Académique Documents
Professionnel Documents
Culture Documents
Fidelizao e Reteno de Clientes: Este artigo discute a aplicao de modelos de sobrevivncia com longa durao a
Uma Aplicao de Modelos de conjunto de dados de tempos at o churning. Com o modelo ajustado, determina-se
a percentagem de clientes que podem ser considerados fidelizados.
Mistura com Longa Durao
Building Loyalty and Retaining Clients: An This paper discusses the application of long-term survival models to a dataset addressing ti-
Application of Long-Term Mixed Models me-to-churn. With the adjusted model, we can determine the percentage of clients that can
be deemed loyal.
Francisco Louzada-Neto
Daniele Cristina Tita Granzotto
Gleici da Silva Castro Perdon
20
Modelagem em Portflios de Baixa O problema de estimao de PDs (Probabilidade de Defaults) em portflios de crdi-
Proporo de Defaults (LDPs) to cuja ocorrncia de defaults seja escassa ou at mesmo inexistente abordado nes-
te artigo. A modelagem em portflios com essas caractersticas comumente deno-
Modeling for Low Default
minada LDP (Low Default Portflio).
Portfolios (LDPs)
The purpose of this paper is to introduce and treat the problem of estimating PD (Probabili-
Carlos Eduardo Hirth Pimentel ty of Default) in credit portfolios where defaults are scarce or even absent. Modeling in por-
tfolios with these characteristics is often called LDP (Low Default Portfolio) modeling.
33
Validao de Sistemas Internos de Nos modelos de PD, abordados no artigo, as filosofias de rating consideradas pela to-
Classificao de Riscos (Modelos de Rating) talidade das IFs so a PIT e a TTC. A PIT utiliza nos seus modelos variveis de input
que refletem mais a situao econmica do momento e a TTC tende a utilizar da-
dentro de um Contexto de Basilia II
dos comportamentais que espelham o desempenho dos clientes ao longo de um ci-
Validating Internal Risk Rating clo de crdito.
Models in a Basel II Context
In the PD models the paper analyzes, all FIs adopt the PIT and TTC rating philosophies.
Carlos Antonio Campos Nogueira PIT models use input variables that best reflect the economy at a certain moment, while
TTC tends to use behavioral data that mirror client performance over the course of a cre-
dit cycle.
46
Crdito e Internacionalizao: H vrias motivaes para uma empresa tornar-se transnacional. Entre estas, est a
Um Processo em Crescimento busca de novos mercados, o acesso a recursos naturais, o aumento de eficincia por
ganhos de escala ou de escopo e a reduo de custos transacionais com a integra-
Credit and Internationalization:
o de atividades de fornecimento ou de processos complementares.
A Growing Process
Several motivations may lead a company to become a transnational. They include the pur-
Frederico Araujo Turolla suit of new markets,access to natural resources, increased efficiency through scale or sco-
Ronald de Oliveira Concer pe gains and reduced transaction costs with the integration of procurement activities or
complementary processes.
33
Validao de
Sistemas Internos
de Classificao de
Riscos (Modelos
de Ratings) dentro
de um Contexto de
Basileia II
Validating Internal Risk Rating
Models in a Basel II Context
Avalia
Validao interna Exame dos
Evaluates
pelo banco supervisores
Internal validation Supervisory
by individual bank examination
Validao do Validao do
sistema de rating processo de rating
Validation of Validation of
rating system rating process
Backtesting Benchmarking
PD LGD EAD
Grfico 1 PIT
Chart 1 PIT
39
Grfico 2 TTC
Chart 2 TTC
Rating philosophy
Properties of obligor PDs
Point in Time Through the Cycle
Unstressed Stable Negative
Stressed Positive Stable
ainda o Comunicado 18.365/09 do BACEN para Accord, or Comunicado 18.365/09 of the Cen-
mais detalhes). tral Bank of Brazil for additional details).
As definies de ciclo econmico (rela- The definitions of economic cy-
tivo a variveis macroeconmicas), ciclo de crdi- cle (concerning macro-economic variables),
to (ligado aos ciclos de demanda e oferta de cr- credit cycle (linked to Financial Industrys
dito pela Indstria Financeira, e que nem sempre credit supply and demand, which do not
coincidem com o ciclo econmico) e ciclo de ne- always coincide with the economic cycle)
gcios, que est mais ligado ao ciclo da atividade and business cycle, which is more closely
de um cliente (corporativo no caso) ou a do seg- connected with a (corporate) clients activi-
mento no qual ele atua (ou ainda em segmentos ty cycle, or to that of the segment in which
relacionados na mesma cadeia produtiva). the client operates (or segments associated
Outro aspecto metodolgico a ser vali- with the same production chain).
