O risco de crédito em contratos de factoring

: o caso BNP Paribas Factor

Abstract

BNP Paribas Factor incurs in many risks associated with their activity. Factoring is a very specific type of credit, with particular conditions, and its main risk is fraud. The credit risk, unlike other financial institutions are not embodied in its main problem. Although it exists in the activity, it is quite controlled. The various products and factoring services have different levels of risk to both: entity and customer. This study rests with the study of the expected loss in the event of default on two types of factoring agreement, factoring contracts with recourse and factoring contracts without recourse. So not only is intended to see which of these two types of contracts has the highest expected loss, but also how they differ from each other in the three components of the expected loss, namely: probability of default (PD), exposure at default (EAD) and loss given default (LGD). For this purpose, it was used information on all active contracts at BNP Paribas Factor on 19 January 2016. The sample focuses on factoring active contracts with recourse and without recourse. By analyzing the characteristics of each contract and the results obtained, it was verified that the factoring contracts with recourse have higher expected loss than factoring contracts without recourse. In addition, this difference is due to the fact that LGD be higher in factoring contracts with recourse, since both the PD and EAD, do not differ significantly between factoring contracts with and without recourse.

Date of Award	6 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	João Pinto (Supervisor)