Mortgage securitization and its credit risk control

This dissertation concentrate on the mortgage securitization and its credit risk, which are criticized as the main causes of the financial crisis. From the point of the veiw of mortgage's evolution, the nature, structure and function of mortgage has been radically changed, yet the mortgage law did not give appropriate response to this market change. Meanwhile, the U.S legilslations facilitating the mortgage securitization also have rotten the legal foundations for mortgage market self-regulation and sustained development. In contrast, the EU covered bond system has kept financial stability for 200 years' time, and their statutory approach has been proved to be able to control the credit risk and incentive problems very well, in combination of market self-regulation and public regulation. So the future reform should be directed to strengthen the market's capacity of self-regulation and improve the public regulation. For the development of mortgage securitization in China, it is suggested to introduce the EU covered bond system for the reason of the equilibrium between funding efficiency and financial stability.

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.

The secondary market for life insurance policies in the United States market evolution and product valuation

In this work we discuss the secondary market for life insurance policies in the United States of America. First, we give an overview of the life settlement market: how it came into existence, its growth prospects and the ethical issues it arises. Secondly, we discuss the characteristics of the different life insurance products present in the market and describe how life settlements are originated. Life settlement transactions tend to be long and complex transactions that require the involvement of a number of parties. Also, a direct investment into life insurance policies is fraught with a number of practical issues and entails risks that are not directly related to longevity. This may reduce the efficiency of a direct investment in physical policies. For these reasons, a synthetic longevity market has evolved. The number of parties involved in a synthetic longevity transaction is typically smaller and the broker-dealer transferring the longevity exposure will be retaining most or all of the risks a physical investment entails. Finally, we describe the main methods used in the market to evaluate life settlement investments and the role of life expectancy providers.

La sostenibilità organizzativa dei progetti agricoli di cooperazione internazionale allo sviluppo

The importance of organizational issues to assess the success of international development project has not been fully considered yet. After a brief overview, in 1st chapter, on main actors involved on international cooperation, in the 2nd chapter an analysis of the literature on the project success definition, focused on the success criteria and success factors, was carried out by surveying the contribution of different authors and approaches. Traditionally projects were perceived as successful when they met time, budget and performance goals, assuming a basic similarity among projects (universalistic approach). However, starting from a non-universalistic approach, the importance of organization’s effectiveness, in terms of Relations Sustainability, emerged as a dimension able to define and assess a project success. The identification of the factors influencing the relationship between and inside the organizations becomes consequently a priority. In 3th chapter, starting from a literature survey, the different analytical approaches related to the inter and intra-organization relationships are analysed. They involve two different groups: the first includes studies focused on the type of organizations relationship structure (Supply Chains, Networks, Clusters and Industrial Districts); the second group includes approaches related to the general theories on firms relationship interpretation (Transaction Costs Economics, Resource Based View, Organization Theory). The variables and logical frameworks provided by these different theoretical contributions are compared and classified in order to find out possible connections and/or juxtapositions. Being an exhaustive collection of the literature on the subject is impossible, the main goal is to underline the existence of potentially overlapping and/or integrating approaches examining the contribution provided by different representative authors. The survey showed first of all many variables in common between approaches coming from different disciplines; furthermore the non overlapping variables can be integrated contributing to a broader picture of the variables influencing the organization relations; in particular a theoretical design for the identification of connections between the inter and the intra-organizations relations was made possible. The results obtained in 3th chapter help to defining a general theoretical framework linking the different interpretative variables. Based on extensive research contributions on the factors influencing the relations between organizations, the 4th chapter expands the analysis of the influence of variables like Human Resource Management, Organizational Climate, Psychological Contract and KSA (Knowledge, Skills, Abilities) on the relation sustainability. A detailed analysis of these relations is provided and a research hypothesis are built. According to this new framework in 5th chapter a statistical analysis was performed to qualify and quantify the influence of Organizational Climate on the Relations Sustainability. To this end the Structural Equation Modeling (SEMs) has adopted as method for the definition of the latent variables and the measure of their relations. The results obtained are satisfactory. An effective strategy to motivate the respondents to participate in the survey seems to be at the moment one of the major obstacles to the analysis implementation since the organizational performances are not specifically required by the projects’ evaluation guidelines and they represent an increase in the project related transaction costs. Their explicit introduction in the project presentation guidelines should be explored as an opportunity to increase the chances of success of these projects.

