Análise do Modelo CreditRisk+ em uma amostra de portfólio de crédito

Abstract

The paper analyzes CreditRisk+ Model theoretical foundations and fulfillment in a credit portfolio sample. In this analysis, CreditRisk+ Model, one of the risk assessment models created by banks, was applied in an US portfolio sample with default events identified between 1986 e 2009. Two procedures to assess performance were carried out: backtest; to compare losses measures for a given year to loss data simulated for a previous year, and stress test; to verify CreditRisk+ Model sensibility to changes in economic scenario. The results suggest that CreditRisk+ Model underestimated, between 1997 e 2009, in most years studied, the credit risk of the portfolio sample.

Keywords

• Credit Portfolio
• Credit Risk
• Credit Risk Management
• Credit Portfolio Management Models
• CreditRisk+ Model