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Sistema de classificação de risco de crédito: uma aplicação a companhias abertas no Brasil; Credit rating system: an application to public companies in Brazil

BRITO, Giovani Antonio Silva; ASSAF NETO, Alexandre; CORRAR, Luiz João
Fonte: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária Publicador: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
68.740117%
O artigo examina se eventos de default de companhias abertas no Brasil são previstos por um sistema de classificação de risco de crédito baseado em índices contábeis. O sistema de classificação proposto neste estudo utiliza a análise de conglomerados para classificar as empresas em oito classes de risco, das quais sete são destinadas a empresas solventes e uma para empresas insolventes (em default). A variável utilizada para atribuir as classificações de risco às empresas é a probabilidade de default estimada pelo modelo de risco de crédito desenvolvido por Brito e Assaf Neto (2008). O sistema de classificação de risco atribui ratings anuais para as companhias abertas não financeiras listadas na BM&FBOVESPA no período de 1994 a 2006. Com base nesses ratings, são geradas diversas matrizes de migração de risco para o período analisado. As matrizes de migração evidenciam a elevação do risco das empresas insolventes previamente ao ano de ocorrência do default. A maioria dessas empresas é classificada nas piores classes de risco ou apresenta migrações para ratings inferiores nos anos que precedem o default. Além disso, as taxas de mortalidade das empresas são crescentes nas classes de risco do sistema. Esses resultados evidenciam que insolvências empresariais podem ser previstas por sistemas de classificação de risco baseados...

Estudo de anomalias em modelos de formação de preços e o efeito sobre as empresas de diferentes classificações de risco; A study of asset pricing anomalies and the effect over companies of different credit ratings

Martins, Clarice Carneiro
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 03/09/2014 Português
Relevância na Pesquisa
58.63445%
Este trabalho procura aprofundar o estudo de anomalias ao CAPM no mercado acionário brasileiro e explorar as relações destas anomalias com a característica dificuldade financeira, a qual é representada pela classificação de risco das empresas, usando estratégias de compra e venda a descoberto baseadas nas anomalias. As anomalias estudadas serão o efeito de momento, momento nos lucros, a volatilidade idiossincrática, o crescimento dos ativos, o investimento em capital e o efeito contrário. Nosso objetivo é examinar o impacto da característica dificuldade financeira sobre o retorno esperado das ações de empresas do grupo de menor classificação de risco. Para cumprir nosso objetivo, inicialmente usamos todas as ações da Bolsa de Valores de São Paulo (Bovespa) para comparar estas com a amostra de empresas que possuem classificação de crédito de longo prazo. O período estudado é de Janeiro de 2000 a Dezembro de 2012. Os métodos usados foram baseados em ordenação de carteiras e regressões univariadas e multivariadas de corte transversal. Encontramos algumas evidências de que empresas com classificação de crédito sugerem retornos anormais diferentes daqueles da amostra de todas as empresas. Este resultado foi significante...

How credit rating agencies influence the stock markets : event study

Branco, João Belo
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2012 Português
Relevância na Pesquisa
58.573267%
Master thesis in fulfilment of MSc. in Finance / JEL: G14, G11; This study attempts to find whether rating agencies still have an impact on the stock market after the subprime crisis of 2008. I examine the abnormal returns surrounding the rating changes and outlooks, on the firms present in Standard & Poor’s 500 stock Index. The analysis goes partially along with previous literature. Initial rating opinions (outlooks) have much more impact than credit ratings, being clear a dominance of downside information significance over the upside one. Also in line with previous findings, Moody’s is the rating agency with the biggest impact on the American stock market, followed by Standard and Poor’s, leaving Fitch almost irrelevant. In addition, this study points out that rating agencies do not have such big impact on markets like before the 2008 crises, nonetheless they still influence a part of investors when taking their investment decisions otherwise no reaction would be noticed in the stocks’ abnormal returns. I analyze as well if it is possible to have continuous gains when investing upon credit rating announcements in the medium term and conclude that upon diversification an investing strategy can be used when one successfully predicts the rating change. However for outlooks our analysis is not conclusive.; Este estudo tem como objectivo concluir se as agências de rating de crédito ainda têm um impacto significativo sobre o mercado de acções depois da crise do subprime de 2008. Para tal...