Le strategie di internazionalizzazione delle imprese distrettuali: un'analisi comparata di tre diversi sistemi locali di produzione in Emilia Romagna

Since the Nineties, the process of globalization has caused a sharp increase in the real and financial integration of the worldwide economy, reducing the obstacles to international trade and minimizing the cost of transaction. The entrance of foreign firms in the domestic market has deeply modified the competitive situation of Italian enterprises, which have been forced to change their strategies in order to cope with those of the new competitors. In this scenario, internationalization is no longer one of the different strategic options available for the firm, but it becomes a forced choice to maintain or acquire a competitive advantage sustainable over time. Internationalization strategies of SMEs, however, are hindered by the shortage of financial resources and entrepreneurial skills, therefore this kind of firms tends toward light forms of foreign expansion, like export and subcontracting. Despite this, many studies have demonstrated that the district localisation increases the firms’ productivity and innovative capacity, so their competiveness both at a domestic and international level. The majority of these empirical contributions has focused mainly on the analysis of commercial flows, confirming that district enterprises reach a superior international performance compared to their external competitors. On the contrary, only few works have tried to evaluate the existence of a district effect on the firms’ ability to invest abroad, but the obtained results are not straightforward. One of the reason of these conclusions is that the phenomena has been analysed without taking into account the differences existing between districts in terms of enterprises’ dimension, diffusion of industrial groups and, above all, the sector of productive specialization, because the technological content of production could improve the innovativeness of district firms, allowing them to adopt advanced forms of internationalisation as foreign direct investments (FDI). The aim of the thesis is to further investigate the district effect on internationalisation, trough an econometric analysis of the international strategies carried out by firms localised in three different local system of production characterised by different technological specialization.

Econometric models of financial risks

The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.

Modificazioni soggettive del rapporto obbligatorio e garanzie reali

Lo studio del lato soggettivo del rapporto è centrale nella teoria dell’obbligazione. Ci si chiede se la modificazione di una o anche di entrambe le parti del rapporto determini sempre la sua estinzione o se, invece, si conservi la sua unitarietà oggettiva. La risposta a questo interrogativo è stata diversa a seconda delle diverse epoche storiche. Nel diritto romano si riteneva che la variazione di qualunque soggetto determinasse l’estinzione del rapporto e la costituzione di una nuova obbligazione (novazione soggettiva). Tale soluzione è stata osteggiata dai codificatori moderni per i quali, in caso di modifica delle personae non si ha estinzione del rapporto, ma solo il mutamento di uno dei suoi elementi. Quanto ai diritti di garanzia, in particolare l’ipoteca, i principi generali essenzali sono la specialità e l’accessorietà. Quest’ultima caratteristica è dirimente in caso di modificazione soggettiva del rapporto e ciò emerge in sede di trattazione delle singole fattispecie del Codice Civile che la determinano, sia quanto al creditore sia quanto al debitore. Per velocizzare il subentro nel credito, nel 2007 è stato approvato il decreto Bersani (sulla portabilità del mutuo) che ha consentito di rimuovere vincoli a tale circolazione, nell’ambito dei rapporti bancari. Le caratteristiche della modificazione del rapporto obbligatorio, tuttavia, possono minare l’efficacia della riforma Bersani. Questo è il motivo per il quale taluni studiosi ritengono necessario procedere a un’ampia rivisitazione dell’intero diritto ipotecario, eliminando, sulla scia di quanto accaduto in altri ordinamenti europei, il requisito dell’accessorietà del vincolo. Nonostante ciò, a causa dei rischi connessi a questa riforma, si ritiene preferibile affinare il meccanismo di perfezionamento della portabilità, eliminandone le criticità, senza però pregiudicare le sicurezze dell’attuale sistema giuridico, di cui l’accessorietà dell’ipoteca rispetto al credito costituisce un importante caposaldo.

