Credit risk on basel rules: Claims on corporates

Abstract

In an uncertain economic environment and an increasingly globalized economy, a thorough risks control is necessary. Noteworthy among them, because of its importance in the banking activities, the credit risk. The Basel Committee, is the responsible for setting the standards for measuring credit risk and with the main objective of ensuring the solvency of the banking system, proposes two measurement models: SA and IRB. The role of banks as a lender provides the basis of economic growth for many businesses and therefore the economy of a country. Of particular concern is the case of SMEs. Many studies reflect the importance of the implementation of internal methods for measuring MCR for these businesses and concludes that, applying internal methods is achieved levels of capital requirements lower than applying the standard method. The purpose of this work is the study of MCR measurement under the regulations established by the BIS focusing, in particular, on credit risk. Furthermore, to emphasize the importance of measuring credit risk and the difficulty of estimating the PD, an empirical application has been developed which will reveal differences in MCR using the SA as opposed to the IRB Basic Approach.