Riscos climáticos no gerenciamento de riscos de crédito dos bancos brasileiros

Abstract

The research has as its object of study the process of managing climate risks in Brazilian banking institutions; its general objective is to present the procedures necessary to promote the integration of climate risks in the credit risk management process of Brazilian banks; the specific objectives established indicate the paths taken in the research: to analyze how the financial sector has approached CR in its business; identify how climate risks are addressed by Brazilian banks in their management reports and propose a framework to integrate CR in the credit risk management process of Brazilian banks. Theoretical framework presents authors who discuss the extent of CR as an environmental risk; how the financial system exposes itself to these risks; its systemic nature; and how financial system agents have approached CR in their management processes. The studies by Linnenluecke, Birt and Griffiths (2015); Loose (2016); Frisari et al., 2019; Monasterolo, 2020; Onischka, 2008; Scott, Huizen and Jung (2017); Furrer, Hamprecht and Hoffmann (2012); Krueger, Sautner and Starks (2018), added to others, supported this thesis and showed that CR should be considered as a category of environmental risks given their characteristics, dimension and magnitude; that CR represent systemic risks to global economic and financial stability, since they heighten financial risks and expose agents in the financial system, which is why they should be considered in their risk management processes; and that Brazilian banks were not included in the surveys that examined the approach of CR in the financial system. The research presents a qualitative approach; uses narrative literature review techniques based on Botelho, Cunha and Macedo (2011), systematic literature review based on Tranfield, Denyer and Smart (2003) and De-La-Torre-Ugarte-Guanilo, Takahashi and Bertolozzi (2011), and documental analysis of reports available on the websites of selected institutions, submitted to content analysis proposed by Bardin (2011) through the qualitative data analysis software Nvivo® version 12pro. The analysis of the maturity level of Brazilian banks for actions related to MC on a scale of 0 (do not adopt actions for MC) to 4 (integrate actions aimed at MC in their management processes) found that, of the ten banks analyzed, six found up at level 0 (natives); one at level 1 (reactive); one at level 2 (proactive); two at level 3 (developed) and no banks are at level 4 (integrated). The systematic review of the literature evidenced the absence of proposed procedures for the integration of RCs into the risk management structure of banks. Based on recommendations and guidelines from technical and legal provisions such as ISO 31000:2018, Resolutions 4.557/2017 and 2.682/1999 of the Central Bank of Brazil, and academic research such as the study by Jaroslav and Eva (2011) and Svítil (2018) , the procedures necessary for the integration of RCs in the credit risk management of Brazilian banks are presented, consolidated in a framework called the Climate Factor Calculation Module (MAFC), which can be integrated into the credit risk management structures used by banks Brazilians.