Please use this identifier to cite or link to this item: http://bibliotecadigital.economia.gov.br/handle/123456789/527330
Title: Metodologia de estimação de matrizes de correlação de ativos e seu impacto no uso em estimativas de capital econômico para risco de crédito
Keywords: Sistemas de avaliação de risco de crédito (Finanças)
Credit scoring systems
Créditos - Avaliação
Credit - Valuation
Administração de risco
Risk management
Administração de risco - Modelos econométricos
Risk management - Econometric models
Modelos econométricos
Econometric models
Matrizes (Matemática)
Matrices
Correlação (Estatística)
Correlation (statistics)
Inadimplência (Finanças) - Brasil
Default (Finance) - Brazil
Issue Date: Jun-2018
Publisher: Banco Nacional de Desenvolvimento Econômico e Social
Abstract: The estimation of losses distribution in a credit portfolio and related statistical measures, such as VaR, Economic Capital and Expected Shortfall, depends on several parameters, according to the model adopted. In Merton-based models, correlations play a key role. In credit risk management, one can define correlation as a measure of connection between events. The premise of independence (or lack of correlation) is not accepted in the literature of the subject, nor is it verifiable in practice. It is necessary to estimate measures of correlation with the systemic factor and between counterparts, which leads to an asset correlation matrix. This article presents a methodology for the estimation of asset correlation matrices, compatible with the Merton-based one factor model, and analyses the effect on statistical credit risk metrics when compared to the independence hypothesis. The theoretical model uses the probability of default and its volatilities to estimate the correlations between assets.
URI: http://bibliotecadigital.economia.gov.br/handle/123456789/527330
Other Identifiers: MATT, Rodrigo Trotta; ANDRADE, Leonardo Brazão de. Metodologia de estimação de matrizes de correlação de ativos e seu impacto no uso em estimativas de capital econômico para risco de crédito. Revista do BNDES, Rio de Janeiro, v.25, n.49, p. 39-80, jun. 2018
http://web.bndes.gov.br/bib/jspui/handle/1408/16084
Appears in Collections:Produção BNDES - Artigos

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.