Seminário de BioMatemática e Estatística

Credit Risk Models in Banking

Sala 6.2.33, FCUL, Lisboa

Patrícia Henriques da Silva
NOVO BANCO

Abstract: In 2004, the Basel II agreement introduced the IRB approach which allows Banks worldwide to use their own credit risk models to calculate their minimum capital requirements. Although the 2008 financial crisis revealed certain shortcomings in this regulation, now being considered in the new Basel III agreement, credit risk models maintain a very important role in the success of the banking business since they help to better evaluate the risk associated with each client and allow lower capital requirements for absorption of credit losses. In this seminar we present an overview on the main credit risk parameters that IRB banks are required to calculate, the statistical methods used to estimate and validate these parameters, and their impact on the banks’ capital requirements.

This seminar is supported by National Funding from FCT - Fundação para a Ciência e a Tecnologia, under the project: UID/MAT/04561/2013. 

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