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dc.rights.licensehttp://rightsstatements.org/page/InC/1.0/?language=eses_AR
dc.contributor.authorPowell, Andrew
dc.contributor.authorBalzarotti, Verónica
dc.contributor.authorCastro, Christian
dc.coverage.spatialArgentinaes_AR
dc.date.accessioned2017-04-07T19:08:02Z
dc.date.available2017-04-07T19:08:02Z
dc.date.issued2002
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/6271
dc.description.abstractThis paper then attempts to show how a PCR, in this case from Argentina, can help to set capital and provisioning rules. In order to so this, we employ an econometric credit scoring model on the PCR data - an ordered probit - and we use a recently developed "off the shelf" credit risk portfolio model - CreditRisk+. Section 2 provides a review of the development in credit risk measurement, with emerging countries in mind, to motivate this modeling choice. We then provide a description of the Argentine PCR (section 3) and discuss some of the issues in applying CreditRisk+ to Argentine data (section 4). We then turn our attention to Basel II and show how the PCR and the credit-scoring model can be used to simulate the effect of the Basel II IRB approach as currently proposed. We compare our IRB simulation with our CreditRisk+ estimates of provisioning and capital requirements (section 5). We discuss how the IRB approach might be recalibrated to "fit" the local data (section 6). In section 7 we then discuss the regulatory choices faced by an emerging country regulator given the Basel II proposals and section 8 concludes.
dc.description.sponsorshipPara cualquier uso del contenido del presente documento debe ponerse en contacto con el autor.es_AR
dc.format.extent30 p.
dc.format.mediumapplication/pdfes_AR
dc.publisherUniversidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF)
dc.relation.ispartofCentro de Investigaciones Financieras (CIF). Documentos de trabajo 13//2002
dc.rightsinfo:eu-repo/semantics/restrictedAccesses_AR
dc.titleReforming capital requirements in emerging countries
dc.typeinfo:eu-repo/semantics/workingPaper
UTDT.rights.PDF
UTDT.rights.AUTNo
UTDT.source.idn49792
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.type.versioninfo:eu-repo/semantics/acceptedVersiones_AR
UTDT.source.raw<?xml version="1.0" encoding="UTF-8" standalone="yes"?> <document> <leader>00857cam-a2200217uu-4500</leader> <controlfield tag="001">000049792</controlfield> <controlfield tag="005">20150226155046</controlfield> <controlfield tag="008">050506s1000------------r-----000-0-spa-d</controlfield> <datafield tag="100" ind1="1" ind2=" "> <subfield code="a">Powell, Andrew</subfield> </datafield> <datafield tag="245" ind1="1" ind2="0"> <subfield code="a">Reforming capital requirements in emerging countries / Andrew Powell.</subfield> </datafield> <datafield tag="246" ind1="1" ind2=" "> <subfield code="a">Documentos de trabajo - Centro de Investigaciones en Finanzas. Universidad Torcuato Di Tella</subfield> </datafield> <datafield tag="260" ind1=" " ind2=" "> <subfield code="a">Buenos Aires :</subfield> <subfield code="b">Universidad Torcuato Di Tella, Centro de Investigaciones en Finanzas,</subfield> <subfield code="c">2002.</subfield> </datafield> <datafield tag="300" ind1=" " ind2=" "> <subfield code="a">30 p.</subfield> </datafield> <datafield tag="440" ind1=" " ind2="0"> <subfield code="a">Documentos de trabajo - Centro de Investigaciones en Finanzas. Universidad Torcuato Di Tella;</subfield> <subfield code="v">n. 13</subfield> </datafield> <datafield tag="650" ind1=" " ind2="4"> <subfield code="a">Capital</subfield> </datafield> <datafield tag="650" ind1=" " ind2="4"> <subfield code="a">Crédito</subfield> </datafield> <datafield tag="651" ind1=" " ind2="4"> <subfield code="a">Argentina</subfield> </datafield> <datafield tag="700" ind1="1" ind2=" "> <subfield code="a">Balzarotti, Verónica</subfield> </datafield> <datafield tag="700" ind1="1" ind2=" "> <subfield code="a">Castro, Christian</subfield> </datafield> <datafield tag="856" ind1="4" ind2="1"> <subfield code="6">Link</subfield> <subfield code="u">http://www.utdt.edu/departamentos/empresarial/cif/publicaciones.htm</subfield> </datafield> <datafield tag="LNG" ind1=" " ind2=" "/> </document>
UTDT.source.originothers
dc.subject.UTDTCapital
dc.subject.UTDTCrédito


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