Table 5 Parameters and criteria adopted to classify borrowers in the real bank examination
From: To supervise or to self-supervise: a machine learning based comparison on credit supervision
Parameters | Description |
|---|---|
Bank | Medium-sized bank (R$ 12 billion loan portfolio)a |
Extraction date | June/2019 |
Good borrowers | Considered as under 90 day past-due by CBB’s on-site credit supervision |
Bad borrowers | Considered as over 90 day past-due by CBB’s on-site credit supervision |
Materiality | Loans in excess of R$ 10,000 |