Essays on Bank Risk

Cabiles, Neil Adrian (2012) Essays on Bank Risk, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Economia, 24 Ciclo. DOI 10.6092/unibo/amsdottorato/5023.
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This PhD Thesis is composed of three chapters, each discussing a specific type of risk that banks face. The first chapter talks about Systemic Risk and how banks get exposed to it through the Interbank Funding Market. Exposures in the said market have Systemic Risk implications because the market creates linkages, where the failure of one party can affect the others in the market. By showing that CDS Spreads, as bank risk indicators, are positively related to their Net Interbank Funding Market Exposures, this chapter establishes the above Systemic Risk Implications of Interbank Funding. Meanwhile, the second chapter discusses how banks may handle Illiquidity Risk, defined as the possibility of having sudden funding needs. Illiquidity Risk is embodied in this chapter through Loan Commitments as they oblige banks to lend to its clients, up to a certain amount of funds at any time. This chapter points out that using Securitization as funding facility, could allow the banks to manage this Illiquidity Risk. To make this case, this chapter demonstrates empirically that banks having an increase in Loan Commitments, may experience an increase in risk profile but such can be offset by an accompanying increase in Securitization Activity. Lastly, the third chapter focuses on how banks manage Credit Risk also through Securitization. Securitization has a Credit Risk management property by allowing the offloading of risk. This chapter investigates how banks use such property by looking at the effect of securitization on the banks’ loan portfolios and overall risk and returns. The findings are that securitization is positively related to loan portfolio size and the portfolio share of risky loans, which translates to higher risk and returns. Thus, this chapter points out that Credit Risk management through Securitization may be have been done towards higher risk taking for high returns.

Tipologia del documento
Tesi di dottorato
Cabiles, Neil Adrian
Dottorato di ricerca
Scuola di dottorato
Scienze economiche e statistiche
Settore disciplinare
Settore concorsuale
Parole chiave
Bank Risk, Systemic Risk, Funding Risk, Credit Risk, CDS Spreads, Securitization
Data di discussione
2 Luglio 2012

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