Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil

Abstract

This study investigates the relation between absolute levels of credit risk capital requirements, bank solvency rates and stress scenarios of corporate default rates. The methodology is based on a resampling procedure developed based on the ideas of Carey (2002), which is used to estimate credit loss distributions of typical large Brazilian bank credit portfolios. In this approach, banks’ credit investment decisions are modeled as stratified independent draws from a representative pool of borrowers, in which such independency is brought about by the assumption that neither banks nor regulators are able to estimate, ex-ante, individual exposures’ sensitivities to systemic factors. As far as guaranteeing solvency for large Brazilian banks’ corporate portfolios, results suggest that the additional protection of the Brazilian version of Basel I is relevant mainly for highly stressed default rates.