Use este identificador para citar ou linkar para este item: http://repositorio.ufla.br/jspui/handle/1/11187
Título: Risco de crédito: uma abordagem utilizando análise discriminante, regressão logística e redes neurais artificiais
Título(s) alternativo(s): Credit risk: an approach using discriminant analysis, logistic regression and artificial neural networks
Autores: Carvalho, Francisval de Melo
Lima, André Luis Ribeiro
Mendonça, Fabrício Molica de
Benedicto, Gideon Carvalho de
Palavras-chave: Modelo Dinâmico
Modelo Fleuriet
Risco de crédito
Falências
Indicadores financeiros
Dynamic Model
Fleuriet Model
Credit risk
Bankruptcy
Financial indicators
Data do documento: 24-Mai-2016
Editor: Universidade Federal de Lavras
Citação: PRADO, J. W. do. Risco de crédito: uma abordagem utilizando análise discriminante, regressão logística e redes neurais artificiais. 2016. 228 p. Dissertação (Mestrado em Administração)-Universidade Federal de Lavras, Lavras, 2016.
Resumo: Considering the relevance of researches concerning credit risk, model diversity and the existent indicators, this thesis aimed at verifying if the Fleuriet Model contributes in discriminating Brazilian open capital companies in the analysis of credit concession. We specifically intended to i) identify the economic-financial indicators used in credit risk models; ii) identify which economic-financial indicators best discriminate companies in the analysis of credit concession; iii) assess which techniques used (discriminant analysis, logistic regression and neural networks) present the best accuracy to predict company bankruptcy. To do this, the theoretical background approached the concepts of financial analysis, which introduced themes relative to the company evaluation process; considerations on credit, risk and analysis; Fleuriet Model and its indicators, and, finally, presented the techniques for credit analysis based on discriminant analysis, logistic regression and artificial neural networks. Methodologically, the research was defined as quantitative, regarding its nature, and explanatory, regarding its type. It was developed using data derived from bibliographic and document analysis. The financial demonstrations were collected by means of the Economática ® and the BM$FBOVESPA website. The sample was comprised of 121 companies, being those 70 solvents and 51 insolvents from various sectors. In the analyses, we used 22 indicators of the Traditional Model and 13 of the Fleuriet Model, totalizing 35 indicators. The economic-financial indicators which were a part of, at least, one of the three final models were: X1 (Working Capital over Assets), X3 (NCG over Assets), X4 (NCG over Net Revenue), X8 (Type of Financial Structure), X9 (Net Thermometer), X16 (Net Equity divided by the total demandable), X17 (Asset Turnover), X20 (Net Equity Profitability), X25 (Net Margin), X28 (Debt Composition) and X31 (Net Equity over Asset). The final models presented setting values of: 90.9% (discriminant analysis); 90.9% (logistic regression) and 97.8% (neural networks). The modeling in neural networks presented higher accuracy, which was confirmed by the ROC curve. In conclusion, the indicators of the Fleuriet Model presented relevant results for the research of credit risk, especially if modeled by neural networks.
URI: http://repositorio.ufla.br/jspui/handle/1/11187
Aparece nas coleções:Administração - Mestrado (Dissertação)



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