Natural Catastrophes: Risk Relevance and Insurance Coverage in EU

The scientific exercise developed aims at drawing a picture of the relevance of various natural catastrophes in the EU Member States and of the development of the Natural Catastrophes insurance markets. The exercise focuses on flood, storm, earthquake and drought and for each natural catastrophe JRC collected available qualitative and quantitative information in order to describe the size of the risk and to describe existing practices of insurance systems. The collected information has the purpose to create clusters of Member States facing similar situations and to identify open issues concerning insurance systems in place.JRC.G.3-Econometrics and applied statistic

Do CDS markets care about the G-SIB status?

"Ending too big to fail" is a declared policy aim and a key element of the globally coordinated financial regulatory reform. An official list of banks considered to be global systemically important (G-SIBs) is published on an annual basis since 2011. The goal of the present paper is to assess to what extent equity and CDS markets care about the official releases of the G-SIB lists and, in particular, whether the inclusion of a bank in the G-SIB list is good or bad news for bank debt and equity holders. The analysis applies both event-studies and panel regressions and relies upon European banks' CDS senior and subordinated quotes and equity prices to evaluate their reactions to the publications of the G-SIB lists. The analysis spans from the first leaked G-SIB list by the Financial Times as of 2009 to the 2017 official publication of the list. Results show that equity and senior/subordinated CDS spreads react differently to the events considered and that reactions evolve over time. During the first events considered in the analysis, CDS of banks classified as G-SIBs react less than those of other banks. Results for more recent events are more mixed, potentially reflecting that recent releases of G-SIBs lists entail less information. The analysis also devotes special attention to a subset of "intermediate" banks that in principle are eligible to enter in the G-SIBs list, as compared to other banks that will obviously be included/excluded in the list given their size and footprint. This narrowed focus allows us to obtain more efficient results.JRC.B.1-Finance and Econom

JRC technical work supporting Commission second level legislation on risk based contributions to the (single) resolution fund

JRC supported the DG MARKT by developing quantitative analyses for the preparation of the second level legislation on bank contributions to be paid to the EU national Resolution Funds and to the Single Resolution Fund SRF for countries participating to the Banking Union. The present report summarizes all the extensive analyses on the calculation of banks contributions supporting the whole policy process. All analyses were based on a dataset that JRC built assembling individual bank unconsolidated balance sheet data, provided directly by the MS. JRC developed the technical details to measure the risk profile of each bank. Starting from a selection of balance sheet indicators, which account for the different aspects of each bank activity, the methodology aggregates them into a single composite risk indicator. The risk indicator is then combined with the bank size measure to compute the share of aggregated contribution each bank joining the fund would pay. JRC also investigated the decrease in contributions of applying a special treatment for the computation of the small banks’ contributions: these banks will not pay contributions based on their risk profile but will be instead lump-sum contributions, depending on their size only. JRC assessed the sensitivity of the distribution of contributions when changing some elements of the overall mechanism used to measure risk and compute contributions. Finally, following the discussion at the political level, JRC also assessed some technical issues related to the calculation of the contribution base and it tested the impact on banks contributions of different options for the phasing in of the single resolution fund.JRC.G.1-Financial and Economic Analysi

Review of the SYMBOL model

An integral part of the model quality control and quality assurance at the European Commission is a scientific peer-review of models, including those developed and used by its Directorate-General Joint Research Centre (JRC). The present reports details the outcome of the review of the SYstemic Model of Banking Originated Losses (SYMBOL), which was carried out by an external scientific Review Panel closely following ‘Guidelines for the review of models used in support of EU policies’. The review aimed at verifying and consolidating the scientific credibility of SYMBOL and identifying most promising/relevant areas for a future model development. The report includes also a first reaction from the SYMBOL team, detailing among others how Review Panel’s suggestions will be addressed.JRC.I.1-Modelling, Indicators and Impact Evaluatio

Prognostic Relevance of Multi-Antigenic Myeloma-Specific T-Cell Assay in Patients with Monoclonal Gammopathies

: Multiple Myeloma (MM) typically originates from underlying precursor conditions, known as Monoclonal Gammopathy of Undetermined Significance (MGUS) and Smoldering Multiple Myeloma (SMM). Validated risk factors, related to the main features of the clonal plasma cells, are employed in the current prognostic models to assess long-term probabilities of progression to MM. In addition, new prognostic immunologic parameters, measuring protective MM-specific T-cell responses, could help to identify patients with shorter time-to-progression. In this report, we described a novel Multi-antigenic Myeloma-specific (MaMs) T-cell assay, based on ELISpot technology, providing simultaneous evaluation of T-cell responses towards ten different MM-associated antigens. When performed during long-term follow-up (mean 28 months) of 33 patients with either MGUS or SMM, such deca-antigenic myeloma-specific immunoassay allowed to significantly distinguish between stable vs. progressive disease (p < 0.001), independently from the Mayo Clinic risk category. Here, we report the first clinical experience showing that a wide (multi-antigen), standardized (irrespective to patients' HLA), MM-specific T-cell assay may routinely be applied, as a promising prognostic tool, during the follow-up of MGUS/SMM patients. Larger studies are needed to improve the antigenic panel and further explore the prognostic value of MaMs test in the risk assessment of patients with monoclonal gammopathies

