Basel II and Capital Requirement for Credit Risk in Brazil
With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the minimum capital requirement (and, thus, in the...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2010-07-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1419 |