Banca de DEFESA: ROSA EUNICE ALVES AZEVEDO

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
DISCENTE : ROSA EUNICE ALVES AZEVEDO
DATA : 30/06/2020
HORA: 08:30
LOCAL: Videoconferência
TÍTULO:

Theoretical Model for Inserting Climate Risks in the Credit Risk Management Process

PALAVRAS-CHAVES:

Climatic Risks. Financial Institution. Financial Risks

PÁGINAS: 139
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

The negative impacts of CR (Climate Risks) on financial institutions put the stability of the financial system at risk. Given the importance of the financial sector to the economy, studies have been developed with the purpose of reducing the exposure of these institutions, as well as the development of management processes and instruments capable of contemplating them, especially with regard to the banking sector. In this scenario, this study defends the thesis that despite the advances in studies on the relationship between the financial sector and CR and the considerations that these risks are classified as financial risks, CR are not yet included by banks in their risk management process. Hence, the following research question emerged: what are the components of a theoretical model that can include CR in the credit risk management processes, traditionally used by banks? In order to validate this thesis and answer this research question, two works were developed that together form this work. The first of them aimed to analyze the maturity level of Brazilian banks for actions focused on CR, presented in XLIII EnANPAD/2019. This first work started from the adaptation of the structure of the Geneva Association report applied by Johannsdottir (2014) to Nordic insurance companies highlighted in a bibliographic survey. 10 banks in the Brazilian financial system were selected (the five largest public banks and the five largest private banks in volume of assets) according to the database of the Central Bank of Brazil. Data collection was done in sustainability reports made available by banks on their respective websites and resulted in the finding that although private banks are more committed to climate issues than public banks, there is still much to be done. The second study presents the Climate Factor Calculation Module - MAFC. After a bibliographic review, it was concluded that traditional structures as well as scenario projection models are not appropriate for CR management. MAFC was designed as an independent module, but integrated with the banks' traditional risk management system. In this module, customers are classified according to the efficiency of the mitigation actions adopted, which determine the level of adjustment in the price of the requested credit operations (upwards or downwards). This study contributes by reducing exposure to transition risks, inducing a self-regulation practice, thus contributing to a smoother transition to the decarbonized economy as well as with insights for public policies; and with the legitimacy of the banks' sustainability actions with stakeholders, as it shows more substantial commitment and engagement with climate issues. Despite these contributions, the work presents as a limitation the lack of statistical process for the implementation of the model, due to the scarcity of data regarding customer emissions, as well as its non-practical applicability, which prescinds from the translation of the adopted procedures to the bank's information systems language for further simulation in a real banking operation.

MEMBROS DA BANCA:
Externo à Instituição - ARACÉLI CRISTINA DE SOUSA FERREIRA - UFRJ
Externo à Instituição - FATIMA DE SOUZA FREIRE - UnB
Interno - 2182318 - JOSE CELIO SILVEIRA ANDRADE
Externo à Instituição - MAISA DE SOUZA RIBEIRO - USP
Interno - 033.494.857-66 - RODRIGO SILVA DE SOUZA - UR
Presidente - 6287538 - SONIA MARIA DA SILVA GOMES