Do credit rating notations affect U.S. commercial banks’ leverage levels? new findings on the effects of the financial crisis

Alvarenga, Helena Pereira
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2013 Português
Relevância na Pesquisa
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Master Dissertation in Finance / JEL Classification: C13, G21, G01; This paper analyses the link between U.S. commercial banks leverage (both market leverage and book leverage) and their credit rating changes by extending previous results from corporate firms to banks. We found evidence that the credit rating notation variable also explains leverage levels fluctuations in the banking sector as it does for the corporate sector. The results obtained demonstrate that U.S. commercial banks reduce their leverage following credit rating downgrades and augment it after upgrades. These adjustments of the leverage levels have higher statistical significance when we test them for the financial crisis period, where the credit rating variable significance increases. Moreover, we show that the speed of adjustment for U.S. commercial banks is faster during the crisis turmoil period (2008 to 2011) rather than in normal economic conditions (2004 to 2007), and also that the adjustment speed increased by 50% after the crisis (from 40% to 61%) and is statistically significant. As far as we acknowledge, these results are new findings that could open up new avenues of research for this literature, either with banks or corporate firms.; Este trabalho analisa a relação entre o grau de alavancagem de bancos comerciais dos E.U.A. (tanto o grau de alavancagem com valores de mercado como o grau de alavancagem com valores contabilísticos) e as alterações ao nível da notação de risco (credit rating) expandido estudos anteriores relativos a empresas para bancos. Com este estudo...

Essays on credit rating announcements

Carvalho, Paulo Viegas de
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Tese de Doutorado
Publicado em //2014 Português
Relevância na Pesquisa
58.7308%
Thesis presented in partial fulfillment of the requirements for the degree of Doctor in Finance / JEL classification: D83; G24; This thesis is composed of three separate research papers on credit rating announcements. The first paper, in Chapter 1, addresses the effects of rating announcements issued by Fitch, Moody’s and S&P on the idiosyncratic volatility of a firm’s stock return. Such measure of volatility is quantified both in absolute terms and relative to total firm’s volatility, and the results obtained are in general consistent. The paper documents significant increases in volatility after downgrades, especially multi-agency downgrades, whereas no effect of upgrades is evident. Effects are largest for small and low rated firms. Volatility effects of S&P ratings downgrades are larger than those of other ratings agencies, implying that investors’ reactions depend not only on the type of announcements, but also on the agency making the announcement. The second paper, in Chapter 2, reports systematic evidence on some unintended effects of rating downgrades on future credit defaults. Based on complementary causality methodologies and using an extensive database of long-term corporate obligation ratings issued by Moody’s...

Credit risk of financial institutions

Martins, Joana Sofia Luís
Fonte: NSBE - UNL Publicador: NSBE - UNL
Tipo: Dissertação de Mestrado
Publicado em /01/2014 Português
Relevância na Pesquisa
58.42391%
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics; Although there is substantial literature on credit risk, studies often do not consider financial institutions. However, considering that several entities are exposed to these institutions, namely through the counterparty role that they play, it is of major relevance the accurate assessment of its credit risk. As such, this study aims at analysing three different models to measure credit risk of financial institutions and conclude which one best predicts credit rating downgrades. The three models studied comprise a credit scoring model; a naïve approach of the Merton (1974) Model; and CDS spreads. The results show that all three models are statistically significant to predict credit rating downgrades of financial institutions, though the latter two prove to better and more timely anticipate downgrades than the credit scoring model.

