Correlação de Default: uma Investigação Empírica de Créditos de Varejo no Brasil

Antonio Silva, Arnildo Correa, Jaqueline Marins and Myrian Neves ()

No 208, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: From data in the Central Bank of Brazil’s Credit Information System we empirically estimated the default correlation matrices of retail loans made between 2003 and 2008. The loan modalities studied were Consumer Credit and Vehicle Financing. We identified an increased probability and correlation of default during economic contraction in Brazil. The segmentation of correlation matrices was initially performed according to the risk rating of the transaction. However, based on a probit regression model, we identified that the borrower’s Type of Occupation was more significant to explain the default events, so we recalculated the empirical correlations with this new grouping. The results indicated high correlation dispersion for the two credit modalities studied.

Date: 2010-05
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps208.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:208

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().