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Advisor(s)
Abstract(s)
O contexto de crise económica e financeira, originou o aumento da taxa de desemprego, o decréscimo do rendimento das famílias portuguesas, a piora das condições dos empréstimos e a desvalorização de activos de garantias, que combinado com outros factores, contribuiu para a intensificação do incumprimento de crédito no segmento dos particulares. Este trabalho tem como objectivo estudar os factores determinantes no incumprimento de crédito a particulares, num Banco português. Foi utilizada uma amostra de 7876 de operações de crédito a particulares em incumprimento, à data de 31 de Dezembro de 2014, originados entre 2003 e 2014. Aplicámos um modelo probit e um modelo duration para analisar o impacto do montante inicial, da maturidade e do spread do empréstimo na probabilidade de incumprimento da operação de crédito e a duração do empréstimo até suceder o incumprimento.
Em relação às variáveis principais os resultados obtidos sugerem que no caso do spread, há uma diminuição de incumprimento na variável crédito, porque as operações de crédito apresentam menos risco em relação às operações de investimento que expõem mais risco e consequentemente, spreads mais elevados. Relativamente ao montante inicial, na nossa amostra, a variável investimento contempla operações com montantes elevados, assim é esperado possuirmos maior incumprimento nesta variável. No caso da maturidade, a variável investimento é constituída por operações de longa duração, pelo que é esperada um maior incumprimento.
Por fim, o modelo duration permitiu-nos concluir que o aumento das variáveis levará a que o cliente demore menos tempo para entrar em incumprimento.
In the context of the economic and financial crisis, that caused the rise of unemployment rate and decrease in income of Portuguese families, the worsening conditions of the loans and the devaluation of collateral, combined with other factors, have contributed to an intensification of credit default in the particulars segment. This research work aims to study the determinants of personal credit default in a Portuguese Bank. We used a sample of 7876 contracts of personal loans in default at December 31, 2014, originated between the years 2003 and 2014. We apply a probit model and a duration model to assess the impact of Initial amount, Maturity, Spread, in the probability of credit default and the duration of a loan until default. Regarding main variables the results suggest that in spread there is a decrease of default in credit variable, because credit loans are less risky than investment loans that have more risk and consequently higher spreads. About initial amount, in our sample, investment variable comprises contract loans with higher amounts, so it's expected to have higher default in investment variable. Related to maturity provided that investment variable has contract loans with higher maturities, it's expected to have higher default in investment variable. Finally, duration model allows us to conclude that clients will take less time to enter in default when a variable in the model increases.
In the context of the economic and financial crisis, that caused the rise of unemployment rate and decrease in income of Portuguese families, the worsening conditions of the loans and the devaluation of collateral, combined with other factors, have contributed to an intensification of credit default in the particulars segment. This research work aims to study the determinants of personal credit default in a Portuguese Bank. We used a sample of 7876 contracts of personal loans in default at December 31, 2014, originated between the years 2003 and 2014. We apply a probit model and a duration model to assess the impact of Initial amount, Maturity, Spread, in the probability of credit default and the duration of a loan until default. Regarding main variables the results suggest that in spread there is a decrease of default in credit variable, because credit loans are less risky than investment loans that have more risk and consequently higher spreads. About initial amount, in our sample, investment variable comprises contract loans with higher amounts, so it's expected to have higher default in investment variable. Related to maturity provided that investment variable has contract loans with higher maturities, it's expected to have higher default in investment variable. Finally, duration model allows us to conclude that clients will take less time to enter in default when a variable in the model increases.
Description
Mestrado em Finanças
Keywords
Incumprimento Crédito a Particulares Modelo Probit Modelo Duration Credit Default Personal Loans Probit Model Duration Model
Pedagogical Context
Citation
Moreira, Susana Patrícia Reis Mendes Costa (2015). "Determinants of personal credit defaults in a Portuguese Bank". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão