ESTRATÉGIAS DE REDUÇÃO DE RISCO NO SETOR BANCÁRIO BRASILEIRO: UMA ANÁLISE DO PERÍODO 1993-1998¹

Abstract

The objective of this paper is analyzing the differentials of banking risk measured by volatility of return rates on the assets of the banking sector. Three indicators of return rates were used. A sample involving 250 banking institutions covered the period from 1993 to 1998. With a basis of theoretical hypothesis formulated, the behavior pattern of volatility differentials among classes of size and of hedge indexes has been analyzed. Furthermore, the pattern of behavior among categories of banking firms has also been examined according to both ownership of capital (private x public banks) and form of organization (multiple x commercial banks). Moreover, an analytical-explanatory model of volatility was estimated with the purpose of complementing the tabular analysis and testing the formulated hypothesis more harshly. The model incorporated both structural variables (size, diversification of activities, form of organization, ownership of capital and nationality) and financial variables (leverage and hedge index). The attained estimates were generally consistent with the formulated hypothesis. The following results were obtained. i) The banks that diversified the most by acting in multiple markets or by operating in diverse transactions, were the ones that exhibited lesser volatility indexes than their more specialized counterparts. ii) The major banking ...