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Three essays on bank credit investors and debt financing
Get PDFBank debt financing is a key element of bank capital structure and, as such, has a vital relevance for bank activity and stability. The global financial crisis and the banking reforms following it have significantly affected bank funding structure and, as a result, its cost of debt. In this context, bank credit investors have become object of interest due to their increased exposure to losses (e.g., bail-in measures), especially across Euro area banks that are the major issuers of bank bonds.This dissertation aims at analysing bank credit investor responses and investment choices, focusing on key issues – such as regulatory reforms, market discipline, and investor protection policies – that banks have recently faced. As bank bonds become riskier, understanding the drivers and the effect of bond financing contributes towards advancing knowledge in the banking literature and provides meaningful implications for bank management and supervision.
Basel liquidity regulation and credit risk market perception: evidence from large European banks
No full textFollowing the recent financial crisis, the Basel Committee on Banking Supervision (BCBS) undertook a negotiation process that led up to a liquidity reform package known as the new Basel III liquidity framework. This paper aims to assess the impact of BCBS liquidity regulation announcements on bank creditors. Using an event study on Credit Default Swap (CDS) data of large European banks over the 2007-2015 period, we find evidence that creditors increased expectations of a credit event following the regulatory events, with CDS spreads widening. Results also show that creditors were less sensitive to liquidity regulation announcements in banks with higher capital and liquidity funding ratios. In contrast, creditors were more sensitive in banks with higher bad loans, even though such effect is positively moderated by provisions against loan losses. We conclude that if banks correctly adjust the quality and the mix of their assets and liabilities, they could limit the potential side effects of Basel III liquidity regulation
Basel Liquidity Regulation and Credit Risk Market Perception: Evidence from Large European Banks
No full textThis paper aims at assessing the impact of Basel Committee on Banking Supervision (BCBS) liquidity regulation announcements on bank creditors. Using an event study on Credit Default Swap (CDS) data of large European banks over the 2007-2015 period, we find evidence that creditors increase their expectations of a credit event following the regulatory events, with CDS spreads widening. Results from the regression analysis show that this effect depends on bank-specific factors. Specifically, the negative CDS market reaction weakens when banks hold higher liquidity and capital ratios. Conversely, the negative CDS market reaction strengthens when banks hold a higher bad loan ratio. Provisions against loan losses positively moderate this effect
How does soft information on the causes of default affect debt renegotiation? The Italian evidence
No full textThe paper investigates the complementary role of hard and soft information in affecting the bankruptcy outcome of in-court procedures. Previous literature mostly focuses on hard information as driver of the bankruptcy outcome. In a bankruptcy context, we identify the causes of default as a key piece of soft information which can emerge through a textual analysis of the legal papers written by the insolvency practitioners. We posit that soft information complements hard information in guiding creditors' choice of the bankruptcy outcome. To test our hypotheses, we construct a unique dataset composed of hard and soft information of Italian Small and Medium Enterprises that faced in-court debt renegotiation between 2011 and 2016. We show that the role of hard information in guiding creditors' decisions depends on the specific cause of default they interact with and we conclude that the two sets of information jointly shape the conditions for the bankruptcy outcome
I nuovi paradigmi di credito nelle relazioni tra banche e imprese: il caso del Veneto
No full textLe banche svolgono un ruolo determinante nel finanziamento delle imprese, in particolare di quelle medio-piccole, e nel supporto all’economia. In questo contesto assume rilevanza un modello di credito basato sulla dimensione relazionale (relationship lending) tra banca e impresa che oggi è oggetto di significativi cambiamenti nei processi di affidamento, sia dal lato dell’offerta che da quello della domanda. I risultati di un’indagine effettuata sul credito in Veneto aiutano a comprendere l’evoluzione e le prospettive dei nuovi modelli di credito che vedono le imprese chiamate a fornire sempre più informazioni qualitative e prospettiche e le banche impegnate nell’aumentare l’informazione e la trasparenza del processo di valutazione e di pricing dei finanziamenti erogati
Market discipline on bank bond issues through the lens of a new forward‐looking measure of loan quality
Get PDFUsing unsecured bond spreads over the 2007 to mid-2014 period, we test investors’ ability to price bank loan risk. We use a new measure of loan risk that incorporates forward-looking information embedded in ratings assigned by external rating agencies to bank loan portfolios. Only Italian banks are required to systematically disclose this specific information. We find that investors do price forward-looking information inherent in bank loan portfolios. This finding reflects the increase in risk perception following the sovereign debt crisis, which had the strongest effects on peripheral countries, with tensions in the lending market. Overall, these results suggest that our new forward-looking measure provides an additional channel through which market discipline can operate
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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