Um modelo de previsão de solvência utilizando regressão logística

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DOI: https://doi.org/10.1590/S1415-65552002000300007
Keywords:
banking, credit, logistic regression

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João Alberto Minussi
Pontifícia Universidade Católica do Rio de Janeiro
Cláudio Damacena
Universidade de Córdoba
Walter Lee Ness Jr.
Massachusetts Institute of Technology

Abstract

The process of entry of foreign banks in the Brazilian financial system, together with the achievement of monetary stability, are requiring changes in the profile of action of Brazilian banks, especially in the area of credit. In this sense, this article represents an important contribution in testing a new technique (logistic regression) in evaluating credit risk. The statistical technique used shows itself more robust than other methods that have been used in previous studies of this nature. Additionally, characteristics of the sample used (size, profile, and source) differentiate this study from others. 323 clients from the industrial sector of a financial institution were used. Through the application of the statistical technique known as logistic regression, an econometric model of solvency prediction was developed that includes five variables. The precision of the model was relatively high, in that 94.85% of the sample was classified correctly. The validation of the model was performed by the method known as cross-validation, dividing the original sample in two: one part for constructing the model and the other for validating the model.

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How to Cite
Minussi, J. A., Damacena, C., & Ness Jr., W. L. (1). Um modelo de previsão de solvência utilizando regressão logística. Journal of Contemporary Administration, 6(3), 109-128. https://doi.org/10.1590/S1415-65552002000300007
Issue
Vol. 6 No. 3 (2002): Sep/Dec - 2002
Section
Articles

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Author Biographies

João Alberto Minussi, Pontifícia Universidade Católica do Rio de Janeiro

Mestre em Administração pela Pontifícia Universidade Católica do Rio de Janeiro em convênio com a Universidade do Vale do Rio dos Sinos. Professor do Curso de Administração da Universidade do Vale do Rio dos Sinos. Suas áreas de interesse em pesquisa são risco de crédito, mercado financeiro internacional.

Cláudio Damacena, Universidade de Córdoba

Doutor em Ciências Econômicas e Empresariais pela Universidade de Córdoba, Espanha. Professor do Mestrado em Administração e em Ciências Contábeis da Universidade do Vale do Rio dos Sinos. Suas áreas de interesse em pesquisa são marketing, métodos quantitativos.

Walter Lee Ness Jr., Massachusetts Institute of Technology

Doutor em Administração pelo Massachusetts Institute of Technology, USA. Professor Associado de Administração da Pontifícia Universidade Católica do Rio de Janeiro. Suas áreas de interesse em pesquisa são mercado de capitais, instituições financeiras.