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

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  • Yanaka, Guilherme M.
  • Brito, Márcio Holland de

Abstract

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

Suggested Citation

  • Yanaka, Guilherme M. & Brito, Márcio Holland de, 2009. "Basiléia II e exigência de capital para risco de crédito dos bancos no Brasil," Textos para discussão 188, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    • Handle: RePEc:fgv:eesptd:188
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    Cited by:

    1. Lidiano de Jesus Santos & Marcelo Alvaro da Silva Macedo & Adriano Rodrigues, 2014. "Determinants of the disclosure level of the Pillar 3 recommendations of the Basel II Accord in the financial statements of Brazilian financial institutions," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 25-47, January.

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