Subnational Credit Ratings : A Comparative Review

Liu, Lili; Tan, Kim Song
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
48.85551%
This paper surveys methodological issues in subnational credit ratings and highlights key challenges for developing countries. Subnational borrowing from capital markets has been on the rise owing to fiscal decentralization and demand for infrastructure investments. A prerequisite for accessing capital markets, subnational credit ratings have also emerged as a part of broader reform for fiscal sustainability. They facilitate a more transparent budgetary and financial management system. The global financial crisis makes subnational credit ratings more relevant, as they contribute to fiscal risk evaluations and fiscal adjustment. In addition to subnationals own credit strength, the creditworthiness of the sovereign and the intergovernmental fiscal system are among the most critical rating criteria. Implicit and contingent liabilities are integral to the rating process. Indirect debt instruments including off-balance-sheet financing create fiscal risks. The ongoing financial crisis has reinforced the rating focus on the management of liquidity...

Credit Rating Agencies

Katz, Jonathan; Salinas, Emanuel; Stephanou, Constantinos
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
68.752383%
In the United States and Europe faulty credit ratings and flawed rating processes are widely perceived as being among the key contributors to the global financial crisis. That has brought them under intense scrutiny and led to proposals for radical reforms. The ongoing debate, while centered in major developed markets, will also influence policy choices in emerging economies: whether to focus on strengthening the reliability of ratings or on creating alternative mechanisms and institutions that can perform more effectively the role that in developed markets has traditionally been conferred on credit rating agencies.

Credit Rating Agencies in Emerging Democracies : Guardians of Fiscal Discipline?

Hanusch, Marek; Vaaler, Paul M.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
68.84679%
Credit rating agencies have drawn criticism for failing to anticipate and deter root causes of the 2008-2009 financial crisis in the United States. However, this paper presents evidence that credit rating agencies regularly anticipate and deter governments in emerging democracies from opportunistic borrowing and potential financial crises related to elections and the political budget cycle behavior they encourage. The paper considers a sample of 18 such countries holding 32 presidential elections from 1989 to 2004. The analysis shows that credit rating agencies induced greater fiscal discipline during election periods when governments had incentives to borrow opportunistically for short-term electoral gain. Countries with higher credit rating agency sovereign ratings borrowed less than lower-rated countries in election periods, but borrowed more in non-election periods. Credit rating agencies promoted fiscal discipline during increasingly frequent election periods in emerging democracies.

Financing Urban Water Services in Kenya : Utility Shadow Credit Ratings

Kimani, Angela; Advani, Rajesh; Sy, Jemima
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
48.80362%
The Water Services Regulatory Board (WASREB), with support from the Water and Sanitation Program, is exploring the potential for urban water services providers (WSPs) to access medium-term finance from commercial lenders. The debt will be used to finance infrastructure investment to improve access to water services by Kenyans. This paper presents the results of a credit assessment and shadow rating exercise for 43 urban WSPs. The objective of the credit assessment is to provide borrowers and lenders with an overview of the creditworthiness of WSPs to support access to local currency finance from the domestic financial market. It gives an overview of the credit capacity of water utilities, provides utilities with a diagnostic to identify areas for improvement, and exposes financial institutions to potential lending opportunities in the water sector. Commercial finance in water is seen as a supplementary resource to public finance, which remains the predominant source of investment funds in the sector.

Facilitating SME Financing through Improved Credit Reporting

International Committee on Credit Reporting
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Relatório
Português
Relevância na Pesquisa
58.40816%
The general principles for credit reporting were issued by the World Bank in September 2011. Since then, the World Bank and the international committee on credit reporting (ICCR) have been leading efforts towards the implementation of the general principles worldwide. This report is one of the concrete outputs of the work following the general principles. It addresses one of the most significant problems that limit the ability of most small and medium enterprises (SMEs) around the world to obtain adequate external financing to underpin their productive activities: information asymmetries. Creditors assess the creditworthiness of credit and loan applicants based on two basic criteria: ones financial capacity or ability to repay a loan, and ones willingness to repay the loan. A credit reporting system s (CRS) basic objective is to address information asymmetries, which is crucial for determining repayment capacity and repayment willingness. Credit reporting can therefore be extremely valuable to creditors for enhanced...

