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Título: PROBABILITY OF DEFAULT: PANEL LOGISTIC MODEL FOR CREDIT RISK MEASUREMENT
Autor(es): FLAVIO SILVA SANTOS
Colaborador(es): CRISTIANO AUGUSTO COELHO FERNANDES - Orientador
Catalogação: 05/JUL/2018 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: SENIOR PROJECT
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=34333@1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=34333@2
DOI: https://doi.org/10.17771/PUCRio.acad.34333
Resumo:
This work aims to develop a statistical model for estimating the probability of Brazilian companies defaulting on credit agreements with banks. In addition, a validation methodology called Accuracy Ratio will be implemented to the developed model, so that it can be compared with other models already recognized in the literature of quantitative risk models. The database was constructed based on the accounting information of Brazilian companies collected on Bloomberg and information on the debt structure of the companies in the Central Bank Credit Information System (SCR). A panel logistic regression model is developed in which the explanatory variables of the default event are chosen to estimate significant parameters, with a high degree of economic-financial interpretability, as well as a reliable adherence of the model to the data. The data have a panel structure and, for this reason, will also be approached the strategy adopted to eliminate the fixed temporal effect. Finally, the probability of default will be introduced in a practical context that justifies its importance in the decision-making process in banks. The probability of default will be presented as a variable of the expected repayment size model of credit operations, known as RAROC (Risk Adjusted Return on Capital).
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