We use microdata from the Credit Information System (SCR) of the Central Bank of Brazil to study the relationship between credit default and business cycles. In particular, we study the first part of the argument underlying the discussion about procyclicality related to the Basel II Accord: that...

From data in the Central Bank of Brazil’s Credit Information System we empirically estimated the default correlation matrices of retail loans made between 2003 and 2008. The loan modalities studied were Consumer Credit and Vehicle Financing. We identified an increased probability and...

Using data drawn from the Brazilian Central Bank Credit Information System (SCR), this paper investigates the loss incurred by financial institutions given clients defaults - Loss Given Default (LGD) - in Brazilian credit market from January 2003 to September 2007. According to Basel II, it is...