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Master's Dissertation
DOI
10.11606/D.12.2003.tde-21012004-224716
Document
Author
Full name
Alexandre Jorge Chaia
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2003
Supervisor
Committee
Maluf Filho, Jorge Arnaldo (President)
Fama, Rubens
Paiva, Antonio Claudio Reis de
Title in Portuguese
Modelos de gestão do risco de crédito e sua aplicabilidade ao mercado brasileiro.
Keywords in Portuguese
administração de risco
crédito
modelos de precificação
Abstract in Portuguese
Depois do período de implementação e utilização diária de modelos internos para gestão do risco de mercado e alocação de capital, as instituições financeiras passaram a se preocupar em desenvolver modelos similares para mensuração do risco de crédito. Esses modelos procuram resumir em um único número as perdas inesperadas de uma carteira de empréstimos em decorrência de mudanças na qualidade de crédito dos devedores. Como no Brasil os modelos de mensuração do risco de crédito ainda estão em estágios embrionários este trabalho procura analisar as características dos 4 principais modelos desenvolvidos por grandes instituições financeiras internacionais (CreditMetric, KMV, CreditRisk+ e CreditPortfolioView), procurando avaliar a possibilidade de utilização desses modelos aos empréstimos e títulos corporativos nacionais. Foram também discutidas as vantagens e desvantagens apresentadas pelos modelos, bem como os impactos que as peculiaridades do mercado brasileiro exercem sobre as hipóteses simplificadoras assumidas em cada modelos. Adicionalmente, foi realizado um estudo quantitativo da aderência do KMV ao mercado de debêntures nacional.
Title in English
Credit risk models and its application in the brazilian market.
Keywords in English
credit
pricing models
risk management
Abstract in English
Once financial institutions had their internal market risk management models and daily routines for capital allocation duly implemented, they turned their attention to the development of similar methodologies for credit risk measurement. Such models attempt to summarize in a single number the possible unexpected losses arising from a loan portfolio when debtors’ credit quality change. Since credit risk methodologies are still in their early development stages in Brazil, this dissertation aims to analyze the features of the four main models currently in use by internationally active financial institutions (CreditMetrics, CreditRisk+, KMV and CreditPortfolioView), and to assess the feasibility of their use to manage domestic loan portfolios and corporate bonds. Those models were evaluated on their own merit, as well as on how Brazilian market peculiarities might violate the assumptions and impair their effectiveness. Additionally, an empirical study was carried out to test KMV performance on the domestic corporate bond market.
 
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Modelos_de_Credito.pdf (1,023.70 Kbytes)
Publishing Date
2004-03-22
 
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