Credit Ratings and Fiscal Responsibility

Hanusch, Marek; Vaaler, Paul
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
58.6029%
The authors build on the findings from an earlier analysis, adding to the evidence base for the notion that credit rating agencies contribute to fiscal sustainability. To do so, the authors focus on election periods when political pressures for fiscal expansions are heightened. The literature on political budget cycles documents the tendency for budget deficits to increase in election years as governments attempt to appear economically competent by strategically providing additional publicly financed goods or services, or by cutting taxes. A rating downgrade, however, signals the opposite of competence as it implies an increase in the probability of sovereign default. Since credit ratings are widely observed - by financial markets as well as voters - they in effect serve as a disciplining device for fiscal policy not to submit to short-term spending pressures, thus keeping it responsible. The authors find that: (1) governments going into an election year immediately after a rating downgrade are 27 percentage points more likely to lose at the polls; and (2) governments going into an election year with a negative rating outlook (indicating a higher likelihood of a near-term downgrade) run smaller budget deficits compared to cases with positive or stable outlooks. Ratings act like fiscal rules disciplining governments when they are more vulnerable to political pressures on the budget - as opposed to fiscal policies supporting longer-term economic growth and development objectives.

Moody’s credit ratings and the stock market performance of Portuguese rated firms.

Pacheco, Luís Miguel
Fonte: Universidade Portucalense Publicador: Universidade Portucalense
Tipo: Artigo de Revista Científica
Publicado em //2012 Português
Relevância na Pesquisa
58.36278%
Never has the issue of sovereign credit ratings attracted such an interest by policy and opinion makers, bankers and journalists, or even the public opinion, as witnessed in the last couple of years. In spit e of being accused of contributing to the instability of financial markets, credit rating agencies undoubtedly have a role in financial markets, affecting its performance and guiding investors’ decisions. This paper analyzes the impact of the changes annou nced in Moody’s ratings over the performance of a set of rated firms quoted in the Portuguese stock market. Following an event study methodology, we collect ratings and outlook announcements by that major credit agency over the period 2006 - 2011. We find a significant response of share prices to changes in ratings, with that response anticipating the announcement. We think that could be explained by previous sovereign rating changes or to the contagion effects of a bearish market. When analyzing the period a fter January 2010, we observe a stronger reaction to announcements, which has understandably given the greater influence and market sensitivity to rating agencies

Public Credit Registries as a Tool for Bank Regulation and Supervision

Girault, Matias Gutierrez; Hwang, Jane
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
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This paper is about the importance of the information in Public Credit Registries (PCRs) for supporting and improving banking sector regulation and supervision, particularly in the light of the new approach embodied in Basel III. Against the backdrop of the financial crisis and the existence of information data gaps, the importance of complete, accurate and timely credit information in the financial system is evident. Both in normal times and during crises, authorities need a device that allows them to look at the universe of credits in a detailed and readily way. And more importantly, they need to develop tools that exploit as much as possible the information therein contained. PCR databases contain individual credit information on borrowers and their credits which makes it possible to implement advanced techniques that measure banks' credit risk exposure. It allows optimizing the prudential regulation ensuring that provisioning and capital requirements are properly calibrated to cover expected and unexpected losses respectively. It also permits validating banks' internal rating systems...

Credit rating changes and their impact on equity prices : how much should Banks care?

