From Default Rates to Default Matrices: a complete measurement of Brazilian banks' consumer credit delinquency
AbstractDespite 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.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 195.
Date of creation: Oct 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-2009-11-07 (All new papers)
- NEP-BAN-2009-11-07 (Banking)
- NEP-RMG-2009-11-07 (Risk Management)
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