Giovani Antonio Silva Brito

Fatores determinantes da estrutura de capital das maiores empresas que atuam no Brasil

Capital structure is still a still controversial issue in fi theory. Since the discussion between traditional theory, which asserts the existence of an optimal capital structure that maximizes the fi rm’s value, and Modigliani and Miller’s theory (1958), which considers that the value of a fi rm is unaffected by how it is fi nanced, many empirical studies have been carried out to identify the factors that explain how a fi rm fi nances itself. This research analyses the capital structure of the largest fi rms in Brazil and investigates the relationship between the leverage ratio and the factors indicated by theory as determinant. The study is based on accounting data extracted from the fi nancial statements of publicly traded and private companies. Multiple linear regression was applied as a statistical technique. The results indicate that risk, fi rm size, fi xed assets and growth are determinants of the fi rms’ capital structure, while profi tability is not a determinant factor. The results also show that the fi rms’ leverage is unaffected by whether a fi rm is publiclytraded or private.

Modelo de classificação de risco de crédito de empresas

The process of credit risk management in financial institutions has been revised in recent years. In this context, large banks have developed and implemented several new techniques for measuring borrowers credit risk. This research aims to develop a risk classification model to assess the credit risk of companies in the Brazilian market. The model was built based on a sample of publicly traded companies classified as solvent or insolvent during the period from 1994 to 2004. Logistic regression was used to develop the model. The independent variables of the model are financial ratios, calculated from the financial statements and used as proxies of companies economic and financial situation. The validation of the model was done using the Jackknife method and a ROC Curve. The results of the study indicate that the risk classification model developed predicts default events one year prior to failure with good level of accuracy. The results also indicate that financial statements contain information that allow for the classification of companies as probably solvent or probably insolvent.

Sistema de classificação de risco de crédito: uma aplicação a companhias abertas no Brasil

This paper examines whether default events of public companies in Brazil are predicted by a credit rating system based on accounting ratios. The credit rating system developed uses cluster analysis to classify companies in eight ratings, seven for solvent and one for default companies. The variable used to assign ratings to companies is the probability of default estimated by credit risk model developed by Brito and Assaf Neto (2008). The credit rating system assigns annual ratings to non-financial companies listed on Brazilian stock market from 1994 to 2006. Based on these ratings, several risk migration matrices are generated for the analysis period. The migration matrices show the risk increase of default companies prior to the year of occurrence of default event. Most of these companies are classified in the lowest rating or migrate to lower ratings in the years preceding the default. In addition, mortality rates of firms grow in the credit rating system. These results demonstrate that default events of companies can be predicted by a credit rating system based only on accounting ratios.

Modelo de risco para carteiras de créditos corporativos

Los modelos de riesgo de carteras de credito que se difundieron en la industria bancaria internacional tienen aplicacion restricta en Brasil debido a las caracteristicas de su mercado. El objetivo en esta investigacion es proponer un conjunto de procedimientos para medir el riesgo de carteras de creditos concedidos por instituciones financieras a empresas, considerando la disponibilidad de datos del mercado de credito brasileno. En el abordaje propuesto, las perdidas de las empresas de la cartera son modeladas individualmente y los resultados son agregados para obtenerse las perdidas totales de la cartera. Utilizando la tecnica de la simulacion de Monte Carlo, se generan miles de escenarios para la situacion economico-financiera futura de las empresas. Los escenarios generados dan origen a posibles valores de perdida para las empresas individualmente y para la cartera como un todo. El proceso es ilustrado al aplicarse el modelo a una cartera hipotetica, construida con base en los datos de las carteras de las instituciones financieras en Brasil. El modelo genera la distribucion de las perdidas de la cartera de credito, a partir de la cual se pueden obtener medidas que cuantifican el riesgo de la cartera, como la perdida esperada y la perdida no esperada, y calcular el capital economico que debe destinar la institucion. Los resultados obtenidos indican que el modelo propuesto se configura como una alternativa que permite que el riesgo de carteras de credito sea medido.