Modelo de mensuração da rentabilidade do crédito comercial baseado no RAROC e na TOC

Abstract

The evaluation for credit opening, mainly in commercial enterprises, is traditionally based on the client s credit risk and on his/her business structure and/or potential. The profitability that the use of the limit may provide, and consequently the maximization of shareholders wealth are not taken into account. The main aim of this dissertation is to present a measuring model of the profitability of credit opening adjusted to the credit risk for commercial companies. The theoretical basis used was the profitability concept discussed at Theory of Construction (TOC), in which the gain is defined as the index by which the system generates money through sales. For TOC it is of the utmost importance for the company to constantly generate money. The RAROC model was also used to measure performance; the objective is to calculate the return of capital adjusted to the risk, in being this, credit risk, operational risk or market risk. For a better understanding of the proposed model, a practical application was carried out in a commercial company from the wholesaler-distributor sector. The results show that credit opening cannot always be given to the client even if he/she is classified as low risk. This is because when we calculate the profitability of the credit opening of the client adjusted to his/her credit risk, even if the client is classified in a low risk level, its profitability could be low or negative, making the investment made by the company on the client unfeasible. Taking this into account, the decision making process in commercial companies which take into consideration only the credit risk and the size of the client to estipulate the credit limit may lead to mistaken decisions which instead of increasing shareholders wealth, decrease the company s gain, and consequently the owners wealth.