Fatores intervenientes no risco bancário: evidências na crise econômica brasileira

• Autor(a) principal: Freitas, George Alberto de
• Data de Publicação: 2021
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: Repositório Institucional da Universidade Federal do Ceará (UFC)
• Texto Completo: http://www.repositorio.ufc.br/handle/riufc/60698
• topic: Fatores intervenientes no risco; Crise econômica brasileira.; Teoria da Assunção do Risco Bancário

The risk behavior of financial institutions gained notoriety after the American subprime crisis that culminated in the 2008 financial crisis. The banking literature establishes relationships between the intervening factors and the risk behavior assumed by banks. Among the intervening factors, the following stand out: corporate governance, ownership structure, regulation and concentration in the banking sector. The economic crisis environment may have implications for the relationship between the intervening factors and banking risk. In Brazil, however, theoretical studies point to the shielding of Brazilian banks from crises. Taking advantage of the fact that the country's current economic scenario is opportune to test the shielding thesis, it is argued that: the Brazilian economic crisis did not substantially affect the risk behavior of banks operating in Brazil, leading to believe that the intervening factors act only in the adjustment risk levels. In this context, in the light of the Bank Risk Assumption Theory, the general objective is to examine the relationship of the intervening factors with the risk of banks authorized to operate in Brazil before and after the outbreak of the Brazilian economic crisis. It seeks to fill the following gaps in the literature: at national level, empirically test the shielding thesis; at the international level, bringing together the intervening factors relating them to banking risk in an emerging economy and using RWA as a risk metric, allowing to work with disaggregated risk measures. Depending on the availability of data, two different methodological strategies were formulated. The first includes corporate governance and the capital structure, whose data are annual and are restricted to banks that inform the Reference Forms to the Securities and Exchange Commission. The second includes banking regulation, whose data, released by the Central Bank of Brazil, are quarterly, covering all banks authorized to operate in Brazil. The bank risk variable was segregated into five types: credit, market, operational, liquidity and the general index. These methodological strategies influenced the modeling used, which were, respectively: a) panel models of fixed and random effects - estimated by MQO and MQG -, with a dummy variable to capture the effect of the Brazilian economic crisis; and b) multilevel models with repeated measures - estimated by maximum restricted likelihood (REML) -, with the division of the sample base to capture the effect of the Brazilian economic crisis. As a result, it is evident, in general, that: the characteristics of the board of directors were mainly responsible for explaining the reduction in bank risk; macroeconomic factors do not affect the assumption of bank risk; and capital regulation has significant effects on risk, with larger banks tending to take more risk in response to increased capital requirements. Finally, the validity of the Bank Risk Assumption Theory for credit risk is attested, as well as the results point to confirmation of the thesis of shielding the Brazilian banking sector to crises.