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Optimization tool for credit risk in financial institutions and non- financial corporations using Monte Carlo simulation

Grant number: 14/21474-3
Support type:Research Grants - Innovative Research in Small Business - PIPE
Duration: July 01, 2015 - March 31, 2016
Field of knowledge:Physical Sciences and Mathematics - Mathematics
Principal Investigator:João Luiz Chela
Grantee:João Luiz Chela
Company:João Luiz Chela - ME
City: São José dos Campos

Abstract

In recent years, the financial industry in Brazil and the world has been modernizing considering the use of more robust and sophisticates when making strategic decisions mathematical techniques. A common strategic decision in financial institutions is the optimal allocation of financial assets. In general, this problem is to allocate an amount of these assets in different investment options available, so that, given an expected return, minimize the risk of the investment portfolio. In this case, the main types of financial risks that prevail in an investment portfolio are market risk and credit risk. The objective of this project is to propose the development of a tool (software) for the optimization of credit risk in financial institutions and nonfinancial using Monte Carlo simulation (AU)