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.

Association mapping of stem rust resistance in durum wheat at the seedling and adult plant stages

In wheat, stem rust is known to rapidly evolve new virulence to resistance genes. While more than 50 stem rust resistance (Sr) loci have been identified in wheat, only a few remain effective, particularly against the highly virulent race Ug99 (TTKSK race) and a mixture of durum-specific races. An association mapping (AM) study based on 183 durum wheat accessions was utilized to identify resistance loci for stem rust response in Ethiopia over four seasons and artificial inoculation with Ug99 (TTKSK race) and a mixture of durum-specific races under field conditions as well as in greenhouse test at seedling stage under controlled conditions for resistance to four highly virulent stem rust races: TRTTF, TTTTF, (TTKSK (Ug99) and JRCQC. The panel was profiled with 1,253 SSR and DArT markers. Twelve QTL-tagging markers were significant (P < 0.05) across three to four seasons. The role of Sr13, Sr9, Sr14, Sr17, and Sr28 was confirmed. Thirteen significant markers were in regions with no Sr genes/QTLs. The results under controlled conditions showed that 15, 20, 19 and 19 chromosome regions harbored markers that showed significant effects for races TRTTF, TTTTF, TTKSK and JRCQC, respectively. These genomic regions showed marker R2 values ranging from 1.13 to 8.34, 1.92 to 17.64, 1.75 to 23.12 and 1.51 to 15.33% for races TRTTF, TTTTF, TTKSK and JRCQC, respectively. The study demonstrates that stem rust resistance in durum wheat is governed in part by shared loci and in part by race-specific ones. The QTLs identified in this study through AM will be useful in the marker-assisted development of durum wheat cultivars with durable stem rust resistance.