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Master's Dissertation
DOI
https://doi.org/10.11606/D.55.2018.tde-06112018-182558
Document
Author
Full name
Luiz Henrique Outi Kauffmann
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2017
Supervisor
Committee
Pinto Junior, Dorival Leão (President)
Ohashi, Alberto Masayoshi Faria
Ruffino, Paulo Régis Caron
Suzuki, Adriano Kamimura
Title in Portuguese
Uma abordagem Forward-Looking para estimar a PD segundo IFRS9
Keywords in Portuguese
Forward looking
IFRS9
Impairment
Probabilidade de default
Probabilidade de descumprimento
Processo estocástico
Regressão logística
Risco de crédito
Abstract in Portuguese
Este trabalho tem por objetivo discutir as metodologias de estimação da PD utilizadas na indústria financeira. Além disso, contextualizar a aplicação do trabalho ao IFRS9 e seu direcionamento para o tema de Risco de Crédito. Historicamente os grandes bancos múltiplos utilizam variadas metodologias econométricas para modelar a Probabilidade de Descumprimento (PD),um dos métodos mais tradicionais é a regressão logística, entretanto com a necessidade do cálculo da Perda Esperada de Crédito através do IFRS9, se torna necessário mudar o paradigma de estimação para uma abordagem forward-looking, isto está sendo interpretado por muitas instituições e consultorias como a inclusão de fatores e variáveis projetadas dentro do processo de estimação, ou seja, não serão utilizados apenas os dados históricos para prever o descumprimento ou inadimplência. Dentro deste contexto será proposto uma abordagem que une a estimação da Probabilidade de Descumprimento com a inclusão de um fator foward-looking.
Title in English
A Forward Looking Approach to estimate PD according to IFRS9
Keywords in English
Credit risk
Forward looking
IFRS9
Impairment
Logistic regression
Probability of default
Stochastic process
Abstract in English
This paper aims to discuss the methodologies used to estimate the Probability Of Default used in the financial industry. In addition, contextualize the application of the work to IFRS9 requirements and its targeting to the Credit Risk theme. Historically large multi-banks use a variety of econometric methodologies to model the Probability of Default, one of the more traditional methods is logistic regression. However, with the need to calculate the expected credit loss through IFRS9, it becomes necessary to change the estimation paradigm to a forwardlooking approach, this is being interpreted by many institutions and consultancies companies as the inclusion of factors and variables projected within the estimation process, that is, not only historical data are used to predict the default. Within this context will be proposed an approach that joins the estimation of Probability of Default with the inclusion of a forward-looking factor.
 
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Publishing Date
2018-11-06
 
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