Spatial dependence in credit risk

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dc.contributor.authorRINALDO ARTES
dc.contributor.authorFernandes, Guilherme Barreto
dc.coverage.cidadeSão Carlospt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorFernandes, Guilherme Barreto
dc.date.accessioned2022-08-15T15:13:27Z
dc.date.available2022-08-15T15:13:27Z
dc.date.issued2017
dc.description.notesEvidênciapt_BR
dc.description.otherCredit scoring models are important tools in the credit granting process. These models measure the credit risk of a prospective client based on idiosyncratic variables and macroeconomic factors. However, small and medium sized enterprises (SMEs) are subject to the effects of the local economy. From a data set with the localization and default information of 9 million Brazilian SMEs, provided by Serasa Experian (the largest Brazilian credit bureau), we propose a measure of the local risk of default based on the application of ordinary kriging. This variable has been included in logistic credit scoring models as an explanatory variable. These models have shown better performance when compared to models without this variable. A gain around 7 percentage points of KS and Gini was observed.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/3993
dc.language.isoInglêspt_BR
dc.publisherAssociação Brasileira de Estatistica - ABEpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsRisk analysispt_BR
dc.subject.keywordsSpatial dependencept_BR
dc.subject.keywordsSME credit riskpt_BR
dc.subject.keywordsOrdinary krigingpt_BR
dc.subject.keywordscredit scoringpt_BR
dc.titleSpatial dependence in credit riskpt_BR
dc.typeconference paper
dspace.entity.typePublication
local.description.eventXVII ESTE - Escola de Séries Temporais e Econometriapt_BR
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeTrabalho de Eventopt_BR
relation.isAuthorOfPublication8b791c94-f3e5-4e04-af26-594195a8f576
relation.isAuthorOfPublication.latestForDiscovery8b791c94-f3e5-4e04-af26-594195a8f576
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