Detalhes bibliográficos
| Ano de defesa: |
2017 |
| Autor(a) principal: |
Nunes, Christiny Kelly Ferreira |
| Orientador(a): |
Mattos, Ely José de
 |
| Banca de defesa: |
Não Informado pela instituição |
| Tipo de documento: |
Dissertação
|
| Tipo de acesso: |
Acesso aberto |
| Idioma: |
por |
| Instituição de defesa: |
Pontifícia Universidade Católica do Rio Grande do Sul
|
| Programa de Pós-Graduação: |
Programa de Pós-Graduação em Economia do Desenvolvimento
|
| Departamento: |
Escola de Negócios
|
| País: |
Brasil
|
| Palavras-chave em Português: |
|
| Área do conhecimento CNPq: |
|
| Link de acesso: |
http://tede2.pucrs.br/tede2/handle/tede/7693
|
Resumo: |
This paper seeks to determine the relationship between the default rate of companies and macroeconomic indicators. Analyzing the two base lines of credit from a Financial Institution in the period from 2012 to 2015. For this was parameterized a statistical model in which it contemplates idiosyncratic and macroeconomic variables, using logistic regression statistical technique. The objective of this paper is to capture the sensitivity of the probability of default of companies considering the analysis horizon of twelve months. The results show that the default is sensitivy to insertion of macroeconomic indicators, mainly in relation to PIB and PIB next year projection, named throughout the paper as PIB next. Despite the positive signs the results not shown so expressive like other papers in the area. It may have been impacted by a smaller base, if compared to the others. We consider the objective of this paper was achieved showing the viability, applicability of the model and their impacts. As well as that it can be used not only for data analysis, but also as an input into a portfolio credit risk model. |
