Modelo preditivo para perda de crédito e sua aplicação em decisão de spread / A model of credit loss and its application in decision of spread

AUTOR(ES)

Joao Fernando Serrajordia Rocha de Mello

DATA DE PUBLICAÇÃO

2009

RESUMO

Analytical methods for granting credit are presenting enormous advances in recent decades, particularly in the field of statistical methods of classification to identify groups of individuals with different rates of default. Most of the existing work suggests decisions of the type granting credit or not, regarding just marginally the expected outcome of the operation. This work aims to propose a model to evaluate credit risk with more complexity than the traditional "Credit Scoring" models, providing a more detailed view about the future performance of a credit agreement, which goes beyond the classification of good and bad payers. Coupled with this improvement of information offered by the model, it is also this works aim to expand the decision space of the problem, leaving a binary response (such as accept/reject the claim) to something that answers the following question: "what is the fair rate to cover a given risk ".

ASSUNTO(S)

logistic regression. credit risk regressão logística. risco de crédito análise de sobrevivência survival analysis

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