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Desenvolvimento de um modelo de Credit Scoring
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Authors
Abstract(s)
Uma das principais preocupações das instituições financeiras é a mitigação dos riscos inerentes à sua atividade, nomeadamente, o risco de crédito. O credit scoring é uma ferramenta frequentemente utilizada para esse fim, pois permite avaliar a capacidade dos clientes cumprirem com os compromissos associados aos financiamentos solicitados.
Com este trabalho, pretendeu-se desenvolver um modelo de credit scoring para a Caixa Económica da Misericórdia de Angra do Heroísmo (CEMAH), utilizando dados das empresas clientes da instituição, assim como informação sobre o cumprimento ou incumprimento dos créditos concedidos, num total de 1.676 observações, 126 das quais referentes a empresas que entraram em incumprimento.
Através da aplicação da regressão logística foi possível apurar as variáveis que melhor preveem a probabilidade de incumprimento, tal como a relação que cada variável tem com o incumprimento. As conclusões obtidas estão de acordo com as alcançadas por outros estudos sobre o tema, e o tipo de relação é o que era expectável de acordo com a teoria financeira.
ABSTRACT: One of the main concerns of financial institutions is the mitigation of the inherent risks to their activity, namely, credit risk. Credit scoring is a widely used tool for this purpose, since it allows to evaluate clients’ ability to satisfy the obligations associated with the requested credit. The purpose of this study was to develop a credit scoring model for Caixa Económica da Misericórdia de Angra do Heroísmo (CEMAH), using data from the companies that are already institution's clients, as well as information on their ability to repay the loan regarding or default of provided credits, in a total of 1.676 observations, 126 of which it refers to companies that have been in default. Through the estimation of logistic regression it was possible to determine the variables that best predict the probability of default, as well as the relationship that each variable has with the default. The conclusions obtained are in agreement with those reached by other studies about the subject, and the relations type are the expected according to the financial theory.
ABSTRACT: One of the main concerns of financial institutions is the mitigation of the inherent risks to their activity, namely, credit risk. Credit scoring is a widely used tool for this purpose, since it allows to evaluate clients’ ability to satisfy the obligations associated with the requested credit. The purpose of this study was to develop a credit scoring model for Caixa Económica da Misericórdia de Angra do Heroísmo (CEMAH), using data from the companies that are already institution's clients, as well as information on their ability to repay the loan regarding or default of provided credits, in a total of 1.676 observations, 126 of which it refers to companies that have been in default. Through the estimation of logistic regression it was possible to determine the variables that best predict the probability of default, as well as the relationship that each variable has with the default. The conclusions obtained are in agreement with those reached by other studies about the subject, and the relations type are the expected according to the financial theory.
Description
Dissertação de Mestrado, Ciências Económicas e Empresariais, 04 de outubro de 2018, Universidade dos Açores.
Keywords
Crédito Bancário Risco de Crédito Credit Risk Credit Scoring Probability of Default
Citation
Ávila, Milene de Fátima Aguiar. "Desenvolvimento de um modelo de Credit Scoring". 2018. 51 p.. (Dissertação de Mestrado em Ciências Económicas e Empresariais). Ponta Delgada: Universidade dos Açores, 2018. [Consult. Dia Mês Ano]. Disponível em www:<http://hdl.handle.net/10400.3/4857>.