Rating de instituições bancárias: desenvolvimento de um modelo fundamentado em índices financeiros e matrizes de migração

• Ano de defesa: 2011
• Autor(a) principal: Mattos Filho, Elzio Nunes de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Sistema Financeiro Nacional
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/5751

This research aims to develop a risk model for banks, based on financial indices, with the application of concepts of migration matrices ratings. For this, public accounting data are used these entities that receive the monitoring of monetary authorities, due to the systemic risk that may represent, and rating migration matrices, which have become very useful in the modern theory of risk management. Thus, in a theoretical and experimental, a model was created with the use of migration matrices, constructed from risk scores based on financial indices. We used half-yearly and annual financial statements of 79 banks in the period 2001 to 2009. It was found that the matrix of migration that were closest to the rating matrices were those with smaller numbers of classes of risk and greater intervals. Regarding the indexes of the model equation, it was found that the leverage ratio and capital / depositors were those with higher weightings. When notes were compared with the estimated scores of agencies Fitch and Austin, we found low numbers of equal notes, but in significant amounts when the notes considered equal and the only one that differed in level of risk.