Rating Masterscale
: diferenciação por segmento : Large Corporate

  • Daniel António Rego da Silva (Student)

Student thesis: Master's Thesis

Abstract

Before then Millennium bcp (MBCP) – welcoming traineeship organization – grants credit, the credit risk of its customers is classified by a single rating masterscale, with no differentiation between different risk segments. To address this imbalance, MBCP identified the following questions: Q1 – How to differentiate the rating masterscale for the Large Corporate segment? – and Q2 – What is the impact of the new rating masterscale in the MBCP capital? These issues are the subject of this dissertation. To answer Q1, the most prudent estimation principle [Pluto and Tasche (2005)] was resorted, to reach a new LCRM (Large Corporate Rating Masterscale) 4 risk scale, specific to the Large Corporate segment, widening the number of risk degrees and readjusting the Probability of Default (PD) of each risk degree. Using LCRM 4 to answer Q2, two Large Corporate companies were initially analyzed and subsequently a Large Corporate portfolio proxy was made to compare the evolution of Risk Weighted Asset (RWA) and Expected Loss (EL). Thus, a conclusion has been reached that the impact of LCRM 4 in the MBCP capital is positive, once there is a reduction of about 27% in the RWA and a reduction of about 28% in the EL for the Large Corporate customers portfolio.
Date of Award16 Mar 2015
Original languagePortuguese
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJoão Pinto (Supervisor)

Keywords

  • Basel III
  • Credit risk
  • Probability of Default (PD)
  • Low default

Designation

  • Mestrado em Banca e Seguros

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