Publication
Rating Masterscale : diferenciaĆ§Ć£o por segmento : Large Corporate
| datacite.subject.fos | CiĆŖncias Sociais::Economia e GestĆ£o | |
| dc.contributor.advisor | Pinto, JoĆ£o Filipe Monteiro | |
| dc.contributor.author | Silva, Daniel AntĆ³nio Rego da | |
| dc.date.accessioned | 2016-03-18T15:19:28Z | |
| dc.date.available | 2016-03-18T15:19:28Z | |
| dc.date.issued | 2015-03-16 | |
| dc.date.submitted | 2014 | |
| dc.description.abstract | Em momento anterior ao Millennium bcp (MBCP) ā organizaĆ§Ć£o acolhedora do estĆ”gio curricular ā conceder um crĆ©dito, o risco de crĆ©dito dos seus Clientes Ć© classificado com base numa Ćŗnica rating masterscale, nĆ£o havendo diferenciaĆ§Ć£o entre diferentes segmentos de risco. Para colmatar este desajuste, o MBCP identificou as seguintes questƵes: Q1 ā Como diferenciar a rating masterscale para o segmento Large Corporate? ā e Q2 ā Qual o impacto da nova rating masterscale no capital do MBCP? Estas questƵes constituem o objeto do presente Trabalho Final de Mestrado (TFM). Para responder a Q1, recorreu-se ao princĆpio da estimativa mais prudente [Pluto e Tasche (2005)], tendo-se chegado a uma nova escala de risco, LCRM (Large Corporate Rating Masterscale) 4, especĆfica do segmento Large Corporate, alargando-se o nĆŗmero 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 portfĆ³lio Large Corporate para se comparar a evoluĆ§Ć£o do Risk Weighted Asset (RWA) e da Expected Loss (EL). Chegou-se, deste modo, Ć conclusĆ£o que o impacto de LCRM 4 no capital do MBCP Ć© positivo, jĆ” que se consegue uma reduĆ§Ć£o de cerca de 27 % no RWA e uma reduĆ§Ć£o de cerca de 28 % na EL para a carteira de Clientes Large Corporate. | pt_PT |
| dc.description.abstract | Before then Millennium bcp (MBCP) ā welcoming traineeship organization ā 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 ā How to differentiate the rating masterscale for the Large Corporate segment? ā and Q2 ā 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. | pt_PT |
| dc.identifier.tid | 201488906 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/19396 | |
| dc.language.iso | por | pt_PT |
| dc.subject | Acordo de Basileia III | pt_PT |
| dc.subject | Risco de crƩdito | pt_PT |
| dc.subject | Probabilidade de Incumprimento (PD) | pt_PT |
| dc.subject | Carteira de Baixa Sinistralidade (LDP) | pt_PT |
| dc.subject | Basel III | pt_PT |
| dc.subject | Credit risk | pt_PT |
| dc.subject | Probability of Default (PD) | pt_PT |
| dc.subject | Low default | pt_PT |
| dc.title | Rating Masterscale : diferenciaĆ§Ć£o por segmento : Large Corporate | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Banca e Seguros |