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Doctoral Thesis
DOI
10.11606/T.45.2007.tde-25102007-140917
Document
Author
Full name
Wellington Luiz Bogarim de Faria
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Schirmer, Pedro Paulo Serpa (President)
Costa, Oswaldo Luiz do Valle
Dreifus, Henrique Von
Francisco, Gerson
Ribeiro, Celma de Oliveira
Title in Portuguese
Integrando microestruturas de contágio econômico em portfólios de crédito
Keywords in Portuguese
crédito
finanças
grafos
Ising
portfólios
Abstract in Portuguese
O principal objetivo deste trabalho é construir um modelo de cálculo de risco de crédito que considere efeitos de contágio microeconômico entre os tomadores de um portfólio. Considera-se que tais efeitos ocorrem sob estruturas de relações econômicas que são representadas por realizações de grafos aleatórios com topologias préviamente estabelecidas. Nesse sentido, podemos considerar efeitos de contágio microeconômico em um portfólio que modela, por exemplo, uma cadeia ou um centro produtivo (topologia fixas de cadeia ou centro) onde as relações de dependências propriamente ditas são estocásticas. O principal resultado consistirá em obter a distribuição de perdas do portfólio cuja incerteza reside tanto sobre o estado de default do tomador como nas realizações de contágio microeconômicos que induzem demais defaults.
Title in English
Integrating microstructures of contagion economic in portfolios of credit
Keywords in English
graph
Ising
portfolio
risk credit
Abstract in English
The main objective of this work is to construct a model of calculation of credit risk that considers contagion effects microeconomic among the debtor of a portfolio. It is considered that such effects happen under structures of economical relationships that it are represented by accomplishments of random graphs with topologies previously established. In this sense we can to consider effects of infection microeconomics in a portfolio that it models, for instance, a chain or a productive center (topology fixed of chain or center) where the relationships of dependences are stochastics. The main result will consist of obtaining the distribution of losses of the portfolio whose uncertainty lives on the state of default of the debtor as in the accomplishments of contagion microeconomics that induce other defaults.
 
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Publishing Date
2007-12-21
 
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