Master's - Mudanças geradas pela IFRS 9 e operacionalização do provisionamento de perdas de crédito esperadas
Class: 217, FEA-5
Adviser: Prof. Dr. Luiz Paulo Lopes Fávero
Comission: Profs. Drs. Luiz Nelson Guedes de Carvalho, Alexandre de Oliveira e Fernando Chiqueto da Silva
Financial instruments are directly exposed to the risk of default - in this scenario, financial institutions, in order to maintain their solvency, are obliged to estimate a certain amount capable of supplying the expected credit losses. In the global financial crisis of 2007-2008, defaults on real estate contracts generated large losses of credit, for which banks did not have sufficient amounts provisioned, generating billionaire losses in large US banks. The late recognition of these credit losses created a scenario of insecurity and the questioning by financial institutions, which started to charge regulators and issuers of accounting standards a form of provision that best suited the credit market and that, to a certain extent, provide better preparedness for financial institutions, minimizing losses in times of crisis. In this context, the Financial Instruments International Financial Reporting Standards (IFRS 9) will be issued, which will become effective, with mandatory adoption as of January 1, 2018. This provision provides for a provisioning from the beginning of the contract, weighted by the associated credit risk and a revision of that amount over the life of the contract, when necessary. This new dynamics of calculation requires specific statistical treatments so that the probability of default, as well as the exposed values of loss and its variations in time, are correctly treated. In this way, considering the proposed objectives, it is indicated that: a) this work addressed the new dynamics mentioned in order to understand the relation of the standard with the necessary risk parameters for the calculation of the amount to be provisioned, b) aiming to satisfy the forward-looking approach and the incorporation of macroeconomic information, from the application in simulated data and through the statistical treatment of Survival Analysis and stress testing models, offered treatment for the parameters EAD and PD, respectively, and c) as a result of these applications, it was observed that the estimates of the losses under IFRS9 are more uniform in time, when compared to the current norm.
*Abstract provided by the author