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Abstract(s)
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.
Description
Keywords
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