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CULTORE DELLA MATERIA presso: Dipartimento di Economia "Marco Biagi"

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2018 - Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads [Articolo su rivista]
Sclip, Alex; Girardone, Claudia; Miani, Stefano

This paper explores the interrelations between bank capital and liquidity and their impact on the market probability of default. We employ an unbalanced panel of large European banks with listed credit default swap (CDS) contracts during the period 2005–2015, which allow us to consider the impact of the recent financial crisis. Our evidence suggests that bank capital and funding liquidity risk as defined in Basel III have an economically meaningful bidirectional relationship. However, the effect on CDS spread is ambiguous. While capital appears to have a relatively large impact on CDS spread changes, liquidity risk is priced only when it falls below the regulatory threshold.

2018 - Systematic risk and banks leverage: The role of asset quality [Articolo su rivista]
Beltrame, Federico; Previtali, Daniele; Sclip, Alex

We analyse how bank asset quality interacts within the relationship between leverage and systematic risk. We elaborate three leverage adjustments for sterilizing the effect of provisioning and incorporating the effect of non-performing loans and total credit risk exposure. We test the model on a sample of 97 European banks from 2005 and 2016. Controlling for size, findings show the relevance of a combined effect of leverage and asset quality as a systematic risk component. NPLs are found to be one significant variable of market risk. Results demonstrate that simple leverage is pointless for verifying the financial riskiness of banks.