Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas
AbstractOne of the main variables observed in the performance evaluation of banking credit is the index that measures the default rate. Different approaches are used, or were proposed, to perform the calculation of this index. However, the difficulty of defining default leads to the creation of different measures which sometimes fail to measure the stricto sense default. This paper aims to describe and analyze, using the Credit Information System of Central Bank of Brazil (SCR), among other sources, the behavior of three major default rates found in literature. The difference in the behavior of each index is observed using a system that seeks to simulate a portfolio of personal loans and using statistical techniques for analyzing time series of real data. The conclusion is that the most appropriate indicator to measure the default, in the stricto sense, is obtained based on the number of delayed operations.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 192.
Date of creation: Sep 2009
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-19 (All new papers)
- NEP-BAN-2009-09-19 (Banking)
- NEP-RMG-2009-09-19 (Risk Management)
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