Pratiche del possibile: i Participatory Guarantee Systems e le scelte d'acquisto del consumatore brasiliano

Negli ultimi anni, parallelamente all’espansione del settore biologico, si è assistito a un crescente interesse per i modelli alternativi di garanzia dell’integrità e della genuinità dei prodotti biologici. Gruppi di piccoli agricoltori di tutto il mondo hanno iniziato a sviluppare approcci alternativi per affrontare i problemi connessi alla certificazione di terza parte. Queste pratiche sono note come Sistemi di Garanzia Partecipativa (PGS). Tali modelli: (i) si basano sugli standard di certificazione biologica dell’IFOAM, (ii) riguardano il complesso dei produttori di una comunità rurale, (iii) comportano l’inclusione di una grande varietà di attori e (iv) hanno lo scopo di ridurre al minimo burocrazia e costi semplificando le procedure di verifica e incorporando un elemento di educazione ambientale e sociale sia per i produttori sia per i consumatori. Gli obiettivi di questo lavoro di ricerca: • descrivere il funzionamento dei sistemi di garanzia partecipativa; • indicare i vantaggi della loro adozione nei Paesi in via di sviluppo e non; • illustrare il caso della Rede Ecovida de Agroecologia (Brasile); • offrire uno spunto di riflessione che riguarda il consumatore e la relativa fiducia nel modello PGS. L’impianto teorico fa riferimento alla Teoria delle Convenzioni. Sulla base del quadro teorico è stato costruito un questionario per i consumatori con lo scopo di testare l’appropriatezza delle ipotesi teoriche. I risultati finali riguardano la stima del livello di conoscenza attuale, la fiducia e la volontà d’acquisto dei prodotti PGS da parte dei consumatori nelle aree considerate. Sulla base di questa ricerca sarà possibile adattare ed esportare il modello empirico in altri paesi che presentano economie diverse per cercare di comprendere il potenziale campo di applicazione dei sistemi di garanzia partecipativa.

Topics in financial econometrics

In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.

Scenari finanziari e portafogli ottimi: modelli di previsione e strategie per l'asset allocation tattica

Le scelte di asset allocation costituiscono un problema ricorrente per ogni investitore. Quest’ultimo è continuamente impegnato a combinare diverse asset class per giungere ad un investimento coerente con le proprie preferenze. L’esigenza di supportare gli asset manager nello svolgimento delle proprie mansioni ha alimentato nel tempo una vasta letteratura che ha proposto numerose strategie e modelli di portfolio construction. Questa tesi tenta di fornire una rassegna di alcuni modelli innovativi di previsione e di alcune strategie nell’ambito dell’asset allocation tattica, per poi valutarne i risvolti pratici. In primis verificheremo la sussistenza di eventuali relazioni tra la dinamica di alcune variabili macroeconomiche ed i mercati finanziari. Lo scopo è quello di individuare un modello econometrico capace di orientare le strategie dei gestori nella costruzione dei propri portafogli di investimento. L’analisi prende in considerazione il mercato americano, durante un periodo caratterizzato da rapide trasformazioni economiche e da un’elevata volatilità dei prezzi azionari. In secondo luogo verrà esaminata la validità delle strategie di trading momentum e contrarian nei mercati futures, in particolare quelli dell’Eurozona, che ben si prestano all’implementazione delle stesse, grazie all’assenza di vincoli sulle operazioni di shorting ed ai ridotti costi di transazione. Dall’indagine emerge che entrambe le anomalie si presentano con carattere di stabilità. I rendimenti anomali permangono anche qualora vengano utilizzati i tradizionali modelli di asset pricing, quali il CAPM, il modello di Fama e French e quello di Carhart. Infine, utilizzando l’approccio EGARCH-M, verranno formulate previsioni sulla volatilità dei rendimenti dei titoli appartenenti al Dow Jones. Quest’ultime saranno poi utilizzate come input per determinare le views da inserire nel modello di Black e Litterman. I risultati ottenuti, evidenziano, per diversi valori dello scalare tau, extra rendimenti medi del new combined vector superiori al vettore degli extra rendimenti di equilibrio di mercato, seppur con livelli più elevati di rischio.