Ferro, Ana Alexandra Velez Mão de
Fonte: Universidade Católica Portuguesa Publicador: Universidade Católica Portuguesa
Tipo: Dissertação de Mestrado
Publicado em 21/05/2013 Português
Relevância na Pesquisa
68.581294%
This dissertation investigates the existence of abnormal returns in a sample of 48 banks following credit rating changes done by S&P to those banks and to their sovereigns – a total of 10 countries – between 2008 and 2012. We analyse three types of effects: first, bank rating changes’ impact on its own stock price; second, sovereign rating downgrades’ impact on banks’ stock prices (national and foreign); third, bank rating downgrades’ impact on non-downgraded banks’ equity prices. The impacts are seldom significant: a departure from existing literature that may result from the usage of a test statistic robust to cross-correlation and event-induced volatility effects, or from time series differences.; Cette étude concerne l’effet que les changements de notes donnés par S&P ont dans un échantillon de 48 banques et ses souverains (10 pays), entre 2008 et 2012. On explore trois effets: d'abord les changements de notes d'une banque ont dans le prix de son action; les abaissements de note souveraine ont dans les prix des actions des banques nationales et étrangères; troisièmement les abaissements de note d’une banque ont dans des autres banques qui n’ont pas eu abaissés. Les résultats sont rarement significatifs: une différence comparativement à d'autres études qui peut découler de l’utilisation d’une statistique de test robuste en corrélation entre les actions et la variance résultants de l’évènement...

Técnicas de rating em contexto de crise no setor bancário português

Lino, Ana Raquel Ferreira
Fonte: Instituto Politécnico do Porto. Instituto Superior de Contabilidade e Administração do Porto Publicador: Instituto Politécnico do Porto. Instituto Superior de Contabilidade e Administração do Porto
Tipo: Dissertação de Mestrado
Publicado em //2013 Português
Relevância na Pesquisa
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Dissertação para a obtenção do Grau de Mestre em Contabilidade e Finanças Orientador: Mestre Adalmiro Álvaro Malheiro de Castro Andrade Pereira; Durante a década de 1930 as agências de notação de risco, também conhecidas como agências de rating, passaram a assumir um papel fundamental na supervisão regulamentar do risco de crédito. Na origem desta mudança, considera-se que reside o choque económico provocado pela Grande Depressão. Devido ao crescimento da importância da atividade creditícia no mercado, o risco associado às operações financeiras passou a merecer um maior interesse. Consequentemente, as agências que ditam as notações de risco, passaram a ter uma maior procura. Para grande parte das instituições financeiras, a relação entre o risco de crédito, as garantias e o custo de capital são parte fundamental na elaboração da sua política de afetação de recursos e proteção de perdas. A crescente regulação financeira exigida pelas entidades competentes, condiciona cada vez mais a quantidade e a qualidade do risco de crédito presente nos balanços das instituições financeiras. Através do cálculo de rácios apropriados sugeridos pelas mesmas entidades reguladoras, é estipulado, para cada operação de crédito...

¿Is Credit Risk Rating an Inference in a Situation of Uncertainty?; ¿La calificación de riesgo crediticio es una inferencia en situación de incertidumbre?

Mendive Dubourdieu, Andrés; Universidad de la República, Uruguay
Fonte: Pontificia Universidad Javeriana Cali Publicador: Pontificia Universidad Javeriana Cali
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artículo Formato: application/pdf; application/pdf
Português
Relevância na Pesquisa
58.4245%
Trusted third parties are entities that, in exchange for a fee, provide information related to business decisions. It is necessary to determine the conditions under which judges can condemn a trusted third party for the damage suffered by a person that acted on the basis of the credit rating, discounting a fraudulent action or moral hazard. Is it possible to punish a rating that is an inference made in a situation of uncertainty? This article considers different answers to this question, based on probability theory and other theoretical foundations.; Los terceros de confianza son entidades que, a cambio de una retribución, suministran información relacionada con decisiones de negocios. Es necesario determinar bajo qué condiciones los jueces pueden condenar a un tercero de confianza por los daños que sufrió una persona que obró con base en la calificación de crédito, descontando una actuación dolosa o una situación de riesgo moral. ¿Es posible reprochar un rating, en tanto constituye una inferencia en situación de incertidumbre? Este Artículo considera diferentes respuestas a esta pregunta, con base en la teoría de las probabilidades y otros fundamentos teóricos.

