Determinantes de Inadimplência e de Recuperação de Crédito em um Banco de Desenvolvimento

Abstract

Considering the latest financial crises and because of the increasingly importance of credit risk management to economic actors and academics, this research aims to identify the conditioning factors of non-performing loans and credit recovery of a development bank portfolio. We analyzed data of 20.241 loans granted to micro and small enterprises between November 2009 and November 2014. To achieve the research goals, non-performing loan and loan recovery models were estimated by logistic regression. The results point out the significant effects on determining non-performing loans and/or credit recovery of (i) individual characteristics, such as firm’s age, (ii) loan characteristics, like the financial product and the installment payment period, and (iii) lending relationship, such as the number of years of relationship with the development bank. Contrary to the arguments of part of the literature, the results do not suggest any reverse relation between non-performing loans and credit recovery explanatory variables, which could enhance the loss from credit risk misspecification.