Modelling systemic risk in financial markets

This dissertation provides a study on systemic risk in financial markets; it is laid out as follows. Chapter 1 provides a survey of the quantitative measure of systemic risk in the economics and finance literature. In Chapter 2 examine, using conditional VaR (CoVaR), the systemic risk generated by major Spanish financial institutions in the recent global financial crisis and the European sovereign debt crisis as a systemic risk measure. CoVaR was quantified using quantile regression, multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) and copula approaches. We also describe a novel copula-based approach to computing the CoVaR value, given that copula are flexible modellers of joint distribution and are particularly useful for characterizing the tail behaviour that provides such crucial information for the CoVaR. We found significant increases in systemic risk around the time of the recent global financial crisis and, to a lesser extent, around the time of the European debt crisis. Our evidence also shows that the quantile regression approach was unable to reflect the dynamics of, and sudden changes in, systemic risk. These results have implications for capital regulation in financial institutions and on how systemic risk should be measured. In chapter 3 we study systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking, as a systemic risk measure, the CoVaR as characterized and computed using copulas. We found sovereign debt markets to be coupled before the debt crisis and systemic risk to be similar for all countries. With the onset of the Greek crisis, debt markets decoupled and the systemic risk of the countries in crisis (excepting Spain) decreased whereas that of the non-crisis countries increased slightly. The systemic risk of the Greek debt market increased for other countries in crisis, especially for Portugal (where systemic risk tripled after the onset of the crisis) and decreased for non-crisis countries. In Chapter 4 we investigated — using the CoVaR measure as characterized and computed using copulas and vine copulas — systemic sovereign debt distress in European domestic financial systems and the systemic risk of a potentially distressed Greek debt market for other European financial systems countries before and after the onset of the recent financial and debt crises. We found that, before the debt crisis, sovereign debt had a positive systemic risk on European domestic financial systems. However, with the onset of the Greek crisis, the systemic impact of sovereign debt increased for countries in crisis (Greece, Italy and Portugal) whereas it remained stable or reduced for non-crisis countries. Regarding the systemic impact of sovereign Greek debt distress, our evidence indicates that negative impacts were limited to a small set of countries (Belgium, Italy, the Netherlands and Portugal)

A symmetry-adapted numerical scheme for SDEs

We propose a geometric numerical analysis of SDEs admitting Lie symmetries which allows us to individuate a symmetry adapted coordinates system where the given SDE has notable invariant properties. An approximation scheme preserving the symmetry properties of the equation is introduced. Our algorithmic procedure is applied to the family of general linear SDEs for which two theoretical estimates of the numerical forward error are established.Comment: A numerical example adde

The defence of fortified ruins on the Italian coast

[EN] The essay, as part of a more extensive scientific research, aims at evaluating the theoretical and technical issues linked to the active conservation of fortified heritage in ruins present on the Italian coast. Through the analysis of some exemplary projects, the study will describe the relationship between the architecture and the context, deal with the theme of the absence (lacuna) and the relative interventions, reflect upon the different ways of interpretation and reinstatement, look into the design and management of the vegetation and, last but not least, define strategies and processes for a planned preventive maintenance of these important testimonies of the pastUgolini, A.; Mariotti, C. (2015). The defence of fortified ruins on the Italian coast. En Defensive architecture of the mediterranean: XV to XVIII centuries. Vol. II. Editorial Universitat Politècnica de València. 319-326. https://doi.org/10.4995/FORTMED2015.2015.1778OCS31932

Active ageing of elderly consumers: insights and opportunities for future business strategies

Recent studies have focused on the emerging scenario of ‘active ageing’ as a series of positive actions aimed at fostering elderly adaptability by supporting emotionally close relationships and removing age-related structural barriers. Active ageing may be stimulated not only by leveraging technological and scientific innovations, but also by implementing new business strategies that reflect a better comprehension of elderly new roles and behaviours. To aid in that effort, through a literature review of marketing and management contributions across a five-decade period (1970–2020), this paper investigates elderly consumers’ new roles and related implications for business strategies, from a consumer behaviour perspective. Results present a structured classification of the most prominent streams of research by highlighting five promising changes (5Cs): changes in elderly consumers’ roles in markets and societies; changes in self-care resulting in fashion purchases and cosmetic surgery; changes in elderly consumers’ expenditures on specifically designed products and services; changes in the perception of risks resulting in preferences for either extremely prudent or hazardous behaviours; and changes in general elderly characteristics due to the so-called ‘ageless society’. We highlight the heterogeneity of elderly consumers’ new values and lifestyles, and the importance of incorporating their needs into innovative business strategies, by describing for each section the main findings of extant research and practical implications

