Reforming capital requirements in emerging countries

This paper then attempts to show how a PCR, in this case from Argentina, can help to set capital and provisioning rules. In order to so this, we employ an econometric credit scoring model on the PCR data - an ordered probit - and we use a recently developed "off the shelf" credit risk port...

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Detalles Bibliográficos
Autores principales: Powell, Andrew, Balzarotti, Verónica, Castro, Christian
Formato: Documento de trabajo acceptedVersion
Publicado: Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF) 2017
Materias:
Capital
Crédito
Acceso en línea:http://repositorio.utdt.edu/handle/utdt/6271
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R16320.500.13098-6271
record_format dspace
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
topic Capital
Crédito
spellingShingle Capital
Crédito
Powell, Andrew
Balzarotti, Verónica
Castro, Christian
Reforming capital requirements in emerging countries
description This paper then attempts to show how a PCR, in this case from Argentina, can help to set capital and provisioning rules. In order to so this, we employ an econometric credit scoring model on the PCR data - an ordered probit - and we use a recently developed "off the shelf" credit risk portfolio model - CreditRisk+. Section 2 provides a review of the development in credit risk measurement, with emerging countries in mind, to motivate this modeling choice. We then provide a description of the Argentine PCR (section 3) and discuss some of the issues in applying CreditRisk+ to Argentine data (section 4). We then turn our attention to Basel II and show how the PCR and the credit-scoring model can be used to simulate the effect of the Basel II IRB approach as currently proposed. We compare our IRB simulation with our CreditRisk+ estimates of provisioning and capital requirements (section 5). We discuss how the IRB approach might be recalibrated to "fit" the local data (section 6). In section 7 we then discuss the regulatory choices faced by an emerging country regulator given the Basel II proposals and section 8 concludes.
format Documento de trabajo
acceptedVersion
author Powell, Andrew
Balzarotti, Verónica
Castro, Christian
author_facet Powell, Andrew
Balzarotti, Verónica
Castro, Christian
author_sort Powell, Andrew
title Reforming capital requirements in emerging countries
title_short Reforming capital requirements in emerging countries
title_full Reforming capital requirements in emerging countries
title_fullStr Reforming capital requirements in emerging countries
title_full_unstemmed Reforming capital requirements in emerging countries
title_sort reforming capital requirements in emerging countries
publisher Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF)
publishDate 2017
url http://repositorio.utdt.edu/handle/utdt/6271
work_keys_str_mv AT powellandrew reformingcapitalrequirementsinemergingcountries
AT balzarottiveronica reformingcapitalrequirementsinemergingcountries
AT castrochristian reformingcapitalrequirementsinemergingcountries
bdutipo_str Repositorios
_version_ 1764820543070011397

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