A model for credit risk of banking sector Fortress

Detalhes bibliográficos
Autor(a) principal: Marcus Vinicius Pereira Lima
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações da UFC
Texto Completo: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9543
Resumo: The paper develops a tool for modeling the bank credit risk and applies this to banking market of Fortaleza. Using data from a large commercial bank of the city for 290 customers with active accounts and minimum income of six hundred reais, were selected 23 control variables and was estimated the probability of default on the modalities check and other credit restrictions. The results showed that: i) females are less likely to face restrictions, although this is not a determinant of emissions of bad checks; ii) people who have insurance contracted with the bank showed themselves more likely to default and iii) the extent of the bank rating proposal was effective in measuring the chance of credit risk.
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spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisA model for credit risk of banking sector FortressUm modelo de risco de crÃdito para o setor bancÃrio de Fortaleza2012-03-05Andrei Gomes Simonassi00000060068http://lattes.cnpq.br/8542940399953204 RÃgis FaÃanha Dantas27815285368http://lattes.cnpq.br/7276248604882749SÃrgio Aquino de Souza61337170330http://lattes.cnpq.br/013006121730595125972812304Marcus Vinicius Pereira LimaUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRRisco de CrÃdito InadimplÃncia Modelo de Escolha BinÃriaCredit risk Default Binary Choice ModelCIENCIAS SOCIAIS APLICADASThe paper develops a tool for modeling the bank credit risk and applies this to banking market of Fortaleza. Using data from a large commercial bank of the city for 290 customers with active accounts and minimum income of six hundred reais, were selected 23 control variables and was estimated the probability of default on the modalities check and other credit restrictions. The results showed that: i) females are less likely to face restrictions, although this is not a determinant of emissions of bad checks; ii) people who have insurance contracted with the bank showed themselves more likely to default and iii) the extent of the bank rating proposal was effective in measuring the chance of credit risk.O trabalho desenvolve uma ferramenta para modelar o risco de crÃdito bancÃrio e aplica ao mercado bancÃrio de Fortaleza. A partir de dados de um grande banco comercial da cidade para 290 clientes com contas ativas e renda mÃnima de seiscentos reais, foram selecionadas 23 variÃveis de controle e estimou-se a probabilidade de inadimplÃncia nas modalidades cheque e demais restriÃÃes de crÃdito. Os resultados demonstram que: i) indivÃduos do sexo feminino possuem menos chance de enfrentar restriÃÃes, muito embora este nÃo seja um determinante das emissÃes de cheques sem fundos; ii) os indivÃduos que possuem seguro contratado junto ao banco apresentaram maior chance de inadimplÃncia e iii) a medida de rating proposta pelo banco se mostrou eficaz em mensurar a chance de risco de crÃdito.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9543application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:22:38Zmail@mail.com -
dc.title.en.fl_str_mv A model for credit risk of banking sector Fortress
dc.title.alternative.pt.fl_str_mv Um modelo de risco de crÃdito para o setor bancÃrio de Fortaleza
title A model for credit risk of banking sector Fortress
spellingShingle A model for credit risk of banking sector Fortress
Marcus Vinicius Pereira Lima
Risco de CrÃdito
InadimplÃncia
Modelo de Escolha BinÃria
Credit risk
Default
Binary Choice Model
CIENCIAS SOCIAIS APLICADAS
title_short A model for credit risk of banking sector Fortress
title_full A model for credit risk of banking sector Fortress
title_fullStr A model for credit risk of banking sector Fortress
title_full_unstemmed A model for credit risk of banking sector Fortress
title_sort A model for credit risk of banking sector Fortress
author Marcus Vinicius Pereira Lima
author_facet Marcus Vinicius Pereira Lima
author_role author
dc.contributor.advisor1.fl_str_mv Andrei Gomes Simonassi
