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Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil

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  • Ricardo Schechtman

Abstract

This study investigates the relation between absolute levels of credit risk capital requirements, bank solvency rates and stress scenarios of corporate default rates. The methodology is based on a resampling procedure developed based on the ideas of Carey (2002), which is used to estimate credit loss distributions of typical large Brazilian bank credit portfolios. In this approach, banks’ credit investment decisions are modeled as stratified independent draws from a representative pool of borrowers, in which such independency is brought about by the assumption that neither banks nor regulators are able to estimate, ex-ante, individual exposures’ sensitivities to systemic factors. As far as guaranteeing solvency for large Brazilian banks’ corporate portfolios, results suggest that the additional protection of the Brazilian version of Basel I is relevant mainly for highly stressed default rates.

Suggested Citation

  • Ricardo Schechtman, 2006. "Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil," Working Papers Series 127, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:127
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps127.pdf
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    Cited by:

    1. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    2. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
    3. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    4. Ricardo Schechtman, 2017. "Joint Validation of Credit Rating PDs under Default Correlation," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 235-282, June.
    5. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.

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