Modelagem de risco de crÃdito: aplicaÃÃo de modelos Credit Scoring no Fundo Rotativo de AÃÃo da Cidadania â Cred Cidadania / Modeling of credit risk: application of models Credit Scoring in the Deep Rotating of Action of the Citizenship - Cred Citizenship

AUTOR(ES)

Elaine Aparecida AraÃjo

DATA DE PUBLICAÇÃO

2006

RESUMO

The Credit Scoring models are quantitative ones usually used by financial institutions in measure and credit risk forecast, owning consolidated application during the credit concession process of these institutions. This dissertation work objectivies to evaluate the possibility of Credit Scoring models application in a microcredit institution denominated Fundo Rotativo de AÃÃo da Cidadania â Cred Cidadania. For this purpose, some data relative to a clients sample Cred Cidadania were collected and used to develop two Credit Scoring model types: one relating to credit approval and another one named behavioural scoring. The statistical techniques used in the models construction were discriminant analysis and logistic regression. The obtained models aggregated variables like enterprise net income, loan bits number, the number of dependents on the client, client s marital status, loan value, enterprise operation time, agent s credit efficiency, among others. Some variables represent attributes that contribute for the applicant s insolvency propensity increase, while others collaborate for the insolvency risk reduction, what rebounds positively in the institution financial sustainability. The study results demonstrated that Credit Scoring models obtain satisfactory performance when used in a Cred Cidadania microcredit institution credit risk analysis, as supporting instruments to rely this process. The results also indicate that Credit Scoring models application supplies subsidies to the institution, assisting it in the prevention and reduction of its insolvency as in the decrease of its operational costs, two problems that affect its financial sustainability

ASSUNTO(S)

credit risk credit scoring models microcredit regressÃo logÃstica administracao anÃlise discriminante microcrÃdito modelos credit scoring logistic regression risco de crÃdito discriminant analysis

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