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Contribuição para a análise do desempenho das instituições financeiras a partir dos indicadores da carteira de crédito

Pimenta, Ananda Carvalho

This dissertation aims to assess the possible contribution of methodologies indicators - CAMELS rating and Data Envelopment Analysis (DEA) to performance and efficiency analyzis applied to Brazilian banks considering the loan portfolio indicators in the 2009- 2012 period. This study is based on an extensive literature review on the four cornerstone themes - financial institutions efficiency and performance, credit risk management, rating CAMELS and Data Envelopment Analysis (DEA) that support the methodology definition and the result analysis. The descriptive and dispersion analyzes enabled the data validation and provided the initial understanding of banks' credit portfolio for the banks selected sample. Thereafter i) the CAMELS management and asset quality indicators were calculated to respectively, indicate management s behavior regarding risk and banking management, and overdue loans share in the portfolio, and also ii) the DEA efficiency indicators were obtained to as a measurement of instituitions relative efficiency. Having been held in 2013 secnd semester, the study sampled a total of eight financial institutions and their data for the 2009- 2012 period. Aiming to validate the applicability of both methodologies to the Brazilian financial market, the sample was divided based on their market profile identified from its main equity volums and accounts. Then it was concluded that both indicators have applicability in assessing the efficiency in the Brazilian s financial institutions, including the indication to associate then, in order to have a more detailed analysis due their own specificities. The dissertation also presents insights for future studies on this relevant topic