Mensuração do Risco Sistêmico no Setor Bancário com Variáveis Contábeis e Econômicas

The systemic risk in the financial system has been a constant concern for the international institutions and supervisory authorities. The financial crises occurred in several countries have caused significant economic damages and high social costs. The objective of this study is to measure the systemic risk of the banking system, utilizing accounting and economic variables together. Through the volatilities of economic variables, like interest rate and foreign exchange rate, and accounting variables, representatives of credit quality and liquidity, it was possible to build indicators comprising risk factors. These indicators were submitted to logistic regression analysis, in order to test the statistic significance of them, and to verify the existence of a model to evaluate the probability of any banking system be classified as susceptible, or not, to financial crises. The results exposed the existence of accounting and risk indicators capable to discriminate banking systems according to the risk level. The accounting and economic variables most associated to financial crises are related to credit quality, earnings, and interest rate level. All of indicators composed by these variables showed to be relevant in the classification process. Confirming that, the equations resulted in correct classification above 90%.