English, Article, Journal or magazine article edition: Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil Yanaka, Guilherme M.; Holland, Márcio

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/80283
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil
Author
  • Yanaka, Guilherme M.
  • Holland, Márcio
Physical Description
  • preprint
Notes
  • With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to usethe 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 thecurrent regulation. Estimates of probabilities of default (PD) were made using transition matricesconstructed from the Brazilian Central Bank Credit Register (SCR) data. The results show anincrease in the capital requirement, contrary to what have happened in the G-10 countries.
  • RePEc:fgv:eesptd:188
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment