Utilização conjunta de modelagem econométrica e otimização em decisões de concessão de crédito

Abstract

ResumoUtilizamos um modelo econométrico do tipo Logit como o desenvolvido por Scarpel & Milioni (2001), concebido para atuar em previsão de insolvência de empresas, em conjunto com o modelo de programação linear inteira desenvolvido por Gehrlein & Wagner (1997). O objetivo é o de dar suporte a decisões de concessão de crédito em função da estimativa da probabilidade de solvência de empresas, de forma a minimizar a soma dos custos de oportunidade e inadimplência. Mostramos que a utilização conjunta desses modelos possibilita a eliminação das limitações encontradas quando eles são utilizados isoladamente no auxílio às decisões de concessão de crédito. Palavras-chave: crédito, Logit, programação em inteiros. AbstractWe use a Logit Model such as the one developed by Scarpel & Milioni (2001), designed to forecast corporations bankruptcy, together with an Integer Programming Model developed by Gehrlein & Wagner (1997). We aim at supporting decisions of credit concession considering the corporation's solvency probability estimate and minimizing the sum of opportunity and failure to pay costs. As we show, the conjoint utilization of both models eliminates limitations found in each of them, when used in isolation.

Assessing credit risk of mortgage lending using MACBETH: a methodological framework

“…As a result of requiring higher credit underwriting standards, banks have improved their credit-scoring systems with the aim of "better quantifying the financial risks they face and assigning the necessary economic capital" (Lopez and Saidenberg, 2000, p. 152) (for further discussion, see also Pau and Tambo, 1990;Altman and Saunders, 1998;Scarpel and Milioni, 2002;Costa and Baidya, 2003;Jacobson and Roszbach, 2003;Yurdakul and İç, 2004;Chambers et al, 2009;Xu and Zhang, 2009;Yu et al, 2009;Twala, 2010;Wang et al, 2011;Blackburn and Vermilyea, 2012;Leow and Mues, 2012). However, the progress achieved over the past decades does not mean that the current approaches, methods and/or techniques are without drawbacks (cf.…”

An Ahp-Based Approach to Credit Risk Evaluation of Mortgage Loans

“…In response to periods of economic turbulence and inherent decreasing liquidity, banks have developed sophisticated credit-scoring risk systems with the aim of "better quantifying the financial risks they face and assigning the necessary economic capital" (Lopez, Saidenberg 2000: 152). Based on this premise, significant improvements have occurred in terms of risk modeling (for a survey of developments and/or a generalized discussion, see Altman, Saunders 1997;Scarpel, Milioni 2002;Costa, Baidya 2003;Jacobson, Roszbach 2003;Avery et al 2004;Yurdakul, İç 2004;Crook et al 2007;Chikolwa, Chan 2008;Šušteršič et al 2009;Xu, Zhang 2009;Yu et al 2009;Twala 2010;Wang et al 2011) and, for the reasons presented above, mortgage lending risk evaluation has become increasingly important in the field of finance. Nevertheless, as shown in the literature (e.g.…”