dado o da integridade do IRRS especialmente Another methodological aspect to val-
no caso do uso concomitante de modelos esta- idate concerns the integrity of the IRRS in the
tsticos, ratings externos (que podem ser usados specific case of simultaneous use of statistical
como inputs mas no como outputs) e critrios jul- models, external ratings (which may be used
gamentais, tudo dentro de um IRRS hbrido. Em- as input, but not as output) and judgmental
bora tal uso seja permitido e at bastante comum, criteria, all in a single hybrid IRRS. Although
especialmente para carteiras de atacado em sub- this is permitted and actually rather common,
segmentos de PME, o uso indiscriminado e meto- especially for wholesale portfolios in PME sub-
dologicamente descuidado pode gerar tanto pro- segments, indiscriminate and methodological-
blemas de consistncia quanto de estabilidade do ly careless use may generate both consistency
sistema de classificao de risco. and stability issues for the risk rating system.
Matriz de Adeso
Fit Matrix
Curva ROC
ROC Curve
43
Ratings n de
D- D+ CC CCC- CCC CCC+ B- B B+ BB- BB BB+ BBB- BBB BBB+ A- A A+ AA- AA AA+ AAA
Internos contratos
x1 4 2 2
x 12 8 7 1
x 13 5 3 1 1
W1 14 4 4 4 2
W 12 16 1 1 12 2
W 13 19 2 1 1 12 3
Y1 19 1 3 9 6
Y 12 21 1 1 13 6
Y 13 28 2 3 15 6 1 1
z1 27 3 18 5 1
z 12 11 1 4 3 2 1
z 13 12 1 3 1 4 1 1 1
k1 7 2 4 1
k 12 13 9 1 2 1
k 13 10 1 2 2 2 2 1
a1 4 4
a 12 0
a 13 2
Totais 220 0 0 0 0 0 0 5 2 14 10 7 14 30 25 25 19 20 19 6 8 10 6
Internal #
D- D+ CC CCC- CCC CCC+ B- B B+ BB- BB BB+ BBB- BBB BBB+ A- A A+ AA- AA AA+ AAA
Ratings contracts
x1 4 2 2
x 12 8 7 1
x 13 5 3 1 1
W1 14 4 4 4 2
W 12 16 1 1 12 2
W 13 19 2 1 1 12 3
Y1 19 1 3 9 6
Y 12 21 1 1 13 6
Y 13 28 2 3 15 6 1 1
z1 27 3 18 5 1
z 12 11 1 4 3 2 1
z 13 12 1 3 1 4 1 1 1
k1 7 2 4 1
k 12 13 9 1 2 1
k 13 10 1 2 2 2 2 1
a1 4 4
a 12 0
a 13 2
Totals 220 0 0 0 0 0 0 5 2 14 10 7 14 30 25 25 19 20 19 6 8 10 6
dados relativos, no mnimo, aos cinco anos an- III - for other exospores, PD param-
teriores e as estimativas dos parmetros LGD eter estimates must consider data covering
e EAD devem considerar dados relativos, no the five preceding years at least, and LGD
mnimo, aos sete anos anteriores, compreen- and EAD parameter estimates must take
dendo, preferencialmente, um ciclo econmi- account of data covering the seven preced-
co completo. ing years at least, preferably to comprehend
Em sntese, todo o processo de vali- a full economic cycle.
dao deve seguir as premissas bsicas do In sum, the entire validation process
acordo, considerando tambm as melhores must abide by the basic assumptions of the
prticas de mercado, as metodologias mais Accord, and take account of best practices,
ampla e profundamente testadas, bem como the most broadly and comprehensively test-
as tcnicas estatsticas de desenvolvimento ed methodologies, and the most accepted and
e testes mais aceitas e difundidas na Inds- disseminated statistical development and test-
tria Financeira. ing techniques in the Financial Industry.
Autor/Author
Is a Physics graduate (PUC - RJ) and holds a Masters degree in Astrophysics and Elementary Particles (Centro Brasileiro de Pesquisas
Fsicas - CBPF/CNPQ). As a practice leader in IT consultancy, he has 27 years continues experience, having provided services to over 40
companies in close to 70 projects. He is managing partner and founder of IntelliSearch. E-mail can@intellisearch.com.br
Bibliografia/Bibliography
Acordo de Basileia International Convergence of Capital Measurement and Capital Standards: A Revised Fra-
mework - Comprehensive Version (verso de junho de 2006): http://www.bis.org/publ/bcbs128.pdf
Comunicado 18.365 do BACEN de 22/04/2009 sobre orientaes preliminares (pontos-chave) para a implantao de
modelos internos de risco de crdito.
Measuring and Managing Credit Risk Servigny and Renault (MC Graw Hill)
Basel II Implementation A Guide to Developing and Validating a Compliant, IRRS - Ozdemir, Miu (MC Graw Hill)
A Matriz de Adeso e a Curva ROC foram obtidas a partir de um modelo construdo com base no NeuroShell Clas-
sifier, da Ward Systems.