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Authors
Advisor(s)
Abstract(s)
Nos tempos de incerteza económica e financeira atuais, a gestão de risco ganhou novas
responsabilidades dela se esperando um contributo para a prevenção de futuras crises. É neste
contexto de renovado interesse sobre a temática de gestão de riscos que foi elaborada a presente
dissertação.
Subordinada ao tema “Enterprise Risk Management (ERM) e desempenho das instituições
financeiras nacionais”, consistiu num estudo dos resultados e rendibilidades apresentadas por
essas entidades e a sua associação com o processo de gestão dos riscos. Também foram
considerados na análise os efeitos do Acordo de Basileia III, do programa de assistência financeira
e a problemática da dimensão dos ativos sobre os valores reportados da rendibilidade.
No desenvolvimento do estudo recorreu-se aos relatórios e contas de seis das mais
representativas instituições bancárias a operar no mercado português, no período compreendido
entre o segundo semestre de 2011 e o primeiro semestre de 2013. Os dados recolhidos sobre os
indicadores de capital, de alavancagem, de liquidez e de desempenho, permitiram medir a
eficiência do processo de gestão do risco dessas entidades.
A investigação obteve evidências que comprovam a hipótese de que existe uma correlação
positiva entre a eficiência de um processo ERM numa instituição bancária e o seu desempenho.
Contudo, fez-se uma chamada de atenção para as limitações da análise em termos da
representatividade da amostra e do contexto temporal a que reporta sendo fonte de potencial
enviesamento.
In the current times of economic and financial uncertainty, risk management gained new responsibilities and from it is expected an adequate response to prevent future crises. It is in this context of renewed interest in the topic of risk management that we develop the present dissertation. This dissertation studies the impact of Enterprise Risk Management (ERM) on the performance of Portuguese financial institutions, through the analysis of net incomes and returns submitted by banks in their reports and their association with the risk management process. It will also discusses the effect of the new measures of the Basel III Accord, the financial assistance program, and the size of the bank’s assets have on the performance indicators. To carry out this study we used the annual reports of six of the most representative financial institutions operating in the Portuguese banking market, from the second semester of 2011 to the 1st half of 2013. The data collected from the indicators of capital, leverage, liquidity and performance helped measure the efficiency of the risk management process of these banks. From our research we could prove the theoretical assumption that there is a positive correlation between the efficiency of an ERM process of a financial institution and the performance of those entities. However, we would like to emphasize the fact that these conclusions maybe skewed by the limited number of financial institutions analyzed and by the particular economic and financial situation in the period from 2011 to 2013.
In the current times of economic and financial uncertainty, risk management gained new responsibilities and from it is expected an adequate response to prevent future crises. It is in this context of renewed interest in the topic of risk management that we develop the present dissertation. This dissertation studies the impact of Enterprise Risk Management (ERM) on the performance of Portuguese financial institutions, through the analysis of net incomes and returns submitted by banks in their reports and their association with the risk management process. It will also discusses the effect of the new measures of the Basel III Accord, the financial assistance program, and the size of the bank’s assets have on the performance indicators. To carry out this study we used the annual reports of six of the most representative financial institutions operating in the Portuguese banking market, from the second semester of 2011 to the 1st half of 2013. The data collected from the indicators of capital, leverage, liquidity and performance helped measure the efficiency of the risk management process of these banks. From our research we could prove the theoretical assumption that there is a positive correlation between the efficiency of an ERM process of a financial institution and the performance of those entities. However, we would like to emphasize the fact that these conclusions maybe skewed by the limited number of financial institutions analyzed and by the particular economic and financial situation in the period from 2011 to 2013.
Description
Dissertação de Mestrado
apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria, sob orientação do Mestre Fernando Teixeira Pinto
Nota: 15 valores
Nota: 15 valores
Keywords
Enterprise risk management Risco Acordos de Basileia Desempenho Enterprise risk management Risk Basel accords Performance
Pedagogical Context
Citation
Publisher
Instituto Politécnico do Porto. Instituto Superior de Contabilidade e Administração do Porto