Mensuração do risco de crédito em carteiras de financiamentos comerciais e suas implicações para o spread bancário

As the financial institutions execute their agency activities, they take risks, among them the credit risks, which is meanly present in offering loans. The administration of this risk category demands from the financial institutions some tools which allows the risk measurement since the decision of conceding loans to client until the evaluation of the credit lines portfolio risk. The credit risk is not only a tight measure of the institution loss expectation, but it is as well essential for the arrangement of the interesting rates. In searches made by Bacen (Brazilian Central Bank), it was verified that the credit risk was a representative variable in banking spread. This work applies the methodology know as CreditRisk+ to value the credit risk to, along with the concept of adjusted return to risk, analyse the BNDES Automático and Finame credit lines, evidencing an allocated economic capital and the necessary spread to cover the credit losses. Moreover, it is analised the banking spread in order to evidence what is the credit risk impact on the financing interest rate. It was attested that the credit is the spread main component, reaching 73,1% for the Finame line and 68,6% for the BNDES Automático line.