dc.contributor.advisor1ID.fl_str_mv 00000060068
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/8542940399953204
dc.contributor.referee1.fl_str_mv RÃgis FaÃanha Dantas
dc.contributor.referee1ID.fl_str_mv 27815285368
dc.contributor.referee1Lattes.fl_str_mv http://lattes.cnpq.br/7276248604882749
dc.contributor.referee2.fl_str_mv SÃrgio Aquino de Souza
dc.contributor.referee2ID.fl_str_mv 61337170330
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/0130061217305951
dc.contributor.authorID.fl_str_mv 25972812304
dc.contributor.author.fl_str_mv Marcus Vinicius Pereira Lima
contributor_str_mv Andrei Gomes Simonassi
RÃgis FaÃanha Dantas
SÃrgio Aquino de Souza
dc.subject.por.fl_str_mv Risco de CrÃdito
InadimplÃncia
Modelo de Escolha BinÃria
topic Risco de CrÃdito
InadimplÃncia
Modelo de Escolha BinÃria
Credit risk
Default
Binary Choice Model
CIENCIAS SOCIAIS APLICADAS
dc.subject.eng.fl_str_mv Credit risk
Default
Binary Choice Model
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS
dc.description.sponsorship.fl_txt_mv nÃo hÃ
dc.description.abstract.por.fl_txt_mv The paper develops a tool for modeling the bank credit risk and applies this to banking market of Fortaleza. Using data from a large commercial bank of the city for 290 customers with active accounts and minimum income of six hundred reais, were selected 23 control variables and was estimated the probability of default on the modalities check and other credit restrictions. The results showed that: i) females are less likely to face restrictions, although this is not a determinant of emissions of bad checks; ii) people who have insurance contracted with the bank showed themselves more likely to default and iii) the extent of the bank rating proposal was effective in measuring the chance of credit risk.
O trabalho desenvolve uma ferramenta para modelar o risco de crÃdito bancÃrio e aplica ao mercado bancÃrio de Fortaleza. A partir de dados de um grande banco comercial da cidade para 290 clientes com contas ativas e renda mÃnima de seiscentos reais, foram selecionadas 23 variÃveis de controle e estimou-se a probabilidade de inadimplÃncia nas modalidades cheque e demais restriÃÃes de crÃdito. Os resultados demonstram que: i) indivÃduos do sexo feminino possuem menos chance de enfrentar restriÃÃes, muito embora este nÃo seja um determinante das emissÃes de cheques sem fundos; ii) os indivÃduos que possuem seguro contratado junto ao banco apresentaram maior chance de inadimplÃncia e iii) a medida de rating proposta pelo banco se mostrou eficaz em mensurar a chance de risco de crÃdito.
description The paper develops a tool for modeling the bank credit risk and applies this to banking market of Fortaleza. Using data from a large commercial bank of the city for 290 customers with active accounts and minimum income of six hundred reais, were selected 23 control variables and was estimated the probability of default on the modalities check and other credit restrictions. The results showed that: i) females are less likely to face restrictions, although this is not a determinant of emissions of bad checks; ii) people who have insurance contracted with the bank showed themselves more likely to default and iii) the extent of the bank rating proposal was effective in measuring the chance of credit risk.
publishDate 2012
dc.date.issued.fl_str_mv 2012-03-05
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
status_str publishedVersion
format masterThesis
dc.identifier.uri.fl_str_mv http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9543
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9543
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.publisher.program.fl_str_mv Programa de PÃs-GraduaÃÃo em Economia - CAEN
dc.publisher.initials.fl_str_mv UFC
dc.publisher.country.fl_str_mv BR
publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UFC
instname:Universidade Federal do Ceará
instacron:UFC
reponame_str Biblioteca Digital de Teses e Dissertações da UFC
collection Biblioteca Digital de Teses e Dissertações da UFC
instname_str Universidade Federal do Ceará
instacron_str UFC
institution UFC
repository.name.fl_str_mv -
repository.mail.fl_str_mv mail@mail.com
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