Clodoaldo Aparecido Annibal

Publications (2)0 Total impact

• Article: Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas

  Clodoaldo Aparecido Annibal
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  ABSTRACT: One of the main variables observed in the performance evaluation of banking credit is the index that measures the default rate. Different approaches are used, or were proposed, to perform the calculation of this index. However, the difficulty of defining default leads to the creation of different measures which sometimes fail to measure the stricto sense default. This paper aims to describe and analyze, using the Credit Information System of Central Bank of Brazil (SCR), among other sources, the behavior of three major default rates found in literature. The difference in the behavior of each index is observed using a system that seeks to simulate a portfolio of personal loans and using statistical techniques for analyzing time series of real data. The conclusion is that the most appropriate indicator to measure the default, in the stricto sense, is obtained based on the number of delayed operations.
  Central Bank of Brazil, Research Department, Working Papers Series. 01/2009;
• Article: O Poder Discriminante das Operações de Crédito das Instituições Financeiras Brasileiras

  Clodoaldo Aparecido Annibal
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  ABSTRACT: This study aimed to verify, between December 2005 and December 2006, the behavior of the credit rating systems of Brazilian Financial Institutions (FIs) regarding one of the main issues to be observed in the procedures for the credit rating system validation: the discriminant power of the system. The results showed that the credit rating system from the vast majority of the FIs surveyed, had discriminant power. The results also shown that there was no relationship between the FI control and the discriminant power, and neither between the discriminant power and the credit type operated by FI. However, it has been verified that there was a significant relationship between discriminant power and the FI size. The proportion of FIs of micro size, commonly credit union, whose systems hadn’t discriminant power was significantly greater than the expected value.
  Central Bank of Brazil, Research Department, Working Papers Series. 01/2008;