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Modelos de rating : construção e aplicação de probit ordenado para atribuição de notações financeiras
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Face à necessidade de definir uma ferramenta abrangente de avaliação da situação creditícia do Banco Atlântico Europa (ATLE), dado o incremento de negócio verificado nos últimos anos, e a vontade de melhorar o processo de análise e monitorização de crédito para o segmento ?Empresas?, surgiu a oportunidade de auxiliar no desenvolvimento do Modelo de Rating Interno da Instituição aplicado a Empresas. Esta é uma ferramenta cuja finalidade é de modelar e descrever através do uso de notações financeiras o risco inerente a operações creditícias, quantificando o risco associado e considerando-o na tomada de decisão através da notação de rating. No âmbito do trabalho desenvolvido, a notação de rating desempenha o papel de medida de risco, relacionada com a probabilidade estimada de incumprimento de uma empresa e é um fator determinante para a construção da notação de rating.
O trabalho desenvolvido veio também auxiliar à determinação das variáveis quantitativas mais pertinentes aquando da atribuição do rating, com destaque para os rácio de rendibilidade do ativo, dos capitais próprios e de autonomia financeira através da quantificação dos efeitos parciais médios destas variáveis sobre a variável de interesse.
Ressalvando a dinâmica do mercado onde os bancos atuam, importa considerar o espectro limitado de variáveis independes sobre as quais incidiu o estudo e a tipologia das mesmas. A notação financeira de empresas depende também de fatores externos à própria empresa, como fatores macroeconómicos que podem influenciar diretamente a notação atribuída e que não foram tidos em conta nesta análise.
Banco Atlantico Europa (ATLE) has experienced an increase in business volume over the last few years. This, allied with tighter compliance requirements from the main regulatory entities, led to the need of creating a credit analysis instrument. Thus, the Internal Rating Model of the institution was developed, with the goal of modelling and standardizing, via thorough financial analysis, the level of risk inherent to credit operations. This is a tool whose purpose is to model and describe, by financial ratings, the risk inherent in credit operations, quantifying the associated risk and considering it in the decision making through the rating, with the estimated probability default considered the determining factor for the construction of the rating. The credit rating represents a measure of risk, related with the estimated probability of default of a company and it is a determinant factor for the models here developed. The application of this model also helped to determine the most relevant quantitative variables at the time of rating, with emphasis on the asset return, equity and financial autonomy ratio by quantifying the average partial effects of these variables on the variable of interest. Given the dynamics of the market where banks operate, it is important to consider the limited spectrum of independent variables on which the study was based. The financial ratings of companies also depend on external factors to the company itself, such as macroeconomic factors that can directly influence the attribution of the ratings and that were not considered in this analysis.
Banco Atlantico Europa (ATLE) has experienced an increase in business volume over the last few years. This, allied with tighter compliance requirements from the main regulatory entities, led to the need of creating a credit analysis instrument. Thus, the Internal Rating Model of the institution was developed, with the goal of modelling and standardizing, via thorough financial analysis, the level of risk inherent to credit operations. This is a tool whose purpose is to model and describe, by financial ratings, the risk inherent in credit operations, quantifying the associated risk and considering it in the decision making through the rating, with the estimated probability default considered the determining factor for the construction of the rating. The credit rating represents a measure of risk, related with the estimated probability of default of a company and it is a determinant factor for the models here developed. The application of this model also helped to determine the most relevant quantitative variables at the time of rating, with emphasis on the asset return, equity and financial autonomy ratio by quantifying the average partial effects of these variables on the variable of interest. Given the dynamics of the market where banks operate, it is important to consider the limited spectrum of independent variables on which the study was based. The financial ratings of companies also depend on external factors to the company itself, such as macroeconomic factors that can directly influence the attribution of the ratings and that were not considered in this analysis.
Descrição
Mestrado em Métodos Quantitativos para a Decisão Económica e Empresarial
Palavras-chave
modelos de rating probit ordenado risco de crédito notações financeiras rating models ordered probit credit risk financial grade
Contexto Educativo
Citação
Domingos, Vânia Marisa Almeida (2018). "Modelos de rating : construção e aplicação de probit ordenado para atribuição de notações financeiras". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão