Administração ativa de portfólio de crédito: uma revisão dos principais conceitos para uma implementação efetiva em bancos comerciais

• Ano de defesa: 2006
• Autor(a) principal: Jabôr, Rafael Machado
• Orientador(a): Douat, João Carlos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Credit portfolio management; Credit risk; Default; Correlação; Risco de crédito; Administração de portfólio de crédito
• Link de acesso: http://hdl.handle.net/10438/2034

This work is about the main issues of active credit portfolio management in commercial banks, which are abandoning the more traditional approach of credit management in favor of this new one. First, the paper presents a definition of active credit portfolio management, compares it with the traditional management and points out some reasons that led to the newer approach. Then, it adapts to credit portfolios the main concepts of Modern Portfolio Theory and presents some models on important data requirements for credit risk measurements like default probabilities, credit assets correlation and portfolio credit risk. It also presents the concepts of economic capital and Risk-Adjusted Return on Capital (RAROC) relatively to credit risk. This working paper discusses the active credit portfolio management functions and responsibilities and as a contribution presents, in light of this work’s considerations, a hypothetical structure of a credit department in a commercial bank which adopts active credit portfolio management.