Securitization and Special Purpose Vehicles in an International Setting: a Systemic View

The present work tries to display a comprehensive and comparative study of the different legal and regulatory problems involved in international securitization transactions. First, an introduction to securitization is provided, with the basic elements of the transaction, followed by the different varieties of it, including dynamic securitization and synthetic securitization structures. Together with this introduction to the intricacies of the structure, a insight into the influence of securitization in the financial and economic crisis of 2007-2009 is provided too; as well as an overview of the process of regulatory competition and cooperation that constitutes the framework for the international aspects of securitization. The next Chapter focuses on the aspects that constitute the foundations of structured finance: the inception of the vehicle, and the transfer of risks associated to the securitized assets, with particular emphasis on the validity of those elements, and how a securitization transaction could be threatened at its root. In this sense, special importance is given to the validity of the trust as an instrument of finance, to the assignment of future receivables or receivables in block, and to the importance of formalities for the validity of corporations, trusts, assignments, etc., and the interaction of such formalities contained in general corporate, trust and assignment law with those contemplated under specific securitization regulations. Then, the next Chapter (III) focuses on creditor protection aspects. As such, we provide some insights on the debate on the capital structure of the firm, and its inadequacy to assess the financial soundness problems inherent to securitization. Then, we proceed to analyze the importance of rules on creditor protection in the context of securitization. The corollary is in the rules in case of insolvency. In this sense, we divide the cases where a party involved in the transaction goes bankrupt, from those where the transaction itself collapses. Finally, we focus on the scenario where a substance over form analysis may compromise some of the elements of the structure (notably the limited liability of the sponsor, and/or the transfer of assets) by means of veil piercing, substantive consolidation, or recharacterization theories. Once these elements have been covered, the next Chapters focus on the regulatory aspects involved in the transaction. Chapter IV is more referred to “market” regulations, i.e. those concerned with information disclosure and other rules (appointment of the indenture trustee, and elaboration of a rating by a rating agency) concerning the offering of asset-backed securities to the public. Chapter V, on the other hand, focuses on “prudential” regulation of the entity entrusted with securitizing assets (the so-called Special Purpose vehicle), and other entities involved in the process. Regarding the SPV, a reference is made to licensing requirements, restriction of activities and governance structures to prevent abuses. Regarding the sponsor of the transaction, a focus is made on provisions on sound originating practices, and the servicing function. Finally, we study accounting and banking regulations, including the Basel I and Basel II Frameworks, which determine the consolidation of the SPV, and the de-recognition of the securitized asset from the originating company’s balance-sheet, as well as the posterior treatment of those assets, in particular by banks. Chapters VI-IX are concerned with liability matters. Chapter VI is an introduction to the different sources of liability. Chapter VII focuses on the liability by the SPV and its management for the information supplied to investors, the management of the asset pool, and the breach of loyalty (or fiduciary) duties. Chapter VIII rather refers to the liability of the originator as a result of such information and statements, but also as a result of inadequate and reckless originating or servicing practices. Chapter IX finally focuses on third parties entrusted with the soundness of the transaction towards the market, the so-called gatekeepers. In this respect, we make special emphasis on the liability of indenture trustees, underwriters and rating agencies. Chapters X and XI focus on the international aspects of securitization. Chapter X contains a conflicts of laws analysis of the different aspects of structured finance. In this respect, a study is made of the laws applicable to the vehicle, to the transfer of risks (either by assignment or by means of derivatives contracts), to liability issues; and a study is also made of the competent jurisdiction (and applicable law) in bankruptcy cases; as well as in cases where a substance-over-form is performed. Then, special attention is also devoted to the role of financial and securities regulations; as well as to their territorial limits, and extraterritoriality problems involved. Chapter XI supplements the prior Chapter, for it analyzes the limits to the States’ exercise of regulatory power by the personal and “market” freedoms included in the US Constitution or the EU Treaties. A reference is also made to the (still insufficient) rules from the WTO Framework, and their significance to the States’ recognition and regulation of securitization transactions.

