Submitted by Joao Moura (joaosic@gmail.com) on 2009-06-30T19:59:09Z No. of bitstreams: 1 Tese_MFEE_JOAO SICHIERI_2007.pdf: 336631 bytes, checksum: dc4d29066af0bd6c7564db0c209c3eb2 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2009-07-07T14:50:25Z (GMT) No. of bitstreams: 1 Tese_MFEE_JOAO SICHIERI_2007.pdf: 336631 bytes, checksum: dc4d29066af0bd6c7564db0c209c3eb2 (MD5) / Made available in DSpace on 2009-07-07T14:51:00Z (GMT). No. of bitstreams: 1 Tese_MFEE_JOAO SICHIERI_2007.pdf: 336631 bytes, checksum: dc4d29066af0bd6c7564db0c209c3eb2 (MD5) Previous issue date: 2007-05-30 / Credit risk management has assumed increasing importance for the managers and directors of enterprises. Thus, different approaches aimed to measure the probability of default are under discussion nowadays. This paper evaluates models that have become more popular over the last 30 years in order forecast defaults or to provide information regarding to financial difficulties of enterprises. This paper will focus on the KMV model in order to estimate the probability of default, its methodology based on market value of the asset and its volatility and finally estimate the probability of default. Finally, to test the KMV model will be used a sample of global steel companies that have credit in Companhia Vale do Rio Doce (CVRD), which will allow us to make comparisons with the models presented in this work.

Made available in DSpace on 2016-03-15T19:33:04Z (GMT). No. of bitstreams: 1 Daniela Rezende de Paula.pdf: 383337 bytes, checksum: 2c7c9d004a174c0b9a286928d37a9eef (MD5) Previous issue date: 2010-03-01 / Fundo Mackenzie de Pesquisa / Sales of new cars in Brazil have increased significantly in the last decade, with average growth of 10% per year. Government incentives, such as tax reduction, were used as a forcing agent for the segment during the crisis period between 2008 and 2009. With the continuation of strong market, funding also increase . The objective of this research is to test, based on a study Securato (2003), who adapted the KMV model to study the probability of default for private companies, which is the default risk associated with the financing of vehicles, using as variables the relationship between debt and payment to the contractor for the good and the devaluation of the prices of passenger cars and light commercial market. The adaptation of the KMV model, however, showed no predictive ability for the market of auto finance. / As vendas de veículos novos no Brasil vêm aumentando significativamente na última década, com crescimento médio de 10% ao ano. Incentivos governamentais, como a redução da carga tributária, foram usados como agentes impulsionares para o segmento durante o período de crise entre 2008 e 2009. Com a manutenção do mercado aquecido, os financiamentos também cresceram. O objetivo desta pesquisa é testar, baseando-se em um estudo de Securato (2003), que adaptou o modelo KMV para estudar a probabilidade de inadimplência em empresas de capital fechado, qual é o risco de inadimplência associado ao financiamento de veículos, usando como variáveis a relação entre dívida contratada e pagamento à vista do bem e a desvalorização dos preços dos veículos de passeio e comerciais leves no mercado. A adaptação do modelo KMV, entretanto, não mostrou capacidade preditiva para o mercado de financiamento de automóveis.