Economic capital and rating: Analysis and minimum requirements

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dc.contributor.authorBarboza F.
dc.contributor.authorKimura H.
dc.contributor.authorBasso L.F.C.
dc.contributor.authorSobreiro V.A.
dc.date.accessioned2024-03-13T00:55:25Z
dc.date.available2024-03-13T00:55:25Z
dc.date.issued2016
dc.description.abstractEconomic capital (EC) is one of the most important measures for banks to manage risk. Here, we use probability of default (PD) and loss given default (LGD) data of different risk ratings as inputs to compute EC. Our analysis shows how banks can improve their own ratings based on the borrower's credit quality for different LGD values. Using a simulation procedure, we compare EC of banks with different ratings. We conclude that banks could achieve better ratings when lending to companies with reasonably lower LGD and can lower EC by picking borrowers with specific PD-LGD profiles.
dc.description.issuenumber14
dc.description.volume37
dc.identifier.issn0798-1015
dc.identifier.urihttps://dspace.mackenzie.br/handle/10899/36098
dc.relation.ispartofEspacios
dc.rightsAcesso Restrito
dc.subject.otherlanguageCredit risk
dc.subject.otherlanguageCredit risk analysis
dc.subject.otherlanguageEconomic capital
dc.subject.otherlanguageLoss given default
dc.subject.otherlanguageProbability of default
dc.subject.otherlanguageRating
dc.titleEconomic capital and rating: Analysis and minimum requirements
dc.typeArtigo
local.scopus.citations0
local.scopus.eid2-s2.0-84973299432
local.scopus.updated2024-05-01
local.scopus.urlhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84973299432&origin=inward
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