Modelo h??brido de avalia????o de risco de cr??dito para corpora????es brasileiras com base em algoritmos de aprendizado de m??quina

• Autor(a) principal: Greg??rio, Rafael Leite
• Data de Publicação: 2018
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UCB
• Texto Completo: https://bdtd.ucb.br:8443/jspui/handle/tede/2432
• topic: SVM; XGboost; Risco de cr??dito; Ratings de cr??dito; Default probability; Credit risk; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA

The credit risk assessment has a relevant role for financial institutions because it is associated with possible losses and has a large impact on the balance sheets. Although there are several researches on applications of machine learning and finance models, a study is still lacking that integrates available knowledge about credit risk assessment. This paper aims at specifying the machine learning model of the probability of default of publicly traded companies present in the Bovespa Index (corporations) and, based on the estimations of the model, to obtain risk assessment metrics based on risk letters. We converged methodologies verified in the literature and we estimated models that comprise fundamentalist (balance sheet) and governance data, macroeconomic and even variables resulting from the application of the proprietary model of KMV credit risk assessment. We test the XGboost and LinearSVM algorithms, which have very different characteristics among them, but are potentially useful to the problem. Parameter Grids were performed to identify the most representative variables and to specify the best performing model. The model selected was XGboost, and performance was very similar to the results obtained for the North American stock market in analogous research. The estimated credit ratings suggest that they are more sensitive to the economic and financial situation of the companies than that verified by traditional Rating Agencies.