Projeto teórico de um modelo de pontuação de crédito com base no método holt-winters para instituições de microfinança
Palavras-chave:
holt-winters, instituições de micro nanças, pontuação de créditoResumo
Para uma instituição de micro- nanciamento para avaliar adequadamente a capacidade de pagamento de seus clientes potenciais, previamente a uma aprovação de crédito, a capacidade de pagamento de crédito tem de ser avaliada. O principal objetivo deste trabalho é desenvolver um modelo que permite que as IMFs estabelecer a capacidade de pagamento dos clientes potenciais e face uma breve revisão das principais técnicas utilizadas por diferentes autores para desenvolver modelos de scoring de crédito e um novo modelo baseado na Holt-Winters com modelos espaço estado se propõe a analisar o risco microcrédito associada ao pagamento, com base na uxos de caixa esperados com ênfase na sazonalidade dos uxos de caixa esperados. É pertinente salientar que apesar de lidar com uma única variável, sua relevância é tal que ele é considerado um modelo de credit scoring por si só.Métricas do artigo
Resumo: 491 PDF (Español (España)): 343Referências
ALTMAN, Edward (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. En: Journal of Finance No 4. Malden (Massachusetts): The American Finance Association.
AVERY, Robert, CALEM, Paul y CANNER, Glenn (2004). Consumer credit scoring: Do situational circumstances matter? En: Journal of Banking and Finance No 28. Rotterdam: Elvesier.
BIERMAN, Horold y HAUSMAN, Warren (1970). The credit granting decision. En: Management Science No 8. Catonsville (MD-EUA): Institute for Operations Research and the Management Sciences- INFORMS.
BELLOTTI, Tony y CROOK, Jonathan (2007). Credit scoring with macroeconomic variables using survival analysis. En: Journal of the Operational Research Society No 12. Birmingham: Palgrave Macmillan.
BLUHM, Christian, OVERBECK, Ludger y WAGNER, Christoph. (2002). An introduction to credit risk modeling. Boca Raton, Florida: Chapman & Hall/CRC.
BONFIM, Diana (2009). Credit risk drivers: Evaluating the contribution of rm level information and of macroeconomic dynamics. En: Journal of Banking and Finance No 33. Rotterdam: Elvesier.
BOYES, William, HOFFMAN, Dennis y LOW, Stuart (1989). A econometric analysis of the bank credit scoring problem. En: Journal of Econometrics No 40. Rotterdam: Elvesier.
CAMPBELL, Tim y DIETRICH, Kimball (1983). The determinants of default on insured conventional residential mortgage loans. En: Journal of Finance No 5. Malden (Massachusetts):: The American Finance Association.
CHEUNG, Stella (1996). Provincial credit ratings in Canada: An ordered probit analysis. En: Working Paper 96-6. Ontario: Bank of Canada.
DAVIS, Rober Hunter., EDELMAN, David y GAMMERMAN, Alexander (1992). Machinelearning algorithms for credit-card applications. En: IMA Journal of Mathematics Applied In Business and Industry No 4. Oxford: Oxford University, The Institute of Mathematics and its Applications.
DINH, Thi Huyen Thanh y KLEIMEIER, Stefanie (2007). A credit scoring model for Vietnam’s retail banking market. En: International Review of Financial Analysis No 16. Rotterdam: Elvesier.
DURAND, David. (1941). Risk elements in consumer instalment nancing. Cambridge (MA-EUA): NBER Books.
FALBO, Paul (1991). Credit-Scoring by Enlarged Discrinlinaiit Models. En: International Journal of Managenent Science No 4. Rotterdam: Omega-Elvesier.
FISHER, Ronald Aylmer (1936). The use of multiple measurements in taxonomic problems. En: Annals of Eugenics No 7. London: Reproduced with permission of Cambridge University Press.
FRIEDMAN, Jerome (1977). A recursive partitioning decision rule for nonparametric classi cation. En: IEEE Transaction on Computers No 26. Washington, DC: Institute of Electrical and Electronics Engineers.
GIESECKE, Kay. Credit risk modeling and valuation: an introduction. Disponible en Internet: http://web.stanford.edu/dept/MSandE/cgi-bin/people/faculty/giesecke/pdfs/ introduction.pdf. Consultado: 30.11.2013.
GLOVER, Fred, KEENE, Sam y DUEA, Bob (1988). A new class of models for the discriminant problem. En: Decision Sciences No 19. Houston: The Decision Sciences Institute.
HAND, David y HENLEY, W ( 1997). Statistical classi cation methods in consumer credit scoring: A review. En: Journal of the Royal Statistical Society, Series A No 3. Londres: Statistics in Society.
HAND, David. (1981). Discrimination and classi cation. Chichester: Wiley.
INSTITUTO NACIONAL DE ESTADÍSTICA Y GEOGRAFÍA (INEGI). Banco de Banco de Información Económica (BIE). http://www.inegi.org.mx/sistemas/bie . Consultado el 25 de agosto del 2014.
INSTITUTO NACIONAL DE ESTADÍSTICA Y GEOGRAFÍA, (2014). La informalidad laboral: Encuesta Nacional de Ocupación y Empleo: marco conceptual y metodológico. México: INEGI.
