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Abstract(s)
Gerir e medir o risco de liquidez não era uma prioridade para a maioria dos bancos, até que a crise financeira global gerou uma escassez de liquidez conduzindo ao desaparecimento de várias instituições financeiras. Desta forma, em 2010 foi criado o acordo de Basileia III que tem como objetivo regular o risco de liquidez.
Este estudo pretende avaliar quais são os determinantes do risco de liquidez bancário, com base numa amostra constituída por bancos da UE entre 2014 a 2016. Desta forma, é realizado um estudo empírico com dados em painel em que são consideradas duas métricas para o risco de liquidez: o Liquidity Coverage Ratio e o Net Stable Funding Ratio. Estas métricas foram incluídas pelo Comité de Basileia através do acordo de
Basileia III em 2010.
A análise permitiu concluir, entre outros fatores, que a variável com maior relevância para o risco de liquidez dos bancos é a especialização na concessão de crédito. Esta variável mostra que os bancos com maiores especializações na concessão de crédito estão mais exposto ao risco de liquidez, uma vez que os mesmos ficam mais propensos a ter uma menor liquidez, e consequentemente mostram uma estrutura de financiamento mais vulnerável.
Managing and measuring liquidity risk was not a priority for most banks until the global financial crisis led to a shortage of liquidity leading to the disappearance of several financial institutions. Consequently in 2010, the Basel III agreement was created to regulate liquidity risk. This study intends to evaluate the determinants of bank liquidity risk, based on sample of European Union banks between 2014 a 2016. In this way, an empirical study with panel data is performed, in which two metrics are considered for the risk liquidity: the Liquidity Coverage Ratio and the Net Stable Funding Ratio. These metrics were include by the Basel Committee through the Basel III agreement in 2010. The analysis made it possible to conclude, among other factors, that the most relevant variable for bank’s liquidity risk is the credit granting specialization. This variable shows that banks with grater specialization in lending are more exposed to liquidity risk, since they are more likely to have lower liquidity and therefore have a more vulnerable financing structure.
Managing and measuring liquidity risk was not a priority for most banks until the global financial crisis led to a shortage of liquidity leading to the disappearance of several financial institutions. Consequently in 2010, the Basel III agreement was created to regulate liquidity risk. This study intends to evaluate the determinants of bank liquidity risk, based on sample of European Union banks between 2014 a 2016. In this way, an empirical study with panel data is performed, in which two metrics are considered for the risk liquidity: the Liquidity Coverage Ratio and the Net Stable Funding Ratio. These metrics were include by the Basel Committee through the Basel III agreement in 2010. The analysis made it possible to conclude, among other factors, that the most relevant variable for bank’s liquidity risk is the credit granting specialization. This variable shows that banks with grater specialization in lending are more exposed to liquidity risk, since they are more likely to have lower liquidity and therefore have a more vulnerable financing structure.
Description
Mestrado em Análise Financeira
Keywords
Risco de liquidez Acordo de Basileia III LCR NSFR Dados em painel Liquidity risk Basel III accord Panel data
Citation
Azenha, R. G. (2018) O risco de liquidez bancária. (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em http://hdl.handle.net/10400.21/16322