Dissertação
Proposta de um modelo probabilístico de risco de inadimplência em uma cooperativa de crédito, com a aplicação da técnica de regressão logística
Fecha
2011-08-26Registro en:
GARCIA, Fabiane Tubino. PROPOSAL OF A PROBABILIST MODEL OF RISK OF INSOLVENCY
IN A CREDIT COOPERATIVE, WITH THE APPLICATION OF THE
TECHNIQUE OF LOGISTIC REGRESSION.. 2011. 111 f. Dissertação (Mestrado em Engenharia de Produção) - Universidade Federal de Santa Maria, Santa Maria, 2011.
Autor
Garcia, Fabiane Tubino
Institución
Resumen
The current view is of magnifying of operations of credit destined to physical persons. This
growing justifies by the contract of financings and loans with larger terms of paying,
increasing of income and job. Being thus, in the same way as if it expands the search for
credit in the financial institutions, it occurs the increasing of the index of insolvency of these
operations. With this, it appears the necessity of an efficient management and control of risk
making that these institutions try to perfect the quantitative techniques used in its process of
analyze of concession of credit and administration of risk. Thus, the objective of this research
was to propose a model of risk of credit for to esteem the probability of insolvency in the
segment of physical persons in a Credit Cooperative, located in Pelotas/RS. It was identified
too the profile of the cooperated from information registered in cadastre that themselves relate
to the institution, trying by means of them to verify what are the variables able to explain the
suggested model of risk. It was developed a study of case, based on the period of December,
2010 and it was used for analyzing data the multivaried statistic technique of multiple logistic
regression. It was obtained a sample of 400 cooperated and it was tested 29 co-varied of the
respective bank of data of the Unicred Automation System (UAS). In this study, the variable
dependent corresponds to the situation or no of the insolvency of the cooperated in the
operations of credit. The results gotten from the adjusted model indicate that only two
predatory variables were statistically significant (p<0,05) for esteeming the probability of the
insolvency , that are: profession dentist (OR = 7,147) and if it has the monthly income over 10
thousand until 20 thousand Reals (OR = 4,339).