Interdependence between renewable-energy and low-carbon stock prices

In the transition to a low-carbon economy, climate-resilient investors may be inclined to buy renewable-energy or other low-carbon assets. As the diversification benefits of investment positions in those assets depend on interdependence between their market prices, we explore that interdependence in the European and USA stock markets. We model the dependence structure using bivariate copula functions and evaluate price spillovers between those markets using a conditional quantile dependence approach that accounts for the reciprocal effects of price movements in those markets under normal and extreme market scenarios. Our empirical evidence for the period 2010–2019 indicates that European renewable-energy and low-carbon stocks co-move; upward and downward movements in low-carbon asset prices have sizeable effects on renewable-energy asset prices, and vice versa, although effects are smaller. In contrast, for the USA we find evidence of non-interdependence, with no significant upward or downward price spillover effects between renewable-energy and low-carbon stocks. Our empirical findings provide useful insights for the design of carbon-resilient portfolios and risk management strategies, and also for implementation of public funding policies to support the transition to a low-carbon economyFinancial support from the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación y Universidades) is acknowledged for research project RTI2018-100702-B-I00, co-funded by the European Regional Development Fund (ERDF/FEDER). Juan C. Reboredo acknowledges funding from the Xunta de Galicia for research project CONSOLIDACIÓN 2019 GRC GI-2060 Análise Económica dos Mercados e Institucións—AEMI (ED431C 2019/11). Andrea Ugolini acknowledges financial support from the Brazilian National Council for Scientific and Technological Development (CNPq)S

Market-based metrics for the systemic risk in climate transition

The transition to a low-carbon economy carries potential ramifications for financial stability. If unanticipated, changes in climate policy and regulation, technology, and consumer and investor preferences can cause sudden market price readjustments. Javier Ojea Ferreiro, Juan C. Reboredo, and Andrea Ugolini have developed an empirical setup to assess various sets of scenarios. They write that an early warning indicator is essential to help identify the exposure of financial institutions to different transition paths

On the use of multiple satellites to improve the spectral efficiency of broadcast transmissions

We consider the use of multiple co-located satellites to improve the spectral efficiency of broadcast transmissions. In particular, we assume that two satellites transmit on overlapping geographical coverage areas, with overlapping frequencies. We first describe the theoretical framework based on network information theory and, in particular, on the theory for multiple access channels. The application to different scenarios will be then considered, including the bandlimited additive white Gaussian noise channel with average power constraint and different models for the nonlinear satellite channel. The comparison with the adoption of frequency division multiplexing (FDM) is also provided. The main conclusion is that a strategy based on overlapped signals is convenient with respect to FDM, although it requires the adoption of a multiuser detection strategy at the receiver

Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets

This paper examines return spillovers within and between different DeFi, cryptocurrency, stock, and safe-haven assets. For the period January 2019 to March 2022, we find that DeFi and cryptocurrency asset markets exhibit strong within-market and between-market return spillovers, that stock and safe-haven markets show weak connectedness, and that safe-haven assets are minor receivers and transmitters of between-market spillover effects. The connectedness between markets is time-varying and reveals structural changes in early 2020. Furthermore, we document that financial conditions shape the dynamics of return spillover effects between marketsWe would like to thank two anonymous reviewers for constructive and insightful comments. Juan C. Reboredo acknowledges financial support provided by the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación y Universidades) under research project with reference PID2021–124336OB-I00 co-funded by the European Regional Development Fund (ERDF/FEDER)S

«A quando ritorneremo e l'orologio sopra la porta ricomincerà a pulsare». Strategie e problemi della ricostruzione nei centri abbandonati delle Marche dopo il sisma del 2016

