| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.13 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
Nos últimos anos, com o aumento da complexidade e volatilidade dos riscos, tem sido dada cada vez mais uma maior importância à gestão de risco e em particular, pela transição de uma abordagem tradicional para uma gestão de risco racional. A Gestão de Risco Empresarial (sigla em inglês, ERM – Enterprise Risk Management) é um processo que gere todos os riscos de uma organização de forma integrada, tendo consciência das suas interdependências, de acordo com o perfil de risco e objetivos da mesma. O presente trabalho final de mestrado (TFM) tem como principal objetivo estudar, para o período temporal de 2014 a 2021, a relação do nível de implementação da Metodologia de Gestão de Risco Empresarial com o Custo da Dívida em 14 empresas que estão incluídas no índice PSI da Bolsa de Valores de Lisboa e que fazem parte do setor não financeiro. Para o efeito, recorreu-se a um modelo de regressão OLS com um cluster na variável “empresas” onde o Custo da Dívida era a variável explicável e foi modelizada em função do ERMscore, uma proxy para o nível de implementação de ERM das empresas, e por variáveis de controlo alinhadas com a literatura existente. Os resultados obtidos demonstram que a implementação do ERM não tem impacto significativo no custo da dívida. O mercado não diferencia os diferentes níveis de implementação de ERM como um fator diferenciador para o custo da dívida. Isto, provavelmente devido ao facto de as empresas da amostra serem de grandes dimensões e cotadas, em que os investidores e credores percecionam um determinado nível de sofisticação dos programas de gestão de risco similar entre as mesmas. Neste mesmo sentido, os resultados foram influenciados pelo facto de as empresas analisadas terem um elevado nível de implementação de ERM.
In recent years, with the increasing complexity and volatility of risks, more and more importance has been given to risk management and, to the transition from a traditional approach to a rational risk management. Enterprise Risk Management (ERM) is a process that manages all the risks of an organization in an integrated way, being aware of their interdependencies, according to its risk profile and objectives. The main objective of this master's degree final work is to study, for the time period from 2014 to 2021, the relationship between the level of implementation of the Enterprise Risk Management Methodology and the Cost of Debt in 14 companies that are included in the PSI index of the Lisbon Stock Exchange and that are part of the non-financial sector. For this purpose, we resorted to an OLS regression model with a cluster on the variable "firms" where Cost of Debt was the explainable variable and was modeled as a function of the ERMscore, a proxy for the firms' level of ERM implementation, and by control variables aligned with the existing literature. The results obtained show that ERM implementation has no significant impact on the cost of debt. The market does not differentiate between different levels of ERM implementation as a differentiating factor for the cost of debt. This is probably due to the fact that the sample companies are large and listed, where investors and creditors perceive a certain level of sophistication of risk management programs similar among them. In the same vein, the results were influenced by the fact that the companies analyzed had a high level of ERM implementation.
In recent years, with the increasing complexity and volatility of risks, more and more importance has been given to risk management and, to the transition from a traditional approach to a rational risk management. Enterprise Risk Management (ERM) is a process that manages all the risks of an organization in an integrated way, being aware of their interdependencies, according to its risk profile and objectives. The main objective of this master's degree final work is to study, for the time period from 2014 to 2021, the relationship between the level of implementation of the Enterprise Risk Management Methodology and the Cost of Debt in 14 companies that are included in the PSI index of the Lisbon Stock Exchange and that are part of the non-financial sector. For this purpose, we resorted to an OLS regression model with a cluster on the variable "firms" where Cost of Debt was the explainable variable and was modeled as a function of the ERMscore, a proxy for the firms' level of ERM implementation, and by control variables aligned with the existing literature. The results obtained show that ERM implementation has no significant impact on the cost of debt. The market does not differentiate between different levels of ERM implementation as a differentiating factor for the cost of debt. This is probably due to the fact that the sample companies are large and listed, where investors and creditors perceive a certain level of sophistication of risk management programs similar among them. In the same vein, the results were influenced by the fact that the companies analyzed had a high level of ERM implementation.
Description
Keywords
Gestão de risco empresarial Custo da dívida PSI Enterprise risk management Cost of debt