Essays on Bank Risk

This PhD Thesis is composed of three chapters, each discussing a specific type of risk that banks face. The first chapter talks about Systemic Risk and how banks get exposed to it through the Interbank Funding Market. Exposures in the said market have Systemic Risk implications because the market creates linkages, where the failure of one party can affect the others in the market. By showing that CDS Spreads, as bank risk indicators, are positively related to their Net Interbank Funding Market Exposures, this chapter establishes the above Systemic Risk Implications of Interbank Funding. Meanwhile, the second chapter discusses how banks may handle Illiquidity Risk, defined as the possibility of having sudden funding needs. Illiquidity Risk is embodied in this chapter through Loan Commitments as they oblige banks to lend to its clients, up to a certain amount of funds at any time. This chapter points out that using Securitization as funding facility, could allow the banks to manage this Illiquidity Risk. To make this case, this chapter demonstrates empirically that banks having an increase in Loan Commitments, may experience an increase in risk profile but such can be offset by an accompanying increase in Securitization Activity. Lastly, the third chapter focuses on how banks manage Credit Risk also through Securitization. Securitization has a Credit Risk management property by allowing the offloading of risk. This chapter investigates how banks use such property by looking at the effect of securitization on the banks’ loan portfolios and overall risk and returns. The findings are that securitization is positively related to loan portfolio size and the portfolio share of risky loans, which translates to higher risk and returns. Thus, this chapter points out that Credit Risk management through Securitization may be have been done towards higher risk taking for high returns.

Temperature Variation Aware Energy Optimization in Heterogeneous MPSoCs

Thermal effects are rapidly gaining importance in nanometer heterogeneous integrated systems. Increased power density, coupled with spatio-temporal variability of chip workload, cause lateral and vertical temperature non-uniformities (variations) in the chip structure. The assumption of an uniform temperature for a large circuit leads to inaccurate determination of key design parameters. To improve design quality, we need precise estimation of temperature at detailed spatial resolution which is very computationally intensive. Consequently, thermal analysis of the designs needs to be done at multiple levels of granularity. To further investigate the flow of chip/package thermal analysis we exploit the Intel Single Chip Cloud Computer (SCC) and propose a methodology for calibration of SCC on-die temperature sensors. We also develop an infrastructure for online monitoring of SCC temperature sensor readings and SCC power consumption. Having the thermal simulation tool in hand, we propose MiMAPT, an approach for analyzing delay, power and temperature in digital integrated circuits. MiMAPT integrates seamlessly into industrial Front-end and Back-end chip design flows. It accounts for temperature non-uniformities and self-heating while performing analysis. Furthermore, we extend the temperature variation aware analysis of designs to 3D MPSoCs with Wide-I/O DRAM. We improve the DRAM refresh power by considering the lateral and vertical temperature variations in the 3D structure and adapting the per-DRAM-bank refresh period accordingly. We develop an advanced virtual platform which models the performance, power, and thermal behavior of a 3D-integrated MPSoC with Wide-I/O DRAMs in detail. Moving towards real-world multi-core heterogeneous SoC designs, a reconfigurable heterogeneous platform (ZYNQ) is exploited to further study the performance and energy efficiency of various CPU-accelerator data sharing methods in heterogeneous hardware architectures. A complete hardware accelerator featuring clusters of OpenRISC CPUs, with dynamic address remapping capability is built and verified on a real hardware.

Novita' sul mercato dei sistemi di pagamento: Gli istituti di pagamento e gli istituti di moneta elettronica

La presente trattazione analizza le novità normative apportate dalle recenti direttive europee sui servizi di pagamento e sulla moneta elettronica (rispettivamente la direttiva 2007/64/CE, c.c. Payment Services Directive o PSD, e la direttiva 2009/110/CE, detta Electronic Money Directive 2 o EMD2). Al fine di incrementare la competitività dei servizi di pagamento, sono stati introdotti nuovi prestatori di servizi di pagamento, non bancari, gli Istituti di Pagamento (IP) e gli Istituti di Moneta Elettronica (IMEL), a cui è stata attribuita la possibilità di far ricorso al contratto di conto di pagamento per la gestione dei servizi di pagamento con possibilità di finanziamento agli utenti. La prima parte della presente trattazione è dedicata alla configurazione giuridica dei nuovi prestatori di servizi di pagamento, influenzante la diffusione dei pagamenti digitali e della moneta elettronica. La seconda parte è rivolta alla ricostruzione giuridica del conto di pagamento, contratto – tipo per la gestione in conto dei servizi di pagamento, ed all’analisi delle modalità di erogazione dei finanziamenti agli utenti. Le direttive predette hanno inoltre attribuito ad IP ed IMEL la facoltà di emettere le carte di pagamento a spendibilità generalizzata, ossia carte di debito e carte di credito. In quanto abilitati all’emissione di moneta elettronica, gli IMEL possono inoltre emettere i c.d. borsellini di moneta elettronica, cioè i dispositivi di memorizzazione e di movimentazione della moneta elettronica. Nella terza parte della trattazione vengono, pertanto, presi in analisi la natura di tali strumenti di pagamento e le differenze intercorrenti rispetto agli affini strumenti bancari. In particolare, ampio spazio è dedicato alla ricostruzione giuridica dei borsellini di moneta elettronica, la cui diffusione tra gli utenti potrebbe avere l’effetto di favorire la progressiva digitalizzazione dei pagamenti e la realizzazione della cashless society.