Avaliação para adequação de capital em risco de crédito sob um modelo de teste de estresse: uma abordagem objetiva

• Ano de defesa: 2012
• Autor(a) principal: Scrivani, Hommenig
• Orientador(a): Oliveira, Alexandre de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Teste de estresse; Alocação de capital; Risco de crédito; Capital econômico; Colchão de capital; Cenários macroeconômicos
• Link de acesso: http://hdl.handle.net/10438/10129

The present work aims to propose a methodology for Stress Testing and hence calculation of additional capital buffer in credit risk, as required by the Committee on Banking Supervision. The methodology consists in using macroeconomic information to determine the behavior of default rate. This way, we can simulate possible economic scenarios and, thus, the associated default rate with it. For each economic scenario a default rate is obtained. Each default rate provides a curve of losses. By simulating several economic scenarios it was possible to obtain many curves of losses, and with them, the probability of expected losses and unexpected ones. The methodology was applied to a portfolio of personal loans to individuals. The results were very efficient to determine the probability of Allocated Capital. As a result of the test, given a level of confidence, it was possible to determine the Allocated Capital in order to face losses over the unexpected ones.