AvaliaÃÃo da capacidade preditiva do modelo de previsÃo de insolvÃncia de uma instituiÃÃo financeira: o modelo Pereira da Silva de previsÃo de insolvÃncia e o termÃmetro de Kanitz

AUTOR(ES)
DATA DE PUBLICAÇÃO

2003

RESUMO

Banks, in their act of catching resources and at loan servicing activities, are exposed to several kinds of risk. As the number of clients and operations grows, increases the dependence on clientâs risk assessment systems that must be capable of hastening and reflecting the analyses, and also they need to be precise in their rating attributions. This present work evaluates the Credit Risk System of an important Brazilian Financial Institution, checking the precision of its model for retailer and wholesale commerce of Brazilian Northeast companies. The modelâs performance is also compared to another two formulations well explored in the Academic Literature: the models of Kanitz and Z1c of Pereira da Silva. It is used the Back Testing technic for the I and II errors, for the three models, in debtorâs samples with arrears operations for more than 60 days and borrowers with effective Credit Limits over 120 days. This research proposes to elucidate the doubts of analysts and managers that, for many times, investigate the classificationâs accuracy for certain clients, as sometimes the change of the attributed risk is suggested. Another problem that motivates this work is the recognized need to transform the Bankâs loan decision into a more technical subject by analysts and managers, through the deepening of the instruments used by the Bank and also by the disclosure of Creditâs knowledge. Besides providing informationâs consolidation, partially treated in several compendiums and Academic productions, this work shows that the Financial Institutionâs Model has a high hit level for companies not prone to the losses, but insufficient precision for borrowers with defaultâs possibility. However, the Bankâs Model is more efficient than the other two tested

ASSUNTO(S)

instituiÃÃo financeira engenharia de producao modelo pereira da silva termÃmetro de kanitz

Documentos Relacionados