Trasmissibilità del mutuo, circolazione del credito e surrogazione

La presente ricerca mira ad individuare e risolvere alcuni problemi di inquadramento e di disciplina applicabile in ordine all’istituto regolato dall’art. 8 della legge n. 40/2007, con successive modificazioni ed integrazioni, definito a livello normativo come «portabilità del mutuo». In particolare, ci si è chiesti come la nuova normativa in tema di trasferibilità del mutuo possa inserirsi all’interno della disciplina della surrogazione se quest’ultima non venga considerata come possibile strumento di circolazione del credito e se ci si possa spingere fino a considerare l’art. 8 come una riscrittura moderna dell’istituto codicistico. Sebbene l’art. 8 non sia stato limitato ai finanziamenti ipotecari, tali istituti costituiscono il principale ambito di applicazione della normativa. Per questa ragione si è sostenuto che la disposizione, più che la «portabilità del mutuo», avrebbe lo scopo di incentivare la «portabilità dell’ipoteca», intendendosi quest’ultima come la surrogazione del nuovo finanziatore nel credito ipotecario, ovvero più specificamente nell’ipoteca, ai sensi dell’art. 1202 c.c. Lo studio dei riflessi della surrogazione, così come prevista dalla legge del 2007, sulle garanzie in generale e sull’ipoteca in particolare, ha mostrato come il legislatore, tramite l’introduzione di una disciplina semplificata, abbia inteso adeguare gli istituti giuridici tradizionali alle esigenze pratiche di flessibilità del mercato del credito; ciò tuttavia con scarso successo e lasciando aperti taluni dubbi interpretativi. Al fine di approfondire la ricerca, si è affrontata la materia oggetto di studio in un’ottica comparata, rilevando quali siano a livello europeo le principali differenze in tema di circolazione del credito, portabilità del mutuo e trasferibilità delle garanzie.

Patent nonnuse: are patent pools as possible solution?

Studies have depicted that the rate of unused patents comprises a high portion of patents in North America, Europe and Japan. Particularly, studies have identified a considerable share of strategic patents which are left unused due to pure strategic reasons. While such patents might generate strategic rents to their owner, they may have harmful consequences for the society if by blocking alternative solutions that other inventions provide they hamper the possibility of better solutions. Accordingly, the importance of the issue of nonuse is highlighted within the literature on strategic patenting, IPR policy and innovation economics. Moreover, the current literature has emphasized on the role of patent pools in dealing with potential issues such as excessive transaction cost caused by patent thickets and blocking patents. In fact, patent pools have emerged as policy tools facilitating technology commercialization and alleviating patent litigation among rivals holding overlapping IPRs. In this dissertation I provide a critical literature review on strategic patenting, identify present gaps and discuss some future research paths. Moreover, I investigate the drivers of strategic non-use of patents with particular focus on unused strategic play patents. Finally, I examine if participation intensity in patent pools by pool members explains their willingness to use their non-pooled patents. I also investigate which characteristics of the patent pools are associated to the willingness to use non-pooled patents through pool participation. I show that technological uncertainty and technological complexity are two technology environment factors that drive unused play patents. I also show that pool members participating more intensively in patent pools are more likely to be willing to use their non-pooled patents through pool participation. I further depict that pool licensors are more likely to be willing to use their non-pooled patents by participating in pools with higher level of technological complementarity to their own technology.