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Advisor(s)
Abstract(s)
Este trabalho pretende analisar como é que os bancos geriram o risco de liquidez durante
os períodos de crise e como é que essa exposição de liquidez condicionou a sua capacidade
de concessão de crédito.
Ao longo dos últimos anos, os bancos tornaram-se instituições cada vez mais complexas,
encontrando-se expostas a um conjunto de riscos interligados. A crise financeira do
subprime e a crise da dívida soberana na zona euro, constituem exemplos da gravidade que
podem atingir esses riscos, bem como o seu potencial impacto devastador sobre a
economia.
Durante o período de crise financeira, a liquidez nos bancos diminuiu significativamente,
tanto pela queda dos mercados de titularização de ativos, como pela paralisação do
mercado interbancário. Durante o período da crise da dívida soberana na zona euro, as
dificuldades de financiamento, forçaram os bancos extremamente alavancados a equilibrar
os seus balanços e a reorientar o seu modelo de negócio (BCE, 2012).
Esta investigação, realizada através de método quantitativo, a um conjunto de bancos
representativos do mercado português e espanhol, focada nas variações da gestão do risco
de liquidez e da concessão de crédito, demonstra que os bancos com mais ativos ilíquidos,
aumentaram a detenção de ativos líquidos e restringiram os empréstimos. Confiaram mais
nos depósitos como fonte estável de financiamento e reduziram os compromissos de
empréstimos pré-existentes.
This work intends to analyze how banks managed the liquidity risk during periods of crisis and how that liquidity exposure conditioned their lending capacity. Over the past few years, banks have become increasingly complex institutions, being exposed to a number of interrelated hazards. The financial crisis of subprime and the sovereign debt crisis in the eurozone, are examples of severity that can achieve these risks and their potential devastating impact on the economy. During the financial crisis period, liquidity in banks decreased significantly, whether by falling asset securitization markets and by the paralisation of the interbank market. During the period of the sovereign debt crisis in the eurozone, the financing difficulties forced the highly leveraged banks to repair their balance sheets and to refocus its business model (ECB, 2012). This research carried out through quantitative method to a set of representative banks of the portuguese and spanish market, focused on changes in the management of liquidity risk and lending, shows that banks with more illiquid assets increased the holding of liquid assets and restricted loans. They relied more on deposits as a stable source of funding and reduced the pre-existing loans commitments.
This work intends to analyze how banks managed the liquidity risk during periods of crisis and how that liquidity exposure conditioned their lending capacity. Over the past few years, banks have become increasingly complex institutions, being exposed to a number of interrelated hazards. The financial crisis of subprime and the sovereign debt crisis in the eurozone, are examples of severity that can achieve these risks and their potential devastating impact on the economy. During the financial crisis period, liquidity in banks decreased significantly, whether by falling asset securitization markets and by the paralisation of the interbank market. During the period of the sovereign debt crisis in the eurozone, the financing difficulties forced the highly leveraged banks to repair their balance sheets and to refocus its business model (ECB, 2012). This research carried out through quantitative method to a set of representative banks of the portuguese and spanish market, focused on changes in the management of liquidity risk and lending, shows that banks with more illiquid assets increased the holding of liquid assets and restricted loans. They relied more on deposits as a stable source of funding and reduced the pre-existing loans commitments.
Description
Dissertação de Mestrado
Apresentada ao Instituto Superior de Contabilidade e Administração do Porto
para a obtenção do grau de Mestre em Contabilidade e Finanças, sob orientação
do Doutor Mário Joel Matos Veiga de Oliveira Queirós.
Keywords
Gestão risco liquidez Concessão de crédito Bancos Crise financeira Crise dívida soberana Liquidez bancária Liquidity risk management Credit supply Banks Financial crisis Sovereign debt crisis Bank liquidity