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Artigo Acesso aberto Produção Nacional
BIBTEX RIS

Quantificação do risco de crédito: um estudo de caso utilizando o modelo Creditrisk+

2008; Volume: 7; Issue: 4 Linguagem: Inglês

10.11132/rea.2002.230

ISSN

1984-5308

Autores

Wagner Albres Stolf, Roberto Arruda de Souza Lima,

Tópico(s)

Insurance and Financial Risk Management

Resumo

Measures of credit risk: a study of case using the model Creditrisk +Banking operations involve several kinds of risk.Among those risks, there is one called the credit risk associated with a measure of uncertainty related to receiving pré-committed values from the financial institution's credit-takers.In this research, the main methodologies used for the quantification of credit risk are discussed: Credit Metrics, KMV, Credit Portfolio View e CreditRisk + .The later is then applied to four company-targeted lending portfolios, thus showing Allocated Economic Capital -AEC, the distribution of credit risk in different sectors and industries in the economy, and the necessary spread for covering expected and unexpected losses.After this effort to quantify credit risk, proceed to check, using the concept of Risk Adjusted Return on Capital -RAROC, which of the four lending portfolios proved to be more profitable for the financial institution.

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