Default Probability
Mostrando 13-24 de 27 artigos, teses e dissertações.
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13. Determinantes do score de crédito e tempo até inadimplência para empréstimos comerciais a pessoas físicas / Determinative of credit scoring and time till defalut for commercial loans for natural person
Basel II allows banks to develop risk classification techniques which incorporate experiences from their credit bureaus, granting wider security to the financial system. The aim of this work is the development of a statistical model of risk classification. This credit scoring model is based on information about past credit experience, such as payment habit a
Publicado em: 2008
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14. QUANTIFICAÇÃO DO RISCO DE CRÉDITO: UMA ABORDAGEM UTILIZANDO O MODELO ESTRUTURAL DE MERTON / QUANTIFICATION OF CREDIT RISK: AN APPROACH USING MERTONS STRUCTURAL MODEL
Measuring the fair default risk for a company, has always been a crucial task for a financial institution when it comes to granting loans, especially nowadays, with the rise in competitiveness and the reduction of the spreads. On the other hand, companies need to be analytical and must know how to determine their level of risk with the same accuracy as the f
Publicado em: 2008
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15. Dívida pública e risco-país: um estudo acerca dos componentes não observados dessa relação / Public debt and country risk: a study about the no observable components of this relation
The relationship between Country-Risk and Public Debt can be expressed by the concept of Country Risk, that is, the probability of default of an economy. In other words, it intends to express the degree of confidence of the agents regarding the economic situation of a country, an important factor in assessing its propensity to default. In this context, it wo
Publicado em: 2008
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16. Avaliação do risco de crédito: Aplicação do modelo kmv para obter a probabilidade de default no setor siderúrgico
Credit risk management has assumed increasing importance for the managers and directors of enterprises. Thus, different approaches aimed to measure the probability of default are under discussion nowadays. This paper evaluates models that have become more popular over the last 30 years in order forecast defaults or to provide information regarding to financi
João Moura. Publicado em: 30/05/2007
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17. Decisões de estrutura de capital: evidências empíricas a partir de modelo estrutural de crédito / Capital structure decisions: empirical evidences from credit structural model
This research examines two theories: capital structure and credit structural model that are based on two factors: tax benefit and default costs, as determinants of optimal capital structure and default decision. The model examined if the estimated default-triggering value was the one that maximized net worth market value and the results are consistent with s
Publicado em: 2007
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18. Welfare costs of taxation under sovereign default risk / Custos de bem-estar dos impostos sob risco de default soberano
This dissertation presents a general equilibrium model, with contingent service of sovereign debt, constructed to analyze the impacts of taxes on welfare. In this model, variations on the tax structure (originated from reforms) impact welfare directly, in the form of allocative distortions, and also through their indirect effects on the probability of defaul
Publicado em: 2007
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19. National exchange rate policies and international debt crises: how Brazil did not follow Argentina into a default in 2001-2002
This paper examines how exchange rate policies and IMF Stand-By Arrangements affect debt crises using econometrics and a comparison between Argentina and Brazil. It refines an existing diagram outlining crisis development to propose crisis prevention strategies. Flexible exchange rate policies reduce a country's probability of default by over 4%, but Stand-B
Brazilian Journal of Political Economy. Publicado em: 2007
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20. Risco de inadimplência em uma instituição de ensino fundamental e médio do Paraná : aplicação da resolução 2.682/99 do Banco Central do Brasil / Risco de inadimplência em uma instituição de ensino fundamental e médio do Paraná : aplicação da resolução 2.682/99 do Banco Central do Brasil
The private Brazilian Schools and High Schools need to deal with some great challenges: the decrease of birth rates (meaning decrease on the quantity of students available), new competitors and the increase in the default rate. In parallel, the Brazilians macroeconomic situation is instable and the Consumers Protection Act is making it difficult the collecti
Publicado em: 2007
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21. TRÊS ENSAIOS SOBRE A METODOLOGIA DE APREÇAMENTO DE ATIVOS UTILIZANDO OPÇÕES REAIS / THREE ESSAYS ON ASSET PRICING APPLYING REAL OPTIONS METHODOLOGY
The dissertation presents three economic essays examining situations where the real options approach can be useful in the definition of regulatory policies, investment strategies and pricing of sovereign risk. The first essay considers the new regulation oriented to interconnection costs of telecommunications networks and proposes adjustments in calculating
Publicado em: 2006
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22. Modelo de previsÃo de insolvÃncia de cooperativas de crÃdito mÃtuo urbanas / Model of forecast of insolvency of urban cooperatives of mutual credit
Desde o ano de 2000 que as cooperativas de crÃdito brasileiras tÃm experimentado um crescimento contÃnuo no nÃmero de novas unidades. De outro modo os bancos brasileiros tem diminuÃdo em quantidade pelo processo de aquisiÃÃo e concentraÃÃo. Este crescimento das cooperativas pode estar associado com um maior risco para os associados. Este trabalho in
Publicado em: 2006
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23. THE EFFECTIVENESS OF CAPITAL INFLOWS CONTROLS IN BRAZIL / A EFICÁCIA DOS CONTROLES DE ENTRADA DE CAPITAIS NO BRASIL
This thesis analyses the effectiveness of capital inflows controls in changing the size and composition of international financial flows. The major contribution is the focus on capital controls circumvention by the financial market and its limiting impacts on the effectiveness of short-run capital flows restrictions. At first, it is presented a theoretical a
Publicado em: 2005
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24. Endogeneity and transmission mechanisms from the domestic interest rate to the Brazil-risk: a revisit to the determinants of the Brazil-risk. / Endogeneidade e mecanismos de transmissão entre a taxa de juros doméstica e o risco soberano: uma revisita aos determinantes do risco-Brasil.
Este trabalho faz uma reconstituição histórica da política monetária praticada no Brasil desde a implementação do Plano Real, revisa uma determinada discussão teórica sobre o tema da taxa de juros brasileira e suas possíveis relações perversas com outras variáveis macroeconômicas, e apresenta um modelo para tentar captar esses possíveis efeito
Publicado em: 2004