Avaliação do risco de crédito: aplicação do modelo KMV para obter a probabilidade de default no setor siderúrgico

Description

Submitted by Joao Moura ([e-mail]) on 2009-06-30T19:59:09Z
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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.

Links & Downloads

1. MOURA, João Sichieri. Avaliação do risco de crédito: aplicação do modelo KMV para obter a probabilidade de default no setor siderúrgico. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2007.
2. http://hdl.handle.net/10438/2686

Tags

Modelo KMV

Credit Risk, Steel Industry

Economia

Finanças

Administração de risco

Administração de crédito

Risco (Economia)

Créditos

Additional Fields

Identifer	oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/2686
Date	30 May 2007
Creators	Moura, João Sichieri
Contributors	La Rocque, Eduarda Cunha de, Escolas::EPGE, FGV, Aragão, César Santiago Lima de
Publisher	João Moura
Source Sets	IBICT Brazilian ETDs
Language	Portuguese
Detected Language	English
Type	info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Source	reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rights	info:eu-repo/semantics/openAccess