Every landscape is deeply affected and molded by the actions of nature and mankind and it slowly becomes the collective sum of the “shapes” of “that” specific environment and their mutual interactions. The seismic shocks that occurred in August 2016 devastated a large portion of the Apennine territory. They changed and irrevocably scarred the natural landscape and the unique old local towns. This essay will focus on specific examples of the Marchigian Apennine hillside area and, more specifically, on towns located in a portion of the territory called “the crater”. For the past few years, these locations have been slowly abandoned as they are distant from the main economic centers and from any major transportation infrastructure. This has been the case even more since the 2016 earthquake, which profoundly devastated these areas, making the trend almost irreversible. Starting with three sites affected by the earthquake in different ways, this essay will present strategies and action plans to avoid the complete disappearance of this inestimable patrimony. While discussing the reconstruction and restoration approaches for the historic urban centers, the essay will present the risks of using SAE (Emergency Living Modules), and will propose ways to rebuild local structures using recovered rubble material, now itemized and properly stored, as well as speculating on what the local people’s expectations are and what the future use of these towns will be. «A quando ritorneremo e l'orologio sopra la porta ricomincerà a pulsare». Strategie e problemi della ricostruzione nei centri abbandonati delle Marche dopo il sisma del 2016Il paesaggio da sempre porta su di sé i segni delle mutazioni prodotte dall’azione dell’uomo e della natura configurandosi perciò come quell’insieme di “forme” proprie di “quel” determinato ambiente e delle loro reciproche relazioni. Le scosse sismiche, che dall’agosto del 2016 hanno interessato un ampio brano del territorio appenninico, hanno ferito ed irrimediabilmente segnato i paesaggi antropici naturali ed i loro centri antichi  con le loro  diversità storico culturali. Il saggio intende focalizzarsi su alcune realtà dell’area collinare appenninica del versante marchigiano, in particolare sull’area cosiddetta “cratere”. Luoghi già da tempo in via spopolamento, perché lontani dai poli di maggior attrazione economica e dalle grandi infrastrutture di comunicazione. Un fenomeno, quello dell’abbandono, che all’indomani dello sciamo sismico del 2016 si è accentuato in maniera significativa apparendo in molti casi quasi irreversibile. Partendo quindi da tre realtà segnate dal terremoto in modo diverso, si vuole riflettere su alcune delle strategie messe in atto per impedire la scomparsa totale di un patrimonio. Nell’affrontare il tema della ricostruzione accanto alle problematiche della salvaguardia della forma urbana, ci si interrogherà su come e perché ricostruire in situ, sui rischi delle SAE (soluzioni abitative d’emergenza), ma soprattutto su quale risultato la popolazione si aspetta e quale sarà l’utilizzo di questi borghi.Il paesaggio da sempre porta su di sé i segni delle mutazioni prodotte dall’azione dell’uomo e della natura configurandosi perciò come quell’insieme di “forme” proprie di “quel” determinato ambiente e delle loro reciproche relazioni. Le scosse sismiche, che dall’agosto del 2016 hanno interessato un ampio brano del territorio appenninico, hanno ferito ed irrimediabilmente segnato i paesaggi antropici naturali ed i loro centri antichi  con le loro  diversità storico culturali. Il saggio intende focalizzarsi su alcune realtà dell’area collinare appenninica del versante marchigiano, in particolare sull’area cosiddetta “cratere”. Luoghi già da tempo in via spopolamento, perché lontani dai poli di maggior attrazione economica e dalle grandi infrastrutture di comunicazione. Un fenomeno, quello dell’abbandono, che all’indomani dello sciamo sismico del 2016 si è accentuato in maniera significativa apparendo in molti casi quasi irreversibile. Partendo quindi da tre realtà segnate dal terremoto in modo diverso, si vuole riflettere su alcune delle strategie messe in atto per impedire la scomparsa totale di un patrimonio. Nell’affrontare il tema della ricostruzione accanto alle problematiche della salvaguardia della forma urbana, ci si interrogherà su come e perché ricostruire in situ, sui rischi delle SAE (soluzioni abitative d’emergenza), ma soprattutto su quale risultato la popolazione si aspetta e quale sarà l’utilizzo di questi borghi. «Till the day we come back and the clock over the door starts ticking again» Strategies and Problems of the Forsaken Towns of the Marche after the 2016 EarthquakeEvery landscape is deeply affected and molded by the actions of nature and mankind and it slowly becomes the collective sum of the “shapes” of “that” specific environment and their mutual interactions. The seismic shocks that occurred in August 2016 devastated a large portion of the Apennine territory. They changed and irrevocably scarred the natural landscape and the unique old local towns. This essay will focus on specific examples of the Marchigian Apennine hillside area and, more specifically, on towns located in a portion of the territory called “the crater”. For the past few years, these locations have been slowly abandoned as they are distant from the main economic centers and from any major transportation infrastructure. This has been the case even more since the 2016 earthquake, which profoundly devastated these areas, making the trend almost irreversible. Starting with three sites affected by the earthquake in different ways, this essay will present strategies and action plans to avoid the complete disappearance of this inestimable patrimony. While discussing the reconstruction and restoration approaches for the historic urban centers, the essay will present the risks of using SAE (Emergency Living Modules), and will propose ways to rebuild local structures using recovered rubble material, now itemized and properly stored, as well as speculating on what the local people’s expectations are and what the future use of these towns will be