Structuring of a rating system for the classification of risk of linking commercial real estate properties as guarantee for long-term credit operations

There is a steady trend for the long-term financing of financial institutions whose real guarantees of the credit operation are commercial real estate properties (CREP), such as shopping malls, hotels, hospitals, office buildings, among others. As a result, the valuation of CREP has become extremely relevant for financial agents, since it directly impacts the determination of the guarantee index (GI), an important indicator used by the creditor to assess the margin of safety of the financing agent in the event of default of the borrower. However, the reductionist analysis of the GI coupled with the current simplification promoted by banks to adopt CREP valuation criteria based on the cost or patrimonial value approach may lead to biased or inconsistent results, as well as creating a pseudo-protection of risk exposure, distorting the decision-making process and even nullifying the possibility of exploiting it for the benefit of gaining competitiveness and profitability. In view of this and in order to subsidize the banks in the analysis of the suitability of incorporating CREP into collateral, this thesis proposes the structuring of a rating system for the risk classification of linking CREP into collateral, in order to reflect the effective degree of coverage provided by the collateral before the credit operation. The rating system proposed here is based on two pillars: [i] in the arbitrage of the guarantee value, according to the concept of investment opportunity value and under the principle of value at risk, in which the arbitrated value of the CREP is associated with the ability to generate income from the property and has a degree of probability and risk and [ii] in the construction of the rating matrix, which constitutes the core of the rating system and involves the determination of the risk dimensions (and risk parameters) weighted by that matrix, so-called: [a] collateral sufficiency, [b] volatility of the guarantee value and [c] patrimonial coverage of the property. In this thesis, we demonstrated the application of the rating system from a reference prototype that considers the relationships found in the respective market segment and reproduces the configuration of a decisionmaking process that involves a financing operation backed by an office building. The results obtained showed that the rating system can help the management of credit risk by the banks, as it is the adequate tool to provide information, in a quick and efficient way, about the risk profile of linking CREP into collateral, adding the level of comfort necessary for such decision. The proposed rating system opens a new perspective for analyzing the risk of linking CREP into collateral and constitutes a consistent alternative to the use of the GI in long-term credit operations.