Enterprise risk management e o custo da dívida

: uma análise empírica do PSI

Abstract

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.

Date of Award	12 Jul 2023
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Ricardo Cunha (Supervisor)