A model and an algebra for semi-structured and full-text queries

The need for a convergence between semi-structured data management and Information Retrieval techniques is manifest to the scientific community. In order to fulfil this growing request, W3C has recently proposed XQuery Full Text, an IR-oriented extension of XQuery. However, the issue of query optimization requires the study of important properties like query equivalence and containment; to this aim, a formal representation of document and queries is needed. The goal of this thesis is to establish such formal background. We define a data model for XML documents and propose an algebra able to represent most of XQuery Full-Text expressions. We show how an XQuery Full-Text expression can be translated into an algebraic expression and how an algebraic expression can be optimized.

Bayesian Analysis of Linear Inverse Problems with Applications in Economics and Finance

In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either ill-posed or well-posed. From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distribution in functional spaces is characterized. However, the infinite dimension of the considered spaces causes a problem of non continuity of the solution and then a problem of inconsistency, from a frequentist point of view, of the posterior distribution (i.e. problem of ill-posedness). The contribution of this essay is to propose new methods to deal with this problem of ill-posedness. The first one consists in adopting a Tikhonov regularization scheme in the construction of the posterior distribution so that I end up with a new object that I call regularized posterior distribution and that I guess it is solution of the inverse problem. The second approach consists in specifying a prior distribution on the parameter of interest of the g-prior type. Then, I detect a class of models for which the prior distribution is able to correct for the ill-posedness also in infinite dimensional problems. I study asymptotic properties of these proposed solutions and I prove that, under some regularity condition satisfied by the true value of the parameter of interest, they are consistent in a "frequentist" sense. Once I have set the general theory, I apply my bayesian nonparametric methodology to different estimation problems. First, I apply this estimator to deconvolution and to hazard rate, density and regression estimation. Then, I consider the estimation of an Instrumental Regression that is useful in micro-econometrics when we have to deal with problems of endogeneity. Finally, I develop an application in finance: I get the bayesian estimator for the equilibrium asset pricing functional by using the Euler equation defined in the Lucas'(1978) tree-type models.

Kernel Methods for Tree Structured Data

Machine learning comprises a series of techniques for automatic extraction of meaningful information from large collections of noisy data. In many real world applications, data is naturally represented in structured form. Since traditional methods in machine learning deal with vectorial information, they require an a priori form of preprocessing. Among all the learning techniques for dealing with structured data, kernel methods are recognized to have a strong theoretical background and to be effective approaches. They do not require an explicit vectorial representation of the data in terms of features, but rely on a measure of similarity between any pair of objects of a domain, the kernel function. Designing fast and good kernel functions is a challenging problem. In the case of tree structured data two issues become relevant: kernel for trees should not be sparse and should be fast to compute. The sparsity problem arises when, given a dataset and a kernel function, most structures of the dataset are completely dissimilar to one another. In those cases the classifier has too few information for making correct predictions on unseen data. In fact, it tends to produce a discriminating function behaving as the nearest neighbour rule. Sparsity is likely to arise for some standard tree kernel functions, such as the subtree and subset tree kernel, when they are applied to datasets with node labels belonging to a large domain. A second drawback of using tree kernels is the time complexity required both in learning and classification phases. Such a complexity can sometimes prevents the kernel application in scenarios involving large amount of data. This thesis proposes three contributions for resolving the above issues of kernel for trees. A first contribution aims at creating kernel functions which adapt to the statistical properties of the dataset, thus reducing its sparsity with respect to traditional tree kernel functions. Specifically, we propose to encode the input trees by an algorithm able to project the data onto a lower dimensional space with the property that similar structures are mapped similarly. By building kernel functions on the lower dimensional representation, we are able to perform inexact matchings between different inputs in the original space. A second contribution is the proposal of a novel kernel function based on the convolution kernel framework. Convolution kernel measures the similarity of two objects in terms of the similarities of their subparts. Most convolution kernels are based on counting the number of shared substructures, partially discarding information about their position in the original structure. The kernel function we propose is, instead, especially focused on this aspect. A third contribution is devoted at reducing the computational burden related to the calculation of a kernel function between a tree and a forest of trees, which is a typical operation in the classification phase and, for some algorithms, also in the learning phase. We propose a general methodology applicable to convolution kernels. Moreover, we show an instantiation of our technique when kernels such as the subtree and subset tree kernels are employed. In those cases, Direct Acyclic Graphs can be used to compactly represent shared substructures in different trees, thus reducing the computational burden and storage requirements.

