1,722,273 research outputs found
Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing
Full text linkBuilding on De Nicolò and Lucchetta (2010), this paper presents a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) reduced-form stress tests as historical simulations; and (c) structural stress-tests as impulse responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of the G-7 economies in 1980Q1-2010Q2. We show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations in each country. Furthermore, reduced-form stress tests, as well as structural stress tests in which aggregate demand shocks and bank credit demand shocks are identified as the main drivers of cycles in real activity and bank lending, provide significant early warnings on the build-up of real and financial vulnerabilities
Catch the Heterogeneity: The New Bank-Tailored Integrated Rating
Full text linkThe purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named “Bank-Tailored Integrated Rating” (BTIR). BTIR is able to catch the financial cycle, including the pandemic crisis, and the ongoing change in banking normative from a microeconomic perspective, and it is inherently coherent with the challenging frontier of forecasting tail risk in financial markets in similar ways as in De Nicolò and Lucchetta (2017), although their approach is macroeconomic) since it considers the downside risk in the theoretical framework. The method employed was an innovative integrated rating (IR) statistical and econometrical panel pre-selection analysis that takes into account the characteristics of risk and the greater heterogeneity of the banks. The result is a challenge rating procedure delivering forward-looking preselection requested by the new International Financial Reporting Standard (IFRS-9). The future direction is extremely promising given the increase in idiosyncratic and systemic risks in financial markets.The purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named "Bank-Tailored Integrated Rating" (BTIR). BTIR is able to catch the financial cycle, including the pandemic crisis, and the ongoing change in banking normative from a microeconomic perspective, and it is inherently coherent with the challenging frontier of forecasting tail risk in financial markets in similar ways as in De Nicole and Lucchetta (2017), although their approach is macroeconomic) since it considers the downside risk in the theoretical framework. The method employed was an innovative integrated rating (IR) statistical and econometrical panel pre-selection analysis that takes into account the characteristics of risk and the greater heterogeneity of the banks. The result is a challenge rating procedure delivering forward-looking preselection requested by the new International Financial Reporting Standard (IFRS-9). The future direction is extremely promising given the increase in idiosyncratic and systemic risks in financial markets
The Bank Tailored Integrated Rating
Full text linkWe develop a banks specific integrated rating, tailored incorporating the
various heterogeneity dimensions characterizing financial institutions
(see Mantovani et al. 2013 and 2014 regarding the heterogeneity risk
analysis in corporate firms), named bank tailored integrated rating
(BTIR). The approach is inherently coherent with the challenging frontier
of forecasting tail risk in financial markets (De Nicolò and Lucchetta, J
Appl Econ 32(1):159–170, 2017) since it considers the downside risk in
the theoretical framework. The innovation consists in using the integrated
rating (IR) with the pre-selection of the variables through a statistical
procedure that takes into account the characteristics of risk and greater
heterogeneity of the banks. A Vector Autoregressive Model (VAR) is
only a first simple application proposal
Influence of mould thermal properties on the replication of micro parts via injection moulding
No full textThe surface quality that results when replicating micro features is one of the most important process characteristics in micro injection moulding, and it constitutes a manufacturing constraint in applying the technique to a wider range of micro engineering applications. Moulding micro features with a high aspect ratio is a critical task, in particular when the feature width is small, due to a faster temperature decrease than in macro/meso scale cavities. In order to investigate the influence of the thermal diffusivity of the mould material in micro structured surfaces replication, in this paper two moulds, made respectively of tool steel and zirconia ceramic composite, have been used to replicate a micro structured surface. Micro Electrical Discharge Machining (μEDM) was employed to manufacture both the steel and the ceramic mould. The thermal diffusivity of the mould materials was measured in order to relate it to the degree of replication. Then, micro features were replicated via micro injection moulding, at the same controlled process conditions, and the replication degree was measured by means of an optical coordinate measurement machine. The results of the experimental tests display a sharp improvement of the quality of the micro structure replicated with the ceramic mould, that is when using a mould material with low thermal diffusivity. This effect, which is related to the ability of the material to delay the polymer skin solidification when the cavity is filled in, can be effectively exploit to enhance the capabilities of the current micro injection moulding technologies in manufacturing components with features characterized by higher complexity and aspect ratio
Aleaciones nano-estructuradas base aluminio para cojinetes planos
No full textGrado obtenido: Doctor de la Universidad de Buenos Aires. Área IngenieríaDisciplina: IngenieríaFil: Lucchetta, María Clarisbel. Universidad de Buenos Aires. Facultad de Ingeniería; Argentina
What do Data Say about Monetary Policy, Bank Liquidity and Bank Risk Taking?
No full textThis paper tests empirically the linkage between banks' investment and interbank lending decisions in response to interest rate changes. We draw conclusions for the monetary policy, which uses the interest rate as its main tool. Across European countries we find that the risk-free (i.e. monetary policy) interest rate negatively affects the liquidity retained by banks and the decision of a bank to be a lender in the interbank market. Instead, the interbank interest rate has a positive impact on these decisions. We also find that banks who lend show less risk-taking behaviour and tend to be smaller than those who are borrowers. Most importantly, the risk-free interest rate is positively correlated with loans investment and bank risk-taking behaviour
Three Essays on Banking Sector Stability: Theoretical Models and Empirical Application
No full textThis thesis consists of three interdependent and
original works on the relation between a single bank risk-taking
behavior and the overall banking sector liquidity in response to
monetary policy and merger waves. A theoretical model explains the
impact of minimum capital requirement on bank risk taking behavior.
Minimum capital, through the effect on the interbank interest rate,
has the perverse effect to increase bank risk taking behavior.
Moreover, minimum capital must increase as the risk-free interest
rate rises. Then, the magnitude of the interest rates to affect
banks behavior is empirically assessed. Finally, a chapter builds up
and tests empirically a model which highlights the relation between
consolidation of banks suppliers of differentiated products and bank risks
A Rheological Approach to the Analysis of Plastication Influence on Fibers Breakage of LGF-filled Polypropylene
No full textLong glass fiber-filled polypropylene composites are widely used in industry because of their low cost and high performance. To investigate the rheological properties of such composites in the molten state an in-line slit-die rheometer was developed and mounted on an injection molding machine. The shear viscosity of filled PP determined by the in-line rheometer was found to strongly depend on the fiber length distribution. In particular, a linear correlation was determined between the viscosity at a constant temperature and shear rate and the average fiber length equation proposed by Huq and Azaiez. The developed model and the in-line rheometer were then used to assess the effects of the main plastication parameters (i.e. screw rotation speed and backpressure) on fibers damage. The experiments were carried out according to a central composite design and optimal plastication conditions were determined by means of the response surface method
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