O Poder Discriminante das Operações de Crédito das Instituições Financeiras Brasileiras

Clodoaldo Annibal

No 167, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This study aimed to verify, between December 2005 and December 2006, the behavior of the credit rating systems of Brazilian Financial Institutions (FIs) regarding one of the main issues to be observed in the procedures for the credit rating system validation: the discriminant power of the system. The results showed that the credit rating system from the vast majority of the FIs surveyed, had discriminant power. The results also shown that there was no relationship between the FI control and the discriminant power, and neither between the discriminant power and the credit type operated by FI. However, it has been verified that there was a significant relationship between discriminant power and the FI size. The proportion of FIs of micro size, commonly credit union, whose systems hadn’t discriminant power was significantly greater than the expected value.

Date: 2008-07
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