Enhanced Mixed Integer Programming Techniques and Routing Problems

Mixed integer programming is up today one of the most widely used techniques for dealing with hard optimization problems. On the one side, many practical optimization problems arising from real-world applications (such as, e.g., scheduling, project planning, transportation, telecommunications, economics and finance, timetabling, etc) can be easily and effectively formulated as Mixed Integer linear Programs (MIPs). On the other hand, 50 and more years of intensive research has dramatically improved on the capability of the current generation of MIP solvers to tackle hard problems in practice. However, many questions are still open and not fully understood, and the mixed integer programming community is still more than active in trying to answer some of these questions. As a consequence, a huge number of papers are continuously developed and new intriguing questions arise every year. When dealing with MIPs, we have to distinguish between two different scenarios. The first one happens when we are asked to handle a general MIP and we cannot assume any special structure for the given problem. In this case, a Linear Programming (LP) relaxation and some integrality requirements are all we have for tackling the problem, and we are ``forced" to use some general purpose techniques. The second one happens when mixed integer programming is used to address a somehow structured problem. In this context, polyhedral analysis and other theoretical and practical considerations are typically exploited to devise some special purpose techniques. This thesis tries to give some insights in both the above mentioned situations. The first part of the work is focused on general purpose cutting planes, which are probably the key ingredient behind the success of the current generation of MIP solvers. Chapter 1 presents a quick overview of the main ingredients of a branch-and-cut algorithm, while Chapter 2 recalls some results from the literature in the context of disjunctive cuts and their connections with Gomory mixed integer cuts. Chapter 3 presents a theoretical and computational investigation of disjunctive cuts. In particular, we analyze the connections between different normalization conditions (i.e., conditions to truncate the cone associated with disjunctive cutting planes) and other crucial aspects as cut rank, cut density and cut strength. We give a theoretical characterization of weak rays of the disjunctive cone that lead to dominated cuts, and propose a practical method to possibly strengthen those cuts arising from such weak extremal solution. Further, we point out how redundant constraints can affect the quality of the generated disjunctive cuts, and discuss possible ways to cope with them. Finally, Chapter 4 presents some preliminary ideas in the context of multiple-row cuts. Very recently, a series of papers have brought the attention to the possibility of generating cuts using more than one row of the simplex tableau at a time. Several interesting theoretical results have been presented in this direction, often revisiting and recalling other important results discovered more than 40 years ago. However, is not clear at all how these results can be exploited in practice. As stated, the chapter is a still work-in-progress and simply presents a possible way for generating two-row cuts from the simplex tableau arising from lattice-free triangles and some preliminary computational results. The second part of the thesis is instead focused on the heuristic and exact exploitation of integer programming techniques for hard combinatorial optimization problems in the context of routing applications. Chapters 5 and 6 present an integer linear programming local search algorithm for Vehicle Routing Problems (VRPs). The overall procedure follows a general destroy-and-repair paradigm (i.e., the current solution is first randomly destroyed and then repaired in the attempt of finding a new improved solution) where a class of exponential neighborhoods are iteratively explored by heuristically solving an integer programming formulation through a general purpose MIP solver. Chapters 7 and 8 deal with exact branch-and-cut methods. Chapter 7 presents an extended formulation for the Traveling Salesman Problem with Time Windows (TSPTW), a generalization of the well known TSP where each node must be visited within a given time window. The polyhedral approaches proposed for this problem in the literature typically follow the one which has been proven to be extremely effective in the classical TSP context. Here we present an overall (quite) general idea which is based on a relaxed discretization of time windows. Such an idea leads to a stronger formulation and to stronger valid inequalities which are then separated within the classical branch-and-cut framework. Finally, Chapter 8 addresses the branch-and-cut in the context of Generalized Minimum Spanning Tree Problems (GMSTPs) (i.e., a class of NP-hard generalizations of the classical minimum spanning tree problem). In this chapter, we show how some basic ideas (and, in particular, the usage of general purpose cutting planes) can be useful to improve on branch-and-cut methods proposed in the literature.

