Confronto SEM-FEM per un problema di dinamica strutturale

In questo rapporto si è voluto affrontare un problema classico di ingegneria civile, quello di una trave semplicemente appoggiata sollecitata da una forza impulsiva di mezzeria. Il problema in esame, ben noto dal punto di vista sia sperimentale che teorico è stato utilizzato per verificare l’applicabilità delle metodologie ad elementi spettrali, alla risoluzione di un problema di semplice dinamica strutturale. La metodologia SEM (Spectral Element Method) è stata implementata dal gruppo di Meccanica dei Solidi e delle Strutture nella famiglia di codici ELSE, finora queste metodologie sono state impiegate in ambito strutturale, per la risoluzione di problemi statici, e di dinamica transiente “veloce” legata cioè alla propagazione di onde elastiche nelle strutture. I fenomeni dinamici in questo caso sono più lenti, interessano frequenze inferiori, e vengono genericamente definiti come problemi di dinamica strutturale. I risultati ottenibili con la metodologia spettrale saranno confrontati con quelli ottenibili con una specifica metodologia ad elementi finiti, implementata nel codice commerciale ANSYS, di provata affidabilità

The mitigation role of collaterals and guarantees under Basel II

Under the Basel II framework for capital adequacy of banks, regulatory financial collateral and guarantees (C&G ) can affect lending policy in both a micro and a macro perspective. This paper aims at assessing these effects throught the modelling of the impact of C&G on credit spreads. In doing this we assume the perspective of a bank adopting a Foundation Internal Rating Based approach to measure credit risk and we apply a comparative-static analysis to a pricing model, based on the intrinsic value pricing approach as in the loan arbitrage-free pricing model (LAFP) suggested by Dermine (1996). Our results show that financial collaterals are more effective than guarantees in reducing credit spreads, this differential impact becoming greater as the borrower’s rating worsen. Moreover, the effects of C&G on credit spreads can be more effective than an improvement of borrower’s rating, this possibly leading to negative outfits on credit industries’ allocative efficiency.JRC.G.1-Scientific Support to Financial Analysi

Deposit Insurance Schemes: target fund and risk-based contributions in line with Basel II regulation

This paper discusses a deposit insurance model recently developed by De Lisa et al. (2010), highlighting its policy implications. Compared to existing ones, the model proposed by De Lisa et al. (2010) presents the important advantage of taking into account Basel 2 banking regulation, thus linking two pillars of financial safety net: banks' capital requirements and deposit insurance. The model, which estimates the potential loss hitting a Deposit Insurance Scheme (DIS) under several economic scenarios, can be used to establish the target size of the fund, which is the amount of money that the DIS should have available in case of need. Moreover the model can be used to estimate the contribution (to this loss) that each bank should pay to the fund according to its degree of riskiness.JRC.DG.G.9-Econometrics and applied statistic

Does Debt Concentration Depend on the Risk-Taking Incentives in CEO Compensation?

[EN] Coordination problems amongst creditors are reduced when a firm’s debt structure is concentrated in fewer debt types. Using a sample of US non-financial firms, we show that an increase in risktaking incentives in CEO pay is associated with a greater debt concentration by debt type. This result holds in various settings that account for endogeneity and is primarily driven by pay incentives embedded in vested options that are expected to favor business choices with more immediate negative effects on debtholders’ wealth. Further, our findings are stronger for firms with a higher default risk where coordinated efforts amongst creditors become more pressing. A final test documents that a more concentrated debt structure reduces the negative influence of CEO risk-taking incentives on debtholder wealth thus highlighting the advantages of lower coordination problems amongst creditors

CEO Turnover in Large Banks: Does Tail Risk Matter?

Using a unique international dataset, we show that the CEOs of large banks exhibit an increased probability of forced turnover when their organizations are more exposed to idiosyncratic tail risks. The importance of idiosyncratic tail risk in CEO dismissals is strengthened when there is more competition in the banking industry and when stakeholders have more to lose in the case of distress. Overall, we document that the exposure to idiosyncratic tail risk offers valuable signals to bank boards on the quality of the choices made by CEOs and these signals are different from those provided by accounting and market measures of bank performance and by idiosyncratic volatility. In contrast, systematic tail risk is usually filtered out from the firing decision, only becoming important for forced CEO turnovers in the presence of a major variation in the costs that the exposure to this risk generates for shareholders and the organization

Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?

We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional early warning models. However, the additional predictive power remains small and it is not normally confirmed for the Asian and the 1998 crises. We conclude that it is problematic to identify a market-based measure of systemic importance that remains valid across crises with different features. The same criticism also applies to several conventional proxies of systemic importance, of which size is the most consistent performer

Systemic risk and bank size

In this paper we analyse firm level systemic risk for US and European banks from 2004 to 2012. We observe that common systemic risk indicators are primarily driven by firm size which implies an overriding concern for “too-big-to-fail” institutions. However, smaller banks may still pose considerable systemic threats, as exemplified by the Northern Rock debacle in 2007. By introducing a simple standardisation, we obtain new risk measures that often prove to be superior predictors of financial distress during the 2007-2009 subprime crisis. We conclude that the new measures could be a valuable addition to the existing indicators employed in Basel III to identify systemically important banks

Diversification, Size and Risk: the Case of Bank Acquisitions of Nonbank Financial Firms

We investigate the risk effects of bank acquisitions of insurance companies and securities firms between 1991 and 2012 using a newly constructed dataset of M&A deals. We examine risk changes before and after deal announcements by decomposing risk into systematic and idiosyncratic components. Subsequently, we investigate the relationship between risk and diversification by modelling the determinants of risks. We find that bank combinations with securities firms yield higher risks than combinations with insurance companies. Bank size is an important and consistent determinant of risk whereas diversification is not. Our results inform the continuing debate on diversification versus functional separation of bank activities

Cross-border arbitrage and acquirers’ returns in the Eurozone crisis

Using a sample of 1,263 European acquisitions over 2004–2012, we show that the performance of cross-border acquisitions is significantly affected by the Eurozone and the euro debt crisis. First, due to financial market integration and the elimination of exchange rate risk, intra-Eurozone acquisitions do not earn any abnormal returns for bidders. Second, as a result of the euro debt crisis and the temporary misvaluation among European countries, acquisitions earn positive abnormal returns only for non-Eurozone companies acquiring Eurozone targets. These abnormal returns are driven by the depreciation of the euro and the use of low-cost capital available to overvalued acquirers