The new Basel II Capital Accord has demanded a lot of attention from regulatory and regulated entities due to its innovations in determining capital requirements, particularly in the area of credit risk. This paper simulates the application of Basel II IRB foundation approach for the computation...

This paper investigates the consequences on loan spreads of a within-sector macro prudential capital measure in Brazil. Due to concerns related to a possibly too fast and unbalanced expansion of the auto-loan sector, regulatory capital was raised for auto-loans with specific long maturities and...

Despite the manifold utilities of monitoring credit default rates, little attention is usually devoted to the underlying default definition. This paper proposes working simultaneously with different default severities, related to several past-due ranges, by means of transition matrices (to be...

This paper investigates macro stress testing of system-wide credit risk with special focus on the tails of the credit risk distributions conditional on bad macroeconomic scenarios. These tails determine the ex-post solvency probabilities derived from the scenarios. This paper estimates the...

The Basel Committee on Banking Supervision recognizes that one of the greatest technical challenges to the implementation of the new Basel II Accord lies on the validation of the banks’ internal credit rating models (CRMs). This study investigates new proposals of statistical tests for...

Public Credit Registries contain data about borrowers' behaviour in the financial system and are, therefore, a valuable source of credit information. This paper examines the utility of different sets of information available at the Public Credit Register of the Central Bank of Brazil for...