The determinants of credit rating: brazilian evidence

MurciaI,Flávia Cruz de Souza; Dal-Ri Murcia,Fernando; Rover,Suliani; Borba,José Alonso
Fonte: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração Publicador: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2014 Português
Relevância na Pesquisa
68.6029%
This study attempts to identify the determinant factors of credit rating in Brazil. The relevance of this proposal is based on the importance of the subject as well as the uniqueness of the Brazilian market. As for originality, the great majority of previous studies regarding credit rating have been developed in the US, UK and Australia; therefore the effect on other markets is still unclear, especially in emerging markets, like Brazil. We've used a Generalized Estimating Equations (GEE) model considering a panel structure with a categorical dependent variable (credit rating) and ten independent variables: leverage, profitability, size, financial coverage, growth, liquidity, corporate governance, control, financial market performance and internationalization. The sample consisted of 153 rating observations during the period of 1997-2011 for a total of 49 public firms operating in the Brazilian Market. Results showed that leverage and internationalization are significant at the 1% level in explaining credit rating. Performance in the financial market was significant at a 5% level; profitability and growth were also statistically significant, but at a 10% significance level.

The credit rating agencies, institutional strengths and methodological weaknesses : the banks' ratings case

Lozano Fernández, Jesús; Sánchez Vila, Ramón
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em //2015 Português
Relevância na Pesquisa
68.365957%
The role that the credit rating agencies have played during the last crisis put the focus on them. The aim of this work is to study their origin, their historic role and what arguments drove them to the institutional power they accumulate nowadays. But we want to go beyond that, because their performance during the crisis shown that, in spite of their institutional power and recognition, their methodology had failed. Along this thesis, we analyze this discordance between their role and their reliability.; “El paper que les agències de qualificació creditícia han jugat durant la darrera crisi les ha posat en el punt de mira. L'objectiu d'aquest treball es estudiar el seu origen, el seu paper històric i quins aspectes les han portat a tenir el poder institucional que enguany acumulen. Però volem anar més enllà d'això, donat que la seva actuació durant la crisi demostra que, tot i el seu poder institucional i reconeixement, la seva metodologia ha fallat. Al llarg d'aquesta tesi analitzem la discordança entre el seu rol i la seva fiabilitat.

Sistema de classificação de risco de crédito: uma aplicação a companhias abertas no Brasil; Credit rating system: an application to public companies in Brazil

Brito, Giovani Antonio Silva; Assaf Neto, Alexandre; Corrar, Luiz João
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/12/2009 Português
Relevância na Pesquisa
68.740117%
O artigo examina se eventos de default de companhias abertas no Brasil são previstos por um sistema de classificação de risco de crédito baseado em índices contábeis. O sistema de classificação proposto neste estudo utiliza a análise de conglomerados para classificar as empresas em oito classes de risco, das quais sete são destinadas a empresas solventes e uma para empresas insolventes (em default). A variável utilizada para atribuir as classificações de risco às empresas é a probabilidade de default estimada pelo modelo de risco de crédito desenvolvido por Brito e Assaf Neto (2008). O sistema de classificação de risco atribui ratings anuais para as companhias abertas não financeiras listadas na BM&FBOVESPA no período de 1994 a 2006. Com base nesses ratings, são geradas diversas matrizes de migração de risco para o período analisado. As matrizes de migração evidenciam a elevação do risco das empresas insolventes previamente ao ano de ocorrência do default. A maioria dessas empresas é classificada nas piores classes de risco ou apresenta migrações para ratings inferiores nos anos que precedem o default. Além disso, as taxas de mortalidade das empresas são crescentes nas classes de risco do sistema. Esses resultados evidenciam que insolvências empresariais podem ser previstas por sistemas de classificação de risco baseados...