Electrosynthesis and characterization of structured catalysts

In this research work the optimization of the electrochemical system of LDHs as catalytic precursors on FeCrAlY foams was carried out. Preliminary sintheses were performed on flat surfaces in order to easily characterize the deposited material. From the study of pH evolution vs time at different cathodic potentials applied to a Pt electrode, the theoretical best working conditions for the synthesis of single hydroxides and LDH compounds was achieved. In order to define the optimal potential for the synthesis of a particular LDH compound, the collected data were compared with the interval of precipitation determined by titration with NaOH. However, the characterization of the deposited material on Pt surfaces did not confirm the deposition of a pure and homogeneous LDH phase during the synthesis. Instead a sequential deposition linked to the pH of precipitation of the involved elements is observed. The same behavior was observed during the synthesis of the RhMgAl LDH on FeCrAlY foam as catalytic precursor. Several parameters were considered in order to optimize the synthesis.. The development of electrochemical cells with different feature, such as the counter electrode dimensions or the contact between the foam and the potentiostat, had been carried out in order to obtain a better coating of the foam. The influence of the initial pH of the electrolyte solution, of the applied potential, of the composition of the electrolytic solution were investigated in order to improve a better coating of the catalyst support. Catalytic tests were performed after the calcination of the deposited foam for the CPO and SR reactions, showing an improve of performances along with optimization of the precursors synthesis conditions.

Development of newly conceived biomimetic nano-structured biomaterials as scaffolds for bone and osteochondral regeneration

The present research thesis was focused on the development of new biomaterials and devices for application in regenerative medicine, particularly in the repair/regeneration of bone and osteochondral regions affected by degenerative diseases such as Osteoarthritis and Osteoporosis or serious traumas. More specifically, the work was focused on the synthesis and physico-chemical-morphological characterization of: i) a new superparamagnetic apatite phase; ii) new biomimetic superparamagnetic bone and osteochondral scaffolds; iii) new bioactive bone cements for regenerative vertebroplasty. The new bio-devices were designed to exhibit high biomimicry with hard human tissues and with functionality promoting faster tissue repair and improved texturing. In particular, recent trends in tissue regeneration indicate magnetism as a new tool to stimulate cells towards tissue formation and organization; in this perspective a new superparamagnetic apatite was synthesized by doping apatite lattice with di-and trivalent iron ions during synthesis. This finding was the pin to synthesize newly conceived superparamagnetic bone and osteochondral scaffolds by reproducing in laboratory the biological processes yielding the formation of new bone, i.e. the self-assembly/organization of collagen fibrils and heterogeneous nucleation of nanosized, ionically substituted apatite mimicking the mineral part of bone. The new scaffolds can be magnetically switched on/off and function as workstations guiding fast tissue regeneration by minimally invasive and more efficient approaches. Moreover, in the view of specific treatments for patients affected by osteoporosis or traumas involving vertebrae weakening or fracture, the present work was also dedicated to the development of new self-setting injectable pastes based on strontium-substituted calcium phosphates, able to harden in vivo and transform into strontium-substituted hydroxyapatite. The addition of strontium may provide an anti-osteoporotic effect, aiding to restore the physiologic bone turnover. The ceramic-based paste was also added with bio-polymers, able to be progressively resorbed thus creating additional porosity in the cement body that favour cell colonization and osseointegration.

Essays in Media and Finance

This Ph.D. thesis consists in three research papers focused on the relationship between media industry and the financial sector. The importance of a correct understanding what is the effect of media on financial markets is becoming increasingly important as long as fully informed markets hypothesis has been challenged. Therefore, if financial markets do not have access to complete information, the importance of information professionals, the media, follows. On the other side, another challenge for economic and finance scholar is to understand how financial features are able to influence media and to condition information disclosure. The main aim of this Ph.D. dissertation is to contribute to a better comprehension for both the phenomena. The first paper analyzes the effects of owning equity shares in a newspaper- publishing firm. The main findings show how for a firm being part of the ownership structure of a media firm ends to receive more and better coverage. This confirms the view in which owning a media outlet is a source of conflicts of interest. The second paper focuses on the effect of media-delivered information on financial markets. In the framework of IPO in the U.S. market, we found empirical evidence of a significant effect of the media role in the IPO pricing. Specifically, increasing the quantity and the quality of the coverage increases the first-day returns (i.e. the underpricing). Finally the third paper tries to summarize what has been done in studying the relationship between media and financial industries, putting together contributes from economic, business, and financial scholars. The main finding of this dissertation is therefore to have underlined the importance and the effectiveness of the relationship between media industry and the financial sector, contributing to the stream of research that investigates about the media role and media effectiveness in the financial and business sectors.