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Authors
Advisor(s)
Abstract(s)
A crise do subprime teve início em meados de 2007, tendo-se agravado em 2008, denominada pela crise da “bolha imobiliária, tendo levado ao risco de contágio em todo o sistema financeiro. Esta crise para muitos foi considerada a crise mais aguda e relevante, dado o seu impacto ao nível das dificuldades que se fizeram sentir nas famílias, assim como o número de desempregados. A crise financeira internacional pôs em causa princípios básicos do sistema de regulação e supervisão bancária e internacional. Nesta altura a expansão de crédito foi fortemente atingida, pelas falências de alguns bancos, como o caso da New Century Financial Corporation em abril de 2007, o segundo maior credor de hipotecas dos EUA, Lehman Brothers o quarto maior banco de investimento dos EUA e a falência do Bear Stearns o quinto maior banco de investimento. O risco de crédito assume-se como sendo o risco mais relevante na atividade bancária, uma vez que corresponde ao risco da contraparte não cumprir com as suas obrigações. Desta forma na análise ao risco de crédito, torna-se importante analisar a evolução dos créditos por regularizar e pelo volume de imparidades. Esta dissertação procura analisar a evolução do risco de crédito e imparidades num período de sete anos, através de dois bancos, o BES/Novo Banco e Caixa Geral de Depósitos comparando com dados do sector bancário em geral com base em rácios como o crédito vencido, crédito em incumprimento, transformação e solvabilidade.
The subprime crisis started in the beginning of 2007, having worsened in 2008, called the “real estate bubble” crisis, which led to the risk of contagion in the entire financial system. This crisis was considered by many to be the most acute and relevant crisis, given its impact on the level of difficulties experienced by families, as well as the number of unemployed. The international financial crisis called into question basic principles of the banking and international regulation and supervision system. At this time, credit expansion was hit hard by the bankruptcies of some banks, such as the case of New Century Financial Corporation in April 2007, the second largest mortgage lender in the USA, Lehman Brothers the fourth largest investment bank in the USA and bankruptcy of Bear Stearns the fifth largest investment bank. Credit risk is assumed to be the most relevant risk in banking activity, since it corresponds to the risk of the counterparty not meeting its obligations. Thus, in the analysis of credit risk, it is important to analyze the evolution of loans to be settled and the volume of impairments. This dissertation seeks to analyze the evolution of credit risk and impairments over a seven-year period, through two banks, BES / Novo Banco and Caixa Geral de Depósitos, comparing with data from the banking sector in general based on ratios such as overdue loans, non-performing loans, transformation and solvency.
The subprime crisis started in the beginning of 2007, having worsened in 2008, called the “real estate bubble” crisis, which led to the risk of contagion in the entire financial system. This crisis was considered by many to be the most acute and relevant crisis, given its impact on the level of difficulties experienced by families, as well as the number of unemployed. The international financial crisis called into question basic principles of the banking and international regulation and supervision system. At this time, credit expansion was hit hard by the bankruptcies of some banks, such as the case of New Century Financial Corporation in April 2007, the second largest mortgage lender in the USA, Lehman Brothers the fourth largest investment bank in the USA and bankruptcy of Bear Stearns the fifth largest investment bank. Credit risk is assumed to be the most relevant risk in banking activity, since it corresponds to the risk of the counterparty not meeting its obligations. Thus, in the analysis of credit risk, it is important to analyze the evolution of loans to be settled and the volume of impairments. This dissertation seeks to analyze the evolution of credit risk and impairments over a seven-year period, through two banks, BES / Novo Banco and Caixa Geral de Depósitos, comparing with data from the banking sector in general based on ratios such as overdue loans, non-performing loans, transformation and solvency.
Description
Mestrado em Controlo de Gestão e dos Negócios
Keywords
Risco Crédito Atividade bancária Sistema financeiro Solvabilidade Rácio de transformação Imparidades Risk Credit Banking Financial system Solvency Transformation ratio Impairments
Citation
Rico, T. S. P. (2020). Risco de crédito e perdas por imparidade: caso Novo Banco e Caixa Geral de Depósitos. (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em http://hdl.handle.net/10400.21/13196