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Previous issue date: 2003-09-30 / This project discusses credit risk rating with the purpose of determining provisions for doubtful credit. It begins with the following proposition: clients with the same characteristics get more or less the same ratings when evaluated by retail banks using quantitative methods. Within this context, credit provision distributions of these banks would be more or less homogeneous. The analysis utilizes robust statistical technique for testing the existence of homogeneity, and the analyzed data came from quarterly statements from March 2000 to December 2002 published by Banco Central do Brasil (Brazilian Central Bank). This work also suggests that the retail banks' credit portfolios of short-term loans destined to current use be granted through risk credit analysis based on quantitative methods. Those banks have a high demand for this kind of loans, and they should utilize scientific methods of analysis in order to rate all loans by the same standards and through a swift process. Unlike the scientific method, the judgmental method is a slow one, for it depends on the experience of a large (and expensive) group of analysts. The model suggested by this work was developed through statistical analyses that explain credit risk by financial statements and credit behavior data. These data comprise 500 firms, their financial performance in the years 1999, 2000 and 2001, and their credit behavior relative to loans granted in 2002. The default probabilities calculated by the model should set the basic pattern for the provisions for doubtful credit in accordance with Resolu????o CMN 2.682 (National Monetary Council Statement # 2.682) / This project discusses credit risk rating with the purpose of determining provisions for doubtful credit. It begins with the following proposition: clients with the same characteristics get more or less the same ratings when evaluated by retail banks using quantitative methods. Within this context, credit provision distributions of these banks would be more or less homogeneous. The analysis utilizes robust statistical technique for testing the existence of homogeneity, and the analyzed data came from quarterly statements from March 2000 to December 2002 published by Banco Central do Brasil (Brazilian Central Bank). This work also suggests that the retail banks' credit portfolios of short-term loans destined to current use be granted through risk credit analysis based on quantitative methods. Those banks have a high demand for this kind of loans, and they should utilize scientific methods of analysis in order to rate all loans by the same standards and through a swift process. Unlike the scientific method, the judgmental method is a slow one, for it depends on the experience of a large (and expensive) group of analysts. The model suggested by this work was developed through statistical analyses that explain credit risk by financial statements and credit behavior data. These data comprise 500 firms, their financial performance in the years 1999, 2000 and 2001, and their credit behavior relative to loans granted in 2002. The default probabilities calculated by the model should set the basic pattern for the provisions for doubtful credit in accordance with Resolu????o CMN 2.682 (National Monetary Council Statement # 2.682) / O estudo trata da mensura????o do risco de cr??dito, com o objetivo de indicar o valor a provisionar na conta de cr??ditos de liquida????o duvidosa. Parte da seguinte proposi????o: clientes com perfis semelhantes, de bancos de varejo concorrentes, ao terem seus riscos de cr??dito avaliados por m??todo quantitativo, recebem aproximadamente a mesma classifica????o. Nesse contexto, as distribui????es de provis??o em cr??dito desses bancos seriam aproximadamente homog??neas. A an??lise emprega t??cnica estat??stica robusta para o teste da exist??ncia de homogeneidade, tendo como fonte dados trimestrais disponibilizados ao p??blico pelo Bacen; referentes ao per??odo de mar??o de 2000 a dezembro de 2002. O trabalho tamb??m sugere que empr??stimos de curto prazo, destinados ao capital de giro, constantes em carteiras de bancos de varejo, sejam concedidos mediante an??lise de risco de cr??dito fundamentadas em m??todos quantitativos. Tais bancos t??m alta demanda por empr??stimos dessa natureza, o que exige agilidade e padr??es de decis??o uniformes, procedimentos facilitados por m??todos cient??ficos de an??lise. Em oposi????o, o processo decis??rio julgamental ?? moroso, dependente da experi??ncia de um grande (e oneroso) corpo de analistas. O modelo proposto utiliza-se de dados cont??beis para explicar o risco de cr??dito por meio de metodologia estat??stica. Os dados para modelagem s??o provenientes de amostra de 500 empresas, com demonstrativos cont??beis relativos aos anos de 1999, 2000 e 2001, al??m de dados referentes ao comportamento nos empr??stimos concedidos durante o ano de 2002. As probabilidades de inadimpl??ncia calculadas pelo modelo s??o ent??o indicadoras para os valores a serem provisionados, conforme orienta????es da Resolu????o CMN 2.682.
| Identifer | oai:union.ndltd.org:IBICT/oai:132.0.0.61:tede/623 |
| Date | 30 September 2003 |
| Creators | Lima, Marco Antonio Ferreira |
| Contributors | Segreti, Jo??o Bosco, Luporini, Carlos Eduardo de Mori, Parisi, Claudio |
| Publisher | FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, Mestrado em Controladoria e Contabilidade Estrat??gica, FECAP, BR, - |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações do FECAP, instname:Fundação Aramando Álvares Penteado, instacron:FAAP |
| Rights | info:eu-repo/semantics/openAccess |
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