Diferentes riscos, diferentes regras: como as características das instituições bancárias influenciam o risco financeiro sistêmico

Abstract

International and national guidelines on the regulation of the financial system suggest that prudential measures should be proportionate to the contribution of individual institutions to systemic risk. This dissertation explored the marginal contribution of different individual banks to systemic risk in order to contribute to the establishment of public policies on prudential regulation that are adequate to the risk profile of Brazilian banks. From a sample of listed Brazilian banks, financial and market data were collected for the period between 2017 and 2020 in order to measure the risk assumed by these institutions from an accounting, market and regulatory perspective. Then, the sample banks were segregated using an unsupervised clusterization model. The results found were compared with the methodology currently used by the Central Bank of Brazil in the segmentation of banking institutions. Finally, the marginal contribution of representatives of each group of banks organized according to their risk profile to systemic financial risk was evaluated using the ∆CoV aR. The results suggest that institutions that share similar characteristics in relation to their risk profile behave similarly in times of greater market stress. In addition, it was observed that size, geographic diversification and liquidity are attributes shared by the institutions that most contributed to systemic financial risk when crises occurred in the financial market.