Details

Autor(en) / Beteiligte

• Pinto, Rodolfo da Fonseca Pignatelli Soares Varela

Titel

Aplicação do Conceito de Perfil de Risco de Crédito na Análise Dos Sistemas Bancários

Ort / Verlag

ProQuest Dissertations & Theses

Erscheinungsjahr

2012

Quelle

ProQuest Dissertations & Theses A&I

Beschreibungen/Notizen

• The dissertation is focused on the domain of financial stability, then addressing the perspective of the credit risk of default. The quantification of this risk in ensured through the estimations of the parameter Probability of Default (PD), as established in Basel 2. Regarding these estimations, it is presented a proposal of a structured framework of quantitative validation procedures, covering in detail the validation of time series, discriminatory power, calibration and stability of rating systems. The contribution of this thesis results, also, from the presentation of three new conceptions based on the exploration of the concept of credit risk profile, including the respective empirical analyses: Forward-looking credit risk pressure indicators; Anticyclical minimum capital ratios, variable depending on the credit risk profile of banks, complemented by a countercyclical incentives scheme; Sensitivity analyses to assess the impact on banks‟ solvency of a deterioration of risk weighted assets (RWA) and expected losses (EL), caused by a shock on the probability and level of default of credit portfolios. To conclude, we emphasize the advantages of investing in collecting and exploring information on banks‟ credit risk portfolios profiles, in order to, namely, developing new tools that may contribute to achieve the goal of financial stability.