Cálculo da probabilidade de descumprimento para adequação das instituições financeiras ao novo acordo de capital 2004 - Basiléia II
AUTOR(ES)
Eduardo Borges da Silva
DATA DE PUBLICAÇÃO
2010
RESUMO
The objective of this work is to develop a system of risk rating for business loans for wholesale and medium and small enterprises (MSE) and do calculate the probability of default according to the new requirements of the new capital accord "International Convergence of Capital Measurement and Capital Standards: A Revised Framework" denominated as Basel II, to be established in Brazil by the central Bank of Brazil. We use a new and original dataset, from a large Brazilian financial institution, and elaborate a rating system using the entry grades of clients and their behavior over time. We find the default probabilities for different periods and different clusters for a 12-months horizon, as required by the new accord.
ASSUNTO(S)
relative risk novo acordo basiléia ii probabilidade de descumprimento (pd) default probability economia risco relativo rating rating new accord basel ii
ACESSO AO ARTIGO
http://www.bdtd.ucb.br/tede/tde_busca/arquivo.php?codArquivo=1279Documentos Relacionados
- Basle Accord: a study of capital adequacy in Brazilian banks
- Desafios do novo acordo de Basiléia para o gerenciamento do risco operacional de instituições financeiras
- O impacto do acordo da Basiléia sobre instituições financeiras brasileiras
- Evolução do acordo da Basiléia e a implementação em instituições financeiras no Brasil
- OPTIMIZATION AND PLANNING THE ALLOCATION OF CAPITAL CONSIDERING THE REQUIREMENTS OF FINANCIAL INSTITUTIONS AGREEMENT FOR BASEL II CREDIT RISK.