Dynamic modelling of ammonia biofiltration from waste gases

A dynamic model to describe ammonia removal in a gas-phase biofilter was developed. The math-ematical model is based on discretized mass balances and detailed nitrification kinetics that includeinhibitory effects caused by free ammonia (FA) and free nitrous acid (FNA). The model was able to pre-dict experimental results operation under different loading rates (from 3.2 to 13.2 g NH3h-1m-3). In par-ticular the model was capable of reproducing inhibition caused by high inlet ammonia concentrations. Alsoelimination capacity was accurately predicted. Experimental data was also used to optimize certain modelparameters such as the concentration of ammonia- and nitrite-oxidizing biomass.Peer ReviewedPostprint (published version

Neuromodulation of the feedforward dentate gyrus-CA3 microcircuit

The feedforward dentate gyrus-CA3 microcircuit in the hippocampus is thought to activate ensembles of CA3 pyramidal cells and interneurons to encode and retrieve episodic memories. The creation of these CA3 ensembles depends on neuromodulatory input and synaptic plasticity within this microcircuit. Here we review the mechanisms by which the neuromodulators aceylcholine, noradrenaline, dopamine, and serotonin reconfigure this microcircuit and thereby infer the net effect of these modulators on the processes of episodic memory encoding and retrieval

Solar Observations with Single-Dish INAF Radio Telescopes: Continuum Imaging in the 18 - 26 GHz Range

We present a new solar radio imaging system implemented through the upgrade of the large single-dish telescopes of the Italian National Institute for Astrophysics (INAF), not originally conceived for solar observations

Modeling an Efficient Safety-net Tool for Banks

Safety-nets for the banking system are tools whose main aim is to absorb shortfalls and losses that distressed banks may face. The ongoing financial crisis has revealed that the banking system was not well-endowed to react to the turmoil and it has demonstrated the need for an in-depth rethink and redesign of the safety-nets, in order to make them able to guarantee the maintenance of financial stability in the future. To achieve this goal, the safety-net needs to be designed in an efficient manner, not only to face individual banks difficulties, but also to control systemic distress and to prevent future crises.The present dissertation contributes to this objective and it proposes quantitative methodologies to investigate different safety-net designs and options. The tools considered in this analysis are: Deposit Guarantee Schemes (DGS) to protect banks depositors; Bail-in able bonds (BiB) to increase the banks capability to absorb losses; Resolution Funds (RF) to ensure an orderly resolution of failing institutions and to prevent contagion among banks to spread.At the very inception of the crisis, DGS were the only tools available to absorb banks losses and among regulators there was a common belief that these instruments could be enough to protect citizens wealth and to limit the effects of the crisis on the economy. DGS were brought at the centre of the political debate and they underwent an in-depth revision process with the aim of improving their functioning and their efficiency. The first contribution of this work is a novel methodology to design an effective DGS. The analysis focuses in particular on calibrating the size of funds the DGS should set aside in order to promptly and effectively respond to a potential crisis and protect citizens. The novelty of this approach is the use of CDS data to estimate the default probabilities of individual banks. The empirical loss distribution of DGS is simulated using a firm-value approach and asset value processes are described by generic one-factor Levy models.The second part of this work considers a broader safety-net where also BiB and RF are included. In fact, following the propagation of the banking crisis, a clear consensus has emerged on the idea that a safety-net comprising DGS only was not sufficient to deal with systematically significant banks failures or a systemic crisis. The second contribution of this work consists of a quantitative approach to estimate the effects of the interactions of DGS, BiB and RF and their joint calibration by extending a micro-simulation model of the banking sector, the SYMBOL model. We show in particular how this methodology can be exploited to calibrate the size of funds and the role of the various tools in the safety-net in order to limit the effects of a banking crisis. The proposed approach is very flexible and it provides a quantitative base for the debate which could be used to evaluate the different options that may arise in the policy discussion.status: publishe

Banks’ bail-in and the new banking regulation: an EU event study: JRC Working Papers in Economics and Finance, 2020/07

The purpose of the study is to estimate the short term reaction of equity and CDS prices of a sample of European banks to various events and announcements, such as bail-ins, recapitalisations, and the proposal and final agreement of the EU reform package of prudential and resolution rules in banking (“banking package”). This study replicates and expand Schäfer et al. (2017) to include more recent EU events, such as the resolution of Banco Popular and the further tightening of EU prudential and resolution rules in 2019. Overall, our analysis shows the most recent events did not seem to trigger abnormal reactions in bank funding markets after bank prudential and resolution reforms were implemented in the EU in 2016. An exception is the 2018 Council agreement on its general approach to the proposed banking package. While the 2016 and 2019 reforms of EU prudential and resolution rules seem to have increased perceived probabilities of bail-in, the latter seem not to be affected significantly by more recent individual cases.JRC.B.1-Finance and Econom