Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Manancial - Repositório Digital da UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/8201 |
Resumo: | The goal of this dissertation is to organize a probabilistic expert system with use of the Shell Spirit in order to evaluate the default risk of borrowers in a financial institution or minimize the risk that it represents. The study was limited to private individuals, since the variables used to analyse the risk in the concession of credit to legal entities are different, and also to the fact that this area is less explored by academics. The applied methodology was inserted in the context of a quantitative empirical research, which aimed to bring the model developed as close to reality as possible. However, in this step it was necessary to collect inside information of the institution used to study, referring to risk analysis, credit policies, profile of borrowers, and also to extract knowledge from the experts with the purpose of selecting the relevant variables for the system and to make the interaction of these when composing rules along with the definition of their weights. Consecutive to the conclusion of the model, tests occurred with some favorable situations and/or unfavorable to the granting of credit, considering that in this phase were instantiated the pertinent variables to each situation at hand. The main idea of the system is to manage and reduce the credit risk of bank institutions, for SPIRIT, an expert system is able to work with uncertainties and manipulates data, being fed with information that indicates the no default probability. The results obtained with the tests were satisfactory as they were able to identify the probability of a borrower turn out to be a no default or minimize the risk, even before the credit was released. |
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Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico SpiritAnalysis of bank credit risk with use of shell of probabilistic expert system SpiritRisco de créditoSistema especialistaPessoas físicasCredit riskExpert systemPrivate individualsCNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAOThe goal of this dissertation is to organize a probabilistic expert system with use of the Shell Spirit in order to evaluate the default risk of borrowers in a financial institution or minimize the risk that it represents. The study was limited to private individuals, since the variables used to analyse the risk in the concession of credit to legal entities are different, and also to the fact that this area is less explored by academics. The applied methodology was inserted in the context of a quantitative empirical research, which aimed to bring the model developed as close to reality as possible. However, in this step it was necessary to collect inside information of the institution used to study, referring to risk analysis, credit policies, profile of borrowers, and also to extract knowledge from the experts with the purpose of selecting the relevant variables for the system and to make the interaction of these when composing rules along with the definition of their weights. Consecutive to the conclusion of the model, tests occurred with some favorable situations and/or unfavorable to the granting of credit, considering that in this phase were instantiated the pertinent variables to each situation at hand. The main idea of the system is to manage and reduce the credit risk of bank institutions, for SPIRIT, an expert system is able to work with uncertainties and manipulates data, being fed with information that indicates the no default probability. The results obtained with the tests were satisfactory as they were able to identify the probability of a borrower turn out to be a no default or minimize the risk, even before the credit was released.O objetivo desta dissertação é estruturar um sistema especialista probabilístico com utilização da Shell Spirit para avaliar o risco de inadimplência de tomadores de crédito em uma instituição financeira ou de reduzir o risco que ele representa. O estudo foi limitado a pessoas físicas, uma vez que, as variáveis utilizadas para a análise de risco na concessão de créditos se diferem das pessoas jurídicas e, também, pelo fato de esta ser uma área menos explorada pelos acadêmicos. A metodologia aplicada foi inserida no contexto de uma pesquisa empírica quantitativa, na qual se buscou aproximar o máximo possível o modelo elaborado à realidade. Contudo, nesta etapa foi necessário coletar informações internas da instituição utilizada para o estudo, referentes à análise de riscos, políticas de crédito, perfis de tomadores, bem como extrair conhecimentos de especialistas com a finalidade de selecionar as variáveis relevantes para o sistema e de fazer a interação destas ao compor regras juntamente com a definição dos seus pesos. Consecutivo à conclusão do modelo, ocorreram testes de algumas situações favoráveis e/ou desfavoráveis a concessão de créditos, considerando que nesta fase foram instanciadas as variáveis pertinentes a cada situação em questão. O sistema é capaz de gerenciar e reduzir os riscos de crédito de instituição bancária, pois o SPIRIT trabalha com incertezas e manipula dados, sendo alimentado com informações que indiquem a probabilidade de inadimplência não . Os resultados obtidos com os testes foram satisfatórios à medida que estes possibilitaram identificar a probabilidade de um tomador de crédito vir a torna-se um não inadimplente ou de reduzir o risco, antes mesmo da liberação do crédito.Universidade Federal de Santa MariaBREngenharia de ProduçãoUFSMPrograma de Pós-Graduação em Engenharia de ProduçãoRabenschlag, Denis Rasquinhttp://lattes.cnpq.br/5008073653404072Pereira, José Maria Diashttp://lattes.cnpq.br/9907565281796822Rosa, Leandro Cantorski dahttp://lattes.cnpq.br/0989065569520206Bueno, Tatiane de Jesus2012-03-092012-03-092011-08-18info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfBUENO, Tatiane de Jesus. Analysis of bank credit risk with use of shell of probabilistic expert system Spirit. 