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Advisor(s)
Abstract(s)
Em sistemas financeiros como o Português ou o Europeu, em que o sistema bancário
assume um peso preponderante face ao mercado de capitais (ao contrário do que ocorre
nos EUA), o risco de crédito desempenha um papel primordial na explicação das crises
financeiras.
Considerando o peso dominante que o segmento do crédito à habitação representa no
total do crédito concedido a particulares pelo Sistema Bancário Português, procurou-se
aplicar, a uma carteira de empréstimos do segmento do crédito à habitação, alguma
metodologia que permita caracterizar o risco de crédito à habitação no Sistema Bancário
Português.
Este trabalho apresenta uma breve descrição dos riscos presentes nos mercados
bancários e uma síntese da literatura teórica e empírica que se tem debruçado sobre o
risco de crédito no segmento do crédito à habitação, apresentando depois urna
metodologia de análise, começando por caracterizar a amostra e prosseguindo com a
descrição dos indicadores utilizados na análise univariada, cujos resultados suportam a
caracterização do risco de crédito à habitação no Sistema Bancário Português, com base
num estudo de Altman e Suggitt (2000) e nos rácios de loan-to-value e debt-to-income e
nos conceitos de taxa de incumprimento (default risk) e taxa de mortalidade (mortality
rate) marginal e cumulativa.
In financial systems like the Portuguese and the European, where the banking system is more important than the capital market (the opposite that occurs in the United States), credit risk assumes a main function for the explanation of financial crisis. Considering the significant weight of mortgage lending in the overall credit granted to customers, it was intended to apply, to a portfolio of mortgage loans, some methodology that would characterize mortgage credit risk in the Portuguese Banking System. In this work, a brief description of the banking system risks and a survey of theoretical and empirical literature conceming mortgage credit risk are presented. After that, there are described a methodology of analysis consisting on the characterization of the sample and the indicators used in the univariate analysis producing outputs whose supports the characterization of the mortgage credit risk in the Portuguese Banking System, based on a study from Altman e Suggitt (2000), involving the ratios loan-to-value and debt-to-income and the concepts of default risk and marginal and cumulative mortal ity.
In financial systems like the Portuguese and the European, where the banking system is more important than the capital market (the opposite that occurs in the United States), credit risk assumes a main function for the explanation of financial crisis. Considering the significant weight of mortgage lending in the overall credit granted to customers, it was intended to apply, to a portfolio of mortgage loans, some methodology that would characterize mortgage credit risk in the Portuguese Banking System. In this work, a brief description of the banking system risks and a survey of theoretical and empirical literature conceming mortgage credit risk are presented. After that, there are described a methodology of analysis consisting on the characterization of the sample and the indicators used in the univariate analysis producing outputs whose supports the characterization of the mortgage credit risk in the Portuguese Banking System, based on a study from Altman e Suggitt (2000), involving the ratios loan-to-value and debt-to-income and the concepts of default risk and marginal and cumulative mortal ity.
Description
Mestrado em Economia Monetária e Financeira
Keywords
risco de crédito sistema bancário taxa de incumprimento taxa de mortalidade marginal e cumulativa credit risk banking system default rate marginal and cumulative mortality rate
Pedagogical Context
Citation
Martins, Eduardo Sérgio Henriques Neves (2006). “Risco de crédito no sistema bancário português : alguma evidência empírica no segmento do crédito à habitação”. Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Publisher
Instituto Superior de Economia e Gestão