.
Se e al au ho s ha e p o ided easons in a ou o examining he inancial da a in a io o ma and o uni a ia e
analysis, among whom Fos e (1986) de ends ha his echnique a) con ols he size di e ences be ween
companies, b) acili a es, o e ime, he o mula ion o s a is ical analysis in e ence ables, c) allows esea ch
h ough a heo y in which he a io is a ele an a iable and d) allows us o ake ad an age o he analysis o he
empi ical egula i ies obse ed be ween he inancial a ios and he es ima ion o p edic ion o he a iables o
in e es .
The a ios chosen o he s a is ical analysis a e desc ibed in Table 4.
Table 4. Desc ip ion o he a ios used o he analysis o C edi Risk
Wi h he esul s ob ained om he a ios, he a i hme ic mean is calcula ed o each o he yea s s udied o he
10 companies in he sample. Also calcula ed a e he a e ages o he wo p e-c isis and pos -c isis pe iods o
analyse, h ough g aphs, he e olu ion and change p o ided by a decade o di e ence. Fu he , we will y o
obse e he co ela ion ha exis s be ween a a iable called insol ency c ea ed h ough he di e en a iables
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ha make up he a ios and he a ing o he a ings p o ided by specialized and enowned companies ope a ing
a an in e na ional le el, such as S anda d & Poo 's, h ough a ac o ial analysis, hus highligh ing hose a iables
ha s ongly in luence he a iabili y o he da a.
4. Implica ions and esul s
In his sec ion, we analyse he e olu ion o he di e en a ios by means o g aphs, whe e he s a is ical mean is
inco po a ed o each o he yea s s udied in addi ion o he s a is ical a e age o he ou yea s as a whole,
di e en ia ing a p e-c isis pe iod and a pos -c isis pe iod wi h he in en ion o analysing he e olu ion o da a
wi h 10 yea s o di e ence.
Figu e 1 shows he e olu ion o he a e age o he R1 a io. The isk o de aul p o ided as a p o ision o
a ic insol encies has inc eased by 54% o he a e age o he pos -c isis pe iod (10.0) wi h espec o he
a e age o he p e-c isis pe iod (6.5) en yea s la e . The delinquency a e he c isis has been accen ua ed, which
will a ec he esul s o he companies in he sample, as his p o ision is an i em o expendi u e.
Figu e 1. E olu ion o he s a is ical mean o he R1 a io
Howe e , Figu e 2 indica es ha he p opo ion o he comme cial c edi in es men o he pos -c isis pe iod
(21.6) wi h espec o he p opo ion o he p e-c isis pe iod (31.5) has dec eased by 31% wi h espec o he
in es men in cu en asse s a decade la e ; e en so and as we ha e seen in he R1 a io, he p o ision o
insol encies has inc eased.
Figu e 2. E olu ion o he s a is ical a e age o he R2 a io
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