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Table 3 Parameters and criteria adopted to classify borrowers according to CBB on-site credit supervision experience

From: To supervise or to self-supervise: a machine learning based comparison on credit supervision

Parameters

Description

Banks

12 previous on-site credit supervision performed by CBB

Extraction dates

From 2015 to 2018

Good borrowers

Considered as AA, A or B by CBB’s on-site credit supervision

Bad borrowers

Considered as F, G or H (LLP equal or higher than 50%) by CBB’s on-site credit supervision

Materiality

Loans in excess of R$ 200,000a

  1. aApproximately US$ 40,000