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

Guilherme M. Yanaka and Márcio Holland ()

No 188, Textos para discussão from Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil)

Abstract: 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.

Date: 2009-05-13

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Persistent link: http://EconPapers.repec.org/RePEc:fgv:eesptd:188

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