Advanced Search
MyIDEAS: Login to save this paper or follow this series

From Default Rates to Default Matrices: a complete measurement of Brazilian banks' consumer credit delinquency

Contents:

Author Info

  • Ricardo Schechtman

Abstract

Despite the manifold utilities of monitoring credit default rates, little attention is usually devoted to the underlying default definition. This paper proposes working simultaneously with different default severities, related to several past-due ranges, by means of transition matrices (to be named default matrices). In this way, default, as well as recovery, are depicted in a multidimensional way with the purpose of avoiding missing relevant information. The challenge lies on performing comparisons between default matrices, which requires specific metrics. In this paper, the default matrices are built to measure consumer credit delinquency at four large Brazilian banks. The study is able to draw relevant information from comparisons between estimations techniques, between default criteria, between banks and over time, as well as with recent applied literature on matrices of rating agencies.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.bcb.gov.br/pec/wps/ingl/wps195.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 195.

as in new window
Length:
Date of creation: Oct 2009
Date of revision:
Handle: RePEc:bcb:wpaper:195

Contact details of provider:
Web page: http://www.bcb.gov.br/?english

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:195. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.