KIM, Jumo. A credit risk model for agricultural loan portfolios under the new basel capital accord. Disponible en Internet: http://www.researchgate.net/publication/26898763_A_credit_risk_model_for_ agricultural_loan_portfolios_under_the_new_Basel_Capital_Accord. Consultado: 20.01.2014.
KOLESAR, Peter y SHOWERS, Janet (1985). A robust credit screening model using categorical data. En: Management Science No 31. Catonsville (MD-EUA): Institute for Operations Research and the Management Sciences - INFORMS .
KULKOSKY, Edgar. (1996). Credit scoring could have a downside, experts say. En: American Banker No 208. New York, NY.
LAM, Kim Fung, CHOO, Eng Ung. y MOY, Jane W. (1996). Minimizing deviations from the group mean: A new linear programming approach for the two-group classi cation problem. En: European Journal of Operational Research No 88. Rotterdam: Elvesier.
LAWRENCE, Edward y ARSHADI, Nasser (1995). A multinomial logit analysis of problem loan resolution choices in banking. En: Journal of Money, Credit and Banking No 1. Columbus (OH-EUA): Ohio State University Press.
LEE, Tian-Shyug, CHIU, Chih-Chou, LU, Chi-Jie y CHEN, I-Fei (2002). Credit scoring using the hybrid neural discriminant technique. En: Expert Systems with Applications No 23. Rotterdam: Elvesier.
MADRIGAL ESPINOZA, Sergio David y GARZA MORALES, Rodolfo. Un modelo de espacio de estados para el método multiplicativo de holt-winters con múltiple estacionalidad. Tesis de Maestria. Monterrey: Universidad Autónoma de Nuevo León, 2006.
MAKOWSKI, Paul (1985). Credit scoring branches out: decision tree-recent technology. En: Credit World No 1. Minneapolis (MN-EUA): International Credit Association.
MYERS, James y FORGY, Edward (1963). The Development of numerical credit evaluation systems. En: Journal of American Statistical Association No 303. Alexandria (VA-EUA): American Statistical Association.
ORGLER, Yair (1970). A credit scoring model for commercial loans. En: Journal of Money, Credit & Banking No 4. Columbus (OH-EUA): Ohio State University Press.
PALMA, C. (2011). ¿Cómo construir una matriz de riesgo operativo? En: Ciencias Económicas. Vol. 29, No 1. San José: Facultad de Ciencias Económicas de la Universidad de Costa Rica.
PRODESARROLLO (2014). Benchmarking de las micro nanzas en México 2013-2014: Un informe del sector. Disponible en Internet: http://www.prodesarrollo.org/sites/default/files/documentos/benchmarking/ BENCH%20MINIlow2.pdf. Consultado: 20.10.2014.
PLOTNICKI, Bruno (2005). Modelo de comportamiento y predicción de incumplimiento crediticio: el caso de empresas pyme en argentina. En: Temas de Management No 3. Buenos Aires: Centro de Investigaciones en Management, Entrepreneurship e Inversión (CIMEeI).
RIPLEY, Brian (1994). Neural networks and related methods for classi cation. En: Journal of the Royal Statistical Society, Series B No 3. Londres: Statistics in Society.
SCHREINER, Mark . A scoring model of the risk of costly arrears at a micro nance lender in Bolivia. Disponible en Internet: http://info.worldbank.org/etools/docs/library/128753/scoring%20model%20 costly%20arrears%20bolivia.pdf Consultado: 30.05.2013.
SCHREINER, Mark. Credit scoring for micro nance: Can it work? Disponible en Internet: http://www.microfinance.com/English/Papers/Scoring_Can_It_Work.pdf Consultado: 30.05.213.
SHOWERS, Janet y CHAKRIN, Luis (1981). Reducing uncollectible revenue from residential telephone customers. En: Interfaces No 6. Catonsville, Maryland: Informs.
STEENACKERS, A. y GOOVAERTS, Matk (1989). A credit scoring model for personal loans. En: Insurance: Mathematics and Economics No 8. Laussana: Elvesier.
TAYLOR, James (2003) Exponential smoothing with a damped multiplicative trend. En: International Journal of Forecasting No 19. Rotterdam: Elvesier.
TSAIH, Ray, LIU, Yu-Jane y LIEN, Yu-Ling (2004). Credit scoring system for small loans. En: Decision Support System No 38. Storrs (CO-EUA): Elsevier.
VENEGAS MARTÍNEZ, Francisco (2007), Riesgos Financieros y Económicos, Editorial Thomson 2ª.
VIGANÒ, Laura (1993). A credit-scoring model for development banks: An African case study. En: Savings and Development No 38. Bergamo: Research Center on International Cooperation of the University of Bergamo.
WIGINTON, John (1980). A note on the comparison of logit and discriminant models of consumer credit behavior. En: Journal of Financial and Quantitative Analysis No 3. Cambridge: Cambridge University Press.
WINTERS, Peter (1960). Forecasting sales by exponentially weighted moving averages. En: Management Science No 3. Catonsville (MD-EUA): Institute for Operations Research and the Management Sciences- Informs .
YANG, Yihan., NIE, Guangli Nie y ZHANG, Lingling (2005). Retail exposures credit scoring models for chinese commercial banks. En ALLEN, Gabrielle et. al. (2009) Computational Science ICCS 2009. Berlin: Springer.
Downloads
Publicado
Como Citar
Edição
Seção
Licença
