Publicação
Modelos de Notação de Risco de Crédito – Rating de Empresas
| Resumo: | In the sequence of the main economic crises in the financial sector over the pastfew years, there has been a bigger intervention by supervisory authorities aimed atrisk prevention and mitigation, as well as credit risk.Therefore, with the emergence of increasingly demanding regulations, namely theBasel agreements that condition the quality and amount of credit risk that CreditInstitutions can be exposed through the establishment of standard limits, arose theneed to build and implement more rigorous/effective internal models.In this sense, both from a credit granting perspective and from a portfolio monitoringperspective, the existence of credit rating models is essential in order to assistthe Financial Institution’s good risk management.This thesis aims to approach the concepts of credit risk and credit rating models,as well as to develop a rating model, using a logistic regression model, in order tomeasure the companies ability to accomplish with their responsibilities. |
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| Autores principais: | Martins, Raquel Ramos |
| Assunto: | Matemática Financeira Econometria Risco de Crédito Rating de Empresas Regressão Logística Teses de mestrado - 2018 |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | português |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | In the sequence of the main economic crises in the financial sector over the pastfew years, there has been a bigger intervention by supervisory authorities aimed atrisk prevention and mitigation, as well as credit risk.Therefore, with the emergence of increasingly demanding regulations, namely theBasel agreements that condition the quality and amount of credit risk that CreditInstitutions can be exposed through the establishment of standard limits, arose theneed to build and implement more rigorous/effective internal models.In this sense, both from a credit granting perspective and from a portfolio monitoringperspective, the existence of credit rating models is essential in order to assistthe Financial Institution’s good risk management.This thesis aims to approach the concepts of credit risk and credit rating models,as well as to develop a rating model, using a logistic regression model, in order tomeasure the companies ability to accomplish with their responsibilities. |
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