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Em momento anterior ao Millennium bcp (MBCP) – organização acolhedora
do estágio curricular – conceder um crédito, o risco de crédito dos seus Clientes
é classificado com base numa única rating masterscale, não havendo
diferenciação entre diferentes segmentos de risco.
Para colmatar este desajuste, o MBCP identificou as seguintes questões: Q1 –
Como diferenciar a rating masterscale para o segmento Large Corporate? – e Q2 –
Qual o impacto da nova rating masterscale no capital do MBCP? Estas questões
constituem o objeto do presente Trabalho Final de Mestrado (TFM).
Para responder a Q1, recorreu-se ao princípio da estimativa mais prudente
[Pluto e Tasche (2005)], tendo-se chegado a uma nova escala de risco, LCRM
(Large Corporate Rating Masterscale) 4, específica do segmento Large Corporate,
alargando-se o número de Graus de Risco (GR) e reajustando-se a Probability of
Default (PD) de cada GR.
Usando a LCRM 4 para se responder a Q2, analisaram-se inicialmente duas
empresas Large Corporate e, posteriormente, fez-se uma abordagem global com
recurso a uma proxy do portfólio Large Corporate para se comparar a evolução
do Risk Weighted Asset (RWA) e da Expected Loss (EL). Chegou-se, deste modo, à
conclusão que o impacto de LCRM 4 no capital do MBCP é positivo, já que se
consegue uma redução de cerca de 27 % no RWA e uma redução de cerca de
28 % na EL para a carteira de Clientes Large Corporate.
Before then Millennium bcp (MBCP) – welcoming traineeship organization – grants credit, the credit risk of its customers is classified by a single rating masterscale, with no differentiation between different risk segments. To address this imbalance, MBCP identified the following questions: Q1 – How to differentiate the rating masterscale for the Large Corporate segment? – and Q2 – What is the impact of the new rating masterscale in the MBCP capital? These issues are the subject of this dissertation. To answer Q1, the most prudent estimation principle [Pluto and Tasche (2005)] was resorted, to reach a new LCRM (Large Corporate Rating Masterscale) 4 risk scale, specific to the Large Corporate segment, widening the number of risk degrees and readjusting the Probability of Default (PD) of each risk degree. Using LCRM 4 to answer Q2, two Large Corporate companies were initially analyzed and subsequently a Large Corporate portfolio proxy was made to compare the evolution of Risk Weighted Asset (RWA) and Expected Loss (EL). Thus, a conclusion has been reached that the impact of LCRM 4 in the MBCP capital is positive, once there is a reduction of about 27% in the RWA and a reduction of about 28% in the EL for the Large Corporate customers portfolio.
Before then Millennium bcp (MBCP) – welcoming traineeship organization – grants credit, the credit risk of its customers is classified by a single rating masterscale, with no differentiation between different risk segments. To address this imbalance, MBCP identified the following questions: Q1 – How to differentiate the rating masterscale for the Large Corporate segment? – and Q2 – What is the impact of the new rating masterscale in the MBCP capital? These issues are the subject of this dissertation. To answer Q1, the most prudent estimation principle [Pluto and Tasche (2005)] was resorted, to reach a new LCRM (Large Corporate Rating Masterscale) 4 risk scale, specific to the Large Corporate segment, widening the number of risk degrees and readjusting the Probability of Default (PD) of each risk degree. Using LCRM 4 to answer Q2, two Large Corporate companies were initially analyzed and subsequently a Large Corporate portfolio proxy was made to compare the evolution of Risk Weighted Asset (RWA) and Expected Loss (EL). Thus, a conclusion has been reached that the impact of LCRM 4 in the MBCP capital is positive, once there is a reduction of about 27% in the RWA and a reduction of about 28% in the EL for the Large Corporate customers portfolio.
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Acordo de Basileia III Risco de crédito Probabilidade de Incumprimento (PD) Carteira de Baixa Sinistralidade (LDP) Basel III Credit risk Probability of Default (PD) Low default