Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal

Detalhes bibliográficos
Autor(a) principal: Silva, Renata Baião Serra Bernardo Da
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/135779
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
id RCAP_d09b230215c404a345f967208bd28f44
oai_identifier_str oai:run.unl.pt:10362/135779
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in PortugalCredit DefaultStress TestScenarioCredit RiskCOVID-19Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementThe current health crisis is shaking the economic and financial world and Portugal was no exception. The present dissertation main goal is to assess the credit risk impact by the current situation due to COVID-19 pandemic in Portugal. The key objective is to evaluate credit inherent risk, in order to be able to intervene in advance and to mitigate possible risks, as well as predict likely defaults. In order to predict possible serious effects in terms of credit default having, the present dissertation has as its object the study of the impact of macroeconomic variables and their influence on credit default. An exploratory quantitative approach was used in the empirical study, complemented with a qualitative approach, focused fundamentally on the description of the results obtained with the SPSS software. Linear regression models were tested, which were defined as independent variable o credit default. As dependent variables the indicators of credit risk management; UR, LR, LMC, LCC, LBC, EUR, GDP, PSI, DIG, CPI, ER and CP. Among all these indicators of credit risk management used, the ones that had the greatest impact were the LR, LMC, UR, GDP, CPI and CP have more significant effect. However, the variable CP does not suggest the existence of a direct and reliable relationship between the independent variable, but recent studies refer to it as one of the most important to be considered. As noted in world history, the impacts of financial disasters, reinforce the need for systematic analysis and effective financial stability instruments. In order to forecast those situations, stress testing will be used to predict possible scenarios of induced financial crisis by the current healthy crisis, such as credit risk, in specific. To be able to foresee, a country macroeconomic analysis is needed, by merging several credit components, as established by the Basel agreements. The data herein as reference has taken from Banco de Portugal, INE, Stooq and oecd, since the 2003 to 2020, in order to be provisions regarding economic.Branco, Carlos Rafael SantosRUNSilva, Renata Baião Serra Bernardo Da2022-04-04T14:35:53Z2022-03-162022-03-16T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/135779TID:202983307enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:14:04Zoai:run.unl.pt:10362/135779Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:48:30.112430Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
title Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
spellingShingle Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
Silva, Renata Baião Serra Bernardo Da
Credit Default
Stress Test
Scenario
Credit Risk
COVID-19
title_short Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
title_full Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
title_fullStr Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
title_full_unstemmed Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
title_sort Stress testing: assessing possible impacts of COVID-19 pandemia on the credit default in Portugal
author Silva, Renata Baião Serra Bernardo Da
author_facet Silva, Renata Baião Serra Bernardo Da
author_role author
dc.contributor.none.fl_str_mv Branco, Carlos Rafael Santos
RUN
dc.contributor.author.fl_str_mv Silva, Renata Baião Serra Bernardo Da
dc.subject.por.fl_str_mv Credit Default
Stress Test
Scenario
Credit Risk
COVID-19
topic Credit Default
Stress Test
Scenario
Credit Risk
COVID-19
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2022
dc.date.none.fl_str_mv 2022-04-04T14:35:53Z
2022-03-16
2022-03-16T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/135779
TID:202983307
url http://hdl.handle.net/10362/135779
identifier_str_mv TID:202983307
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799138086208143360

Registros relacionados