2011. 90 f. Dissertação (Mestrado em Engenharia de Produção) - Universidade Federal de Santa Maria, Santa Maria, 2011.http://repositorio.ufsm.br/handle/1/8201porinfo:eu-repo/semantics/openAccessreponame:Manancial - Repositório Digital da UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSM2023-05-23T15:02:16Zoai:repositorio.ufsm.br:1/8201Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2023-05-23T15:02:16Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.none.fl_str_mv |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit Analysis of bank credit risk with use of shell of probabilistic expert system Spirit |
title |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit |
spellingShingle |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit Bueno, Tatiane de Jesus Risco de crédito Sistema especialista Pessoas físicas Credit risk Expert system Private individuals CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO |
title_short |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit |
title_full |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit |
title_fullStr |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit |
title_full_unstemmed |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit |
title_sort |
Análise de risco de crédito bancário com utilização da shell de sistema especialista probabilístico Spirit |
author |
Bueno, Tatiane de Jesus |
author_facet |
Bueno, Tatiane de Jesus |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rabenschlag, Denis Rasquin http://lattes.cnpq.br/5008073653404072 Pereira, José Maria Dias http://lattes.cnpq.br/9907565281796822 Rosa, Leandro Cantorski da http://lattes.cnpq.br/0989065569520206 |
dc.contributor.author.fl_str_mv |
Bueno, Tatiane de Jesus |
dc.subject.por.fl_str_mv |
Risco de crédito Sistema especialista Pessoas físicas Credit risk Expert system Private individuals CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO |
topic |
Risco de crédito Sistema especialista Pessoas físicas Credit risk Expert system Private individuals CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO |
description |
The goal of this dissertation is to organize a probabilistic expert system with use of the Shell Spirit in order to evaluate the default risk of borrowers in a financial institution or minimize the risk that it represents. The study was limited to private individuals, since the variables used to analyse the risk in the concession of credit to legal entities are different, and also to the fact that this area is less explored by academics. The applied methodology was inserted in the context of a quantitative empirical research, which aimed to bring the model developed as close to reality as possible. However, in this step it was necessary to collect inside information of the institution used to study, referring to risk analysis, credit policies, profile of borrowers, and also to extract knowledge from the experts with the purpose of selecting the relevant variables for the system and to make the interaction of these when composing rules along with the definition of their weights. Consecutive to the conclusion of the model, tests occurred with some favorable situations and/or unfavorable to the granting of credit, considering that in this phase were instantiated the pertinent variables to each situation at hand. The main idea of the system is to manage and reduce the credit risk of bank institutions, for SPIRIT, an expert system is able to work with uncertainties and manipulates data, being fed with information that indicates the no default probability. The results obtained with the tests were satisfactory as they were able to identify the probability of a borrower turn out to be a no default or minimize the risk, even before the credit was released. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-08-18 2012-03-09 2012-03-09 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
BUENO, Tatiane de Jesus. Analysis of bank credit risk with use of shell of probabilistic expert system Spirit. 2011. 90 f. Dissertação (Mestrado em Engenharia de Produção) - Universidade Federal de Santa Maria, Santa Maria, 2011. http://repositorio.ufsm.br/handle/1/8201 |
identifier_str_mv |
BUENO, Tatiane de Jesus. Analysis of bank credit risk with use of shell of probabilistic expert system Spirit. 2011. 90 f. Dissertação (Mestrado em Engenharia de Produção) - Universidade Federal de Santa Maria, Santa Maria, 2011. |
url |
http://repositorio.ufsm.br/handle/1/8201 |
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 application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Maria BR Engenharia de Produção UFSM Programa de Pós-Graduação em Engenharia de Produção |
publisher.none.fl_str_mv |
Universidade Federal de Santa Maria BR Engenharia de Produção UFSM Programa de Pós-Graduação em Engenharia de Produção |
dc.source.none.fl_str_mv |
reponame:Manancial - Repositório Digital da UFSM instname:Universidade Federal de Santa Maria (UFSM) instacron:UFSM |
instname_str |
Universidade Federal de Santa Maria (UFSM) |
instacron_str |
UFSM |
institution |
UFSM |
reponame_str |
Manancial - Repositório Digital da UFSM |
collection |
Manancial - Repositório Digital da UFSM |
repository.name.fl_str_mv |
Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM) |
repository.mail.fl_str_mv |
atendimento.sib@ufsm.br||tedebc@gmail.com |
_version_ |
1805922083483418624 |