Análise do RAROC utilizando modelo DuPont dos bancos privados listados na BM&FBOVESPA de 2010 a 2015

• Autor(a) principal: Assis, José do Socorro
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da PUC_SP
• Texto Completo: https://tede2.pucsp.br/handle/handle/20167
• topic: Instituições financeiras; Gestão de capital; Gestão de riscos; Financial Institutions; Capital management; Risk management; Risk-Adjusted Return on Capital; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO

The key factors when analyzing invested capital returns versus the risks assumed by financial institutions have been widely discussed in corporate finance. The goal of this study is to understand the contribution of economic-financial factors when explaining the risk-adjusted return on capital: RAROC. In this context, this metric, in its starting point, was used on the foundation of capital management in financial institutions under the approaches of risk mitigation versus maximization return. Therefore, this study considers a sample of eleven banks with capital being traded on BM&FBOVESPA and was distributed in three groups: (i) large, (ii) medium and (iii) small size, with the size defined according to the BACEN criteria described in the Financial Stability Report. The analysis of the economic-financial factors are based on the DuPont model, starting from the ROE (Return On Equity), and afterwards, calculating RAROC in financial institutions, considering three factors: i) capital financial leverage, as the ratio between assets allocated to risks and available risk capital; ii) assets profitability, calculated by the ratio between net revenues and risk-weighted assets, and iii) profit margin rate, which measures the operational and tax efficiency based on the ratio of economic profit to net revenues. The period considered in this analysis is from 2010 to 2015 with semiannual data obtained in the Financial Statements and Risk and Capital Management Documents released by financial institutions, which as selected for being the period after the banking crisis of 2008 and 2009. The methodology adopted is empirical-analytic and the type of research that is characterized as quantitative, descriptive and documentary. The results obtained with the use of Pearson (r) statistical correlation techniques and multiple linear regression in the stepwise method (r2 adjusted), as well as the hypothesis tests, indicated the existence of peculiar characteristics to the studied groups. The group of large banks presented the profit margin rate as the one with the highest explanatory capacity of RAROC with a correlation of 0.982 and r2 of 96.3%, thus demonstrating that the efficient management of the structure costs was presented as a differentiating factor in the Risk-adjusted return on capital. Regarding the group of medium-sized banks, the factors of profitability and profit margin rate profitability presented a modest explanatory capacity and quite similar with r2 of 48.4% and 43.1%, respectively. In the group of small banks, the profit margin rate had a high explanatory power with r2 of 76.1%. It should be considered that the market of medium and small banks is more vulnerable to economic crises and presents a higher cost of funding, thus requiring a continuous search for high specialization, differentiation and flexibility in their businesses. The justification for this work is based on the relevance and timeliness of the theme for the academic community and the representativeness of banking activity in the country's economic development