Securitização de recebíveis no setor bancário brasileiro: um estudo multi-caso
AUTOR(ES)
Gustavo Campos Catão
DATA DE PUBLICAÇÃO
2006
RESUMO
This study aimed to verify whether there is any relation between asset securitization and the leverage, liquidity and credit quality portfolio of brazilian banks. It was used a multi case study with 10 banks gathering 18 trimesters between the years of 2001 and 2005 (2 trimester). It was conducted the Wilcoxon non parametric test, in order to verify if the asset securitization has changed meaningful the leverage, liquidity and the credit quality of the portfolio of the banks; it was conducted as well, the Pearson correlation coefficient in order to verify how the asset securitization has influenced the variables. For the banks which do not presented meaningful results for the Wilcoxon test, it was conducted a graphic analysis trimester by trimester to visualize any relation between the variables. The results revealed that 70% of the banks presented a relation statistically significant between the asset securitization and leverage, liquidity and credit quality. Three banks presented, to the credit quality variable, negative coefficients to the good quality of credit and positive coefficient to the medium and bad quality of credit, suggesting that asset securitization made worst the credit quality of the portfolio of these banks. Four banks presented, to the leverage variable, negative correlation and three banks a positive one, which suggest that asset securitization has different impacts under the banks analyzed. Two banks presented, related to the liquidity variable, negative correlation and five banks a negative one, suggesting that asset securitization has increased the bank liquidity.
ASSUNTO(S)
banks credit securitização de recebíveis asset securitizations bancos crédito - administração ciencias contabeis
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