Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil

Detalhes bibliográficos
Autor(a) principal: Yanaka, Guilherme M.
Data de Publicação: 2009
Outros Autores: Brito, Márcio Holland de
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/2613
Resumo: With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the minimum capital requirement (and, thus, in the capital ratio) calculated through the IRB approach and the one defined by the current regulation. Estimates of probabilities of default (PD) were made using transition matrices constructed from the Brazilian Central Bank Credit Register (SCR) data. The results show an increase in the capital requirement, contrary to what have happened in the G-10 countries
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spelling Yanaka, Guilherme M.Brito, Márcio Holland deEscolas::EESP2009-05-13T17:27:57Z2009-05-13T17:27:57Z2009-05-13http://hdl.handle.net/10438/2613With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the minimum capital requirement (and, thus, in the capital ratio) calculated through the IRB approach and the one defined by the current regulation. Estimates of probabilities of default (PD) were made using transition matrices constructed from the Brazilian Central Bank Credit Register (SCR) data. The results show an increase in the capital requirement, contrary to what have happened in the G-10 countriesCom a implementação do Acordo de Basiléia II no Brasil, os grandes conglomerados bancários poderão utilizar o chamado modelo IRB (Internal Ratings Based) para cômputo da parcela de risco de crédito da exigência de capital. O objetivo deste trabalho é mensurar a diferença entre o capital mínimo exigido (e, conseqüentemente, do Índice de Basiléia) calculado pela abordagem IRB em relação à regulamentação atual. Para isso, foram estimadas probabilidades de inadimplência (PD) utilizando matrizes de transição construídas a partir dos dados da Central de Risco de Crédito (SCR) do Banco Central do Brasil. Os resultados indicam aumento da exigência de capital, ao contrário do ocorrido nos países do G-10porTextos para discussão - EESP ; 188Credit riskTransition matrixBanking regulationBasel commitee on banking supervisionBasel IIEconomiaAdministração bancáriaAdministração de riscoBancos - BrasilBasiléia II e exigência de capital para risco de crédito dos bancos no Brasilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 188 - Marcio Holland.pdfTD 188 - Marcio Holland.pdfapplication/pdf280214https://repositorio.fgv.br/bitstreams/41f3fdd7-87bc-4297-9aa1-47d00fde3eda/downloadcc4394e80316b53ee5e9c2b5b6eaf679MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81838https://repositorio.fgv.br/bitstreams/c526636c-b20b-402a-885e-1ddbf335f80b/download4f19c4fd0686ef65a984e94d26809400MD52TEXTTD 188 - Marcio 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dc.title.por.fl_str_mv Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
title Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
spellingShingle Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
Yanaka, Guilherme M.
Credit risk
Transition matrix
Banking regulation
Basel commitee on banking supervision
Basel II
Economia
Administração bancária
Administração de risco
Bancos - Brasil
title_short Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
title_full Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
title_fullStr Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
title_full_unstemmed Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
title_sort Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
author Yanaka, Guilherme M.
author_facet Yanaka, Guilherme M.
Brito, Márcio Holland de
author_role author
author2 Brito, Márcio Holland de
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Yanaka, Guilherme M.
Brito, Márcio Holland de
dc.subject.eng.fl_str_mv Credit risk
Transition matrix
Banking regulation
Basel commitee on banking supervision
topic Credit risk
Transition matrix
Banking regulation
Basel commitee on banking supervision
Basel II
Economia
Administração bancária
Administração de risco
Bancos - Brasil
dc.subject.por.fl_str_mv Basel II
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Administração bancária
Administração de risco
Bancos - Brasil
description With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the minimum capital requirement (and, thus, in the capital ratio) calculated through the IRB approach and the one defined by the current regulation. Estimates of probabilities of default (PD) were made using transition matrices constructed from the Brazilian Central Bank Credit Register (SCR) data. The results show an increase in the capital requirement, contrary to what have happened in the G-10 countries
publishDate 2009
dc.date.accessioned.fl_str_mv 2009-05-13T17:27:57Z
dc.date.available.fl_str_mv 2009-05-13T17:27:57Z
dc.date.issued.fl_str_mv 2009-05-13
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/2613
url http://hdl.handle.net/10438/2613
dc.language.iso.fl_str_mv por
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dc.relation.ispartofseries.por.fl_str_mv Textos para discussão - EESP ; 188
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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