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.

Project Financing nelle Infrastrutture del Trasporto

L’elaborato ha avuto ad oggetto l’analisi delle sofisticate soluzioni normative proposte dall’ordinamento nazionale in relazione all’evoluzione della finanza di progetto. In particolare, è stata condotto un dettagliato studio delle fasi che compongono il project financing, nonché dei soggetti che, a diverso titolo e ragione, vi partecipano. L’elaborato contiene, poi, recenti esempi concreti di project financing nelle infrastrutture primarie (autostrade) tra cui il progetto di costruzione e la successiva gestione dell’autostrada regionale Medio Padana veneta, dell’autostrada regionale Cispadana, e dell’autostrada “Nogara-mare”. L’ultimo parte della tesi è stata infine incentrata sull’analisi delle più recenti pronunce giurisprudenziali in materia di project financing. In particolare, si ha avuto modo di analizzare il fenomeno dello jus poenitendi dell’amministrazione aggiudicatrice, nonché, più in generale gli eventi che possono negativamente incidere sulla finanza di progetto (mancata aggiudicazione, risoluzione del contratto di gestione, ecc.).