Abstract
Considering the latest financial crises and because of the increasingly importance of credit risk management to economic actors and academics, this research aims to identify the conditioning factors of non-performing loans and credit recovery of a development bank portfolio. We analyzed data of 20.241 loans granted to micro and small enterprises between November 2009 and November 2014. To achieve the research goals, non-performing loan and loan recovery models were estimated by logistic regression. The results point out the significant effects on determining non-performing loans and/or credit recovery of (i) individual characteristics, such as firm’s age, (ii) loan characteristics, like the financial product and the installment payment period, and (iii) lending relationship, such as the number of years of relationship with the development bank. Contrary to the arguments of part of the literature, the results do not suggest any reverse relation between non-performing loans and credit recovery explanatory variables, which could enhance the loss from credit risk misspecification.
Highlights
O desenvolvimento da economia nacional se reflete na expansão da demanda por fatores de produção, como mão de obra, matéria-prima, tecnologia e capital
Verificou-se, inclusive pelo melhor balanceamento da base amostral (40% de créditos recuperados / 60% de créditos não recuperados), um acerto na classificação de recuperação de crédito de 61,43%, um acerto na classificação de não recuperação de 93,70% e um desempenho global de 82,23%
Tese de Doutorado em Economia, Universidade Federal do Rio de Janeiro - UFRJ, 156 p
Summary
1- Macrorregião[1] (região da capital)† 2- Macrorregião2 3- Macrorregião3 [...] 10 - Macrorregião[10]. POSITIVA↑: 3 – Serviços> 1 – Comércio> 2 – Indústria POSITIVA↑: Regiões de baixo grau de desenv. Sócio-econômico > Regiões de alto grau de desenv. NEGATIVA↓: Regiões de baixo grau de desenv.
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: BASE - Revista de Administração e Contabilidade da Unisinos
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
