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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| Autores principales: | , , |
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| Formato: | Documento de trabajo acceptedVersion |
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Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF)
2017
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| Acceso en línea: | http://repositorio.utdt.edu/handle/utdt/6271 |
| Aporte de: |
| Sumario: | 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. |
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