Classificação de risco dos certificados de recebíveis imobiliários - estruturação de um processo de rating da perda potencial da carteira securitizada. / Classification of risk of the mortgage-backed securities - estruturation of a process of rating of the potential loss of the portfolio of residencial home loans.

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The work presents a classification process of risk of Mortgage-Backed Securities (MBS) in relation to the loss expectation in the housing loans portfolio that is object of securitization. Firstly, it is described how the operations of securitization are accomplished in Brazil and in the world, and beyond it is showed particular aspects of these operations. After that, it is emphasized the main stages of the risk classification process carried out by rating agencies, as well as are identified and analyzed the risks in the MBS. Those risks arise from areas as marketing, macroeconomics, legal origins, and also they are associated with the credits attributes that comprise the portfolio. It is important to consider that the risk classification process focus on the investor who purchases the stock quotes and it is applied only to the MBS collateralized in housing loans. How much to the process of classification in itself, this involves the simulation of the cash flow of the securitization operation for certain expected scene; the arbitration of borders of fluctuation for each variable of risk manipulated in the reference scene; use of laboratory sample, generated by the random method, for analysis statistics of the level of present loss in the same and; framing of the result of the analysis statistics in a matrix of classification to obtain the note of risk of the MBS. As main conclusions, some procedures are presented that enable the analysis of the portfolio potential loss of residential home loans, beyond recommendations and orientations in regard to its real applicability in the Brazilian market.

ASSUNTO(S)

risk securitization home loans risco rating crédito imobiliário rating securitização

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