Cálculo da probabilidade de descumprimento para adequação das instituições financeiras ao novo acordo de capital 2004 - Basiléia II

AUTOR(ES)
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

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