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

Author

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  • Antonio Carlos Magalhães da Silva
  • Arnildo da Silva Correa
  • Jaqueline Terra Moura Marins
  • Myrian Beatriz Eiras das Neves

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.

Suggested Citation

  • Antonio Carlos Magalhães da Silva & Arnildo da Silva Correa & Jaqueline Terra Moura Marins & Myrian Beatriz Eiras das Neves, 2010. "Correlação de Default: uma Investigação Empírica de Créditos de Varejo no Brasil," Working Papers Series 208, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:208
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps208.pdf
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