scholarly journals Basiléia II e Exigência de Capital para Risco de Crédito dos Bancos no Brasil

2010 ◽  
Vol 8 (2) ◽  
pp. 167
Author(s):  
Marcio Holland ◽  
Guilherme Yanaka
Keyword(s):  
Credit Risk ◽  
Bank Credit ◽  
Capital Requirement ◽  
Transition Matrices ◽  
Risk Capital ◽  
Minimum Capital ◽  
Minimum Capital Requirement ◽  
The Difference ◽  
The One ◽  
Irb Approach

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 capital ratio) calculated through the IRB approach and the one defined by the current regulation. Estimates of probabilities of default (PD) were made using transition matrices constructed from the Brazilian Central Bank Credit Register (SCR) data. The results show an increase in the capital requirement, contrary to what have happened in the G-10 countries.

Pro-cyclicality of the Basel Capital Requirement Ratio and Its Impact on Banks

2011 ◽  
Vol 10 (2) ◽  
pp. 22-36 ◽  
Author(s):  
Naoyuki Yoshino ◽  
Tomohiro Hirano
Keyword(s):  
Interest Rates ◽  
Stock Prices ◽  
Bank Lending ◽  
Bank Loans ◽  
Capital Requirement ◽  
Land Prices ◽  
Minimum Capital ◽  
Cross Border ◽  
Minimum Capital Requirement ◽  
Boom Period

This paper proposes replacing the present Basel capital requirement with a new counter-cyclical measure. Optimally, (i) the Basel capital requirement ratio should depend on various economic factors such as the cyclical stage of GDP, credit growth, stock prices, interest rates, and land prices—hence, avoiding the expansion of bank loans during a boom period and a credit crunch during a sluggish period; (ii) the Basel minimum capital requirement rule should be different from country to country since the economic structures and the behavior of banks are different; and (iii) cross-border bank operation should follow the minimum capital requirement ratio where bank lending activities occur rather than the origin of the source of funds.

scholarly journals Calculating credit risk capital charges with the one-factor model

2005 ◽  
Vol 7 (2) ◽  
pp. 85-101 ◽  
Author(s):  
Susanne Emmer ◽  
Dirk Tasche
Keyword(s):  
Credit Risk ◽  
Factor Model ◽  
Risk Capital ◽  
The One

scholarly journals ANALISIS DETERMINAN RASIO MODAL BANK BUMN DI INDONESIA

2016 ◽  
Vol 5 (2) ◽  
pp. 113
Author(s):  
Saifullah Saputra
Keyword(s):  
Exchange Rate ◽  
Credit Risk ◽  
Banking Sector ◽  
Time Series Data ◽  
Multiple Linear Regression Model ◽  
Series Data ◽  
Bank Capital ◽  
Minimum Capital ◽  
Minimum Capital Requirement ◽  
Capital Ratios

Capital aspect is the one very important aspect  in the banking sector,not only for business developing but also  to overcome the  various of risk. Inorder to keep the healty and stability of the state owned bank capital, the centralbank as monetary authority in Indonesia has determine the regulation aboutcapital healty. It looks from the minimum capital requirement that must beenobeyed by banking is 8%. This situation based on economy crisis case in 1997which has an impact on the banking sector. This study aims to analyze the effectof profitability, credit risk, efficiency, liquidity, exchange rate and inflation oncapital ratios of state owned bank in Indonesia. The type of this research aredescriptive and associative using time series data from the first quarter of 2004until the fourth quarter of 2015 with documentation data collected technique.Data were analyzed with multiple linear regression model, the prerequisite test(multicolinearity, autocorrelation and heteroscedasticity), t test, and F test. The result shows that (1) Profitability has positive and significant effect oncapital ratios of state owned bank in Indonesia. (2) Credit risk has positive andsignificant effect on capital ratios of state owned bank in Indonesia. (3)Efficiency has negative and significant effect on capital ratios of state ownedbank in Indonesia.  (4) Liquidity has negative and significant effect on capitalratios of state owned bank in Indonesia. (5) Exchange rate has positive andsignificant effect on capital ratios of state owned bank in Indonesia. (6) Inflationhas positive and not significant effect on capital ratios of state owned bank inIndonesia.

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