Adequação das técnicas de validação dos modelos de probabilidade de default em carteiras simuladas

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dc.contributor.advisorKimura, Herbertpt_BR
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/2048706172366367por
dc.contributor.authorTsukahara, Fábio Yasuhiropt_BR
dc.creator.Latteshttp://lattes.cnpq.br/3012762452904652por
dc.date.accessioned2016-03-15T19:25:59Z
dc.date.accessioned2020-05-28T18:03:56Z
dc.date.available2013-10-09pt_BR
dc.date.available2020-05-28T18:03:56Z
dc.date.issued2013-02-04pt_BR
dc.description.abstractThe Basel II accord allows financial institutions to use internal models for measuring capital requirements. However, the use of internal models requires, among other approvals, a validation by an independent area. Thus, the development of techniques for validating risk models has gained much importance in the academic and in the financial markets. This study aims to evaluate some of the main techniques used for validate probability of default models, through the application of these techniques in PD models developed from simulated portfolios. Were evaluated traditional techniques such as KS, AR and area under ROC curve and newer techniques such as CIER, Information Value and measure M. The advantage of using simulated portfolios is that they allow the study of a large number of different situations, which would be impossible by using real portfolios. This study will provide an understanding of the limitations present in validation methodologies of PD models and an assessment of which techniques are more sensitive for each case analyzed.eng
dc.formatapplication/pdfpor
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23422
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.subjectvalidação de modelospor
dc.subjectprobabilidade de defaultpor
dc.subjectmodelos de créditopor
dc.subjectmodels validationeng
dc.subjectcredit modelseng
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESASpor
dc.thumbnail.urlhttp://tede.mackenzie.br/jspui/retrieve/2608/Fabio%20Yasuhiro%20Tsukahara.pdf.jpg*
dc.titleAdequação das técnicas de validação dos modelos de probabilidade de default em carteiras simuladaspor
dc.typeDissertaçãopor
local.contributor.board1Cia, Josilmar Cordenonssipt_BR
local.contributor.board1Latteshttp://lattes.cnpq.br/6861342266987387por
local.contributor.board2Belitsky, Vladimirpt_BR
local.contributor.board2Latteshttp://lattes.cnpq.br/0850850150348845por
local.publisher.countryBRpor
local.publisher.departmentAdministraçãopor
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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Administração de Empresas - Dissertações - CCSA Higienópolis