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Transcript of 2018 OPTBANK Summer School Regulation and Risk … · Presenter: Lukasz Kozlowski (Kozminski...
2018OPTBANKSummerSchool:RegulationandRiskManagementinFinancialIntermediation
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2018OPTBANKSummerSchool
RegulationandRiskManagementinFinancialIntermediation
04-15June2018
Hostedby:
UniversitàdegliStudiRomaTre,DepartmentofBusinessStudies,ViaS.D’Amico77,Rome,Italy
Coordinatedby:
UniversitédeLimoges,EconomicsDepartment,LAPE,Limoges,France
https://optbank.org
2018OPTBANKSummerSchool:RegulationandRiskManagementinFinancialIntermediation
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SummerSchool“RegulationandRiskManagementinFinancialIntermediation”
Thissummerschoolaimstostrengthenresearchcapacitiesof IndonesianPhDstudentsbypresenting themain riskmanagement tools in banking, the new regulation rules for riskmanagement and the research quantitative techniques for assessing the impact of newregulationandsupervisionrulesonbanks’behaviour.
Shortprogram
FromMonday4JunetoWednesday6June2018Ph.D. students are involved in the 2018 International Conference of the FinancialEngineeringandBankingSociety(FEBS),wheretheywillattendthesessionsin“BankingandFinancial Services” to get familiar and increase their knowledge of the state of the artresearchinourfieldsofinterest(BankingandFinance).Thursday,7June2018Ph.D. students are involved in the 2018 SpringWorkshop of the Financial IntermediationNetworksof EuropeanStudies (FINEST).Nineacademicpaperswill bepresentedandoneIndonesianstudentwillpresenthisresearchideaduringtheearlyresearchideasession.Friday8JuneandMonday11June2018ThisisatwodayscourseonRiskManagementandnewrulesforbanks.Riskmanagementisthepracticeofmitigatinglossesbyunderstandingtheadequacyofabank’scapitalandloanloss reserves at any given time – a process that has been a challenge for financialinstitutions. The course will cover the estimation of the most important parameters for(mainly)creditriskbyfocusingonexpectedlossestimation(probabilityofdefault,lossgivendefaultandexposureatdefault)andunexpectedlosses(portfoliomodels).FromTuesday12toThursday14June2018This is a three days course on empirical banking. Specifically, lectureswill be focused oneconometric tools for evaluating policy actions. This course is an introduction to keymethodsfortheidentificationandestimationofthecausaleffectinbankingandfinance.Friday15June2018This isaone-daycourseonassessing the impactofsupervisiononrisk taking.The lackofregulation and supervisionwas one of themain reasons of the financial crisis from 2007onwards. This course presents the main empirical papers investigating the effect ofsupervisionandregulationinbanking.
2018OPTBANKSummerSchool:RegulationandRiskManagementinFinancialIntermediation
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Usefulinformation
DirectoroftheSummerSchool:Prof.FrancoFiordelisi,ProfessorofBankingandFinance,UniversityofRomaTre,Italy,[email protected]:Dr.MarikaCarboni,lecturerinbankingandfinance,UniversityofRomaTre,Italy,[email protected]:
• Police:113or112• Ambulance&MedicalAssistance:118• FireService:115• Taxi:063570or060609
Howtoreachus:Thecourseswillbeheldat:UniversityofRomeIII,DepartmentofbusinessstudiesViaSilviod’Amico77,00145Roma(Italy)
LocatedinacentralareaofRome,theUniversityofRomeIII iseasilyaccessiblebya rangeof transport includingunderground (tube), rail,busandcar.
“Basilica di San Paolo” underground station (LineB, i.e.METROB, Blue colour,) is the nearest toDepartmentofBusinessStudies,i.e.5/10minutesdistancewalking.
2018OPTBANKSummerSchool:RegulationandRiskManagementinFinancialIntermediation
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Detailedprogram
Monday4thJune2018
(Room3:sessions“BankingandFinancialServices”)IncollaborationwiththeFinancialEngineeringandBankingLaboratory(FEBS)
08.30-08.45–MeetingwithProf.FrancoFiordelisi,welcomeaddress
09.00-10.40-CHAIRFotiosPasiouras(UniversityofCrete-Greece)
o IgnoranceisBliss?AnonymousLendingwithRollOverRiskPresenter:TobiasDieler(UniversityofBristol-UK)Authors:TobiasDieler,LorianoMancini
o SMEs’near-deathexperiences.Dolocalbanksextendahelpinghand?Presenter:KrzysztofJackowicz(KozminskiUniversity-Poland)Authors:KrzysztofJackowicz,MałgorzataIwanicz-Drozdowska,ŁukaszKozłowski
o StateOwnershipofFinancialInstitutionsinEuropeandCentralAsiaPresenter:DavideSalvatoreMare(EdinburghUniversity-UK)Authors:DavideSalvatoreMare,AuroraFerrari,IliasSkamnelos
o Doinvestmentmanagementstructuresandsponsors’activenessaffectdelegatedinvestmentperformance?Presenter:GiacomoNocera(AudenciaBusinessSchool-France)Authors:GiacomoNocera,MirkoCardinale,LuciaSpotorno
11.15-12.30-CHAIRKrzysztofJackowicz(KozminskiUniversity-Poland)
o DoesitalwayspaytopayyourInvestmentbanker?DistractedadvisorsandM&AperformancePresenter:FrancescoSaverioStentellaLopes(BangorUniversity-UK)Authors:FrancescoSaverioStentellaLopes,OrnellaRicci,AyanOjurov
o Howdidregulation,supervisionandmarketdisciplineinfluencebankingdistressinEurope?LessonsfromtheglobalfinancialcrisisPresenter:VitorOliveira(UniversityofLisbon-Portugal)Authors:VitorOliveira,ClaraRaposo
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o Technologicalchangeandcatching-upintheIndianbankingsector:Atime-dependentnonparametricfrontierapproachPresenter:RomanMatousek(UniversityofKent-UK)Authors:SushantaMallick,RomanMatousek,AartiRughoo,NickolaosG.Tzeremes
14.40-16.20-CHAIRRomanMatousek(UniversityofKent-UK)
o Theprovisionoflong-termcreditandfirmgrowthPresenter:FlorianLéon(UniversityofLuxembourg-Luxembourg)Authors:FlorianLéon
o Market-bookratiosofeuropeanbanks:whatdoesexplainthestructuralfall?Presenter:GiovanniGallo(UniversityofModenaandReggioEmilia-Italy)Authors:ValeriaVenturelli,AndreaLandi,RiccardoFerretti,GiovanniGallo
o ResolvingaNon-PerformingLoancrisis:TheongoingcaseoftheIrishmortgagemarketPresenter:FergalMccann(CentralBankofIreland-Ireland)Authors:FergalMccann
o Market-drivensecuritizationPresenter:LeoneLeonida(King'sCollegeLondon-UK)Authors:LeoneLeonida,DamianoSilipo,LucaGiordano
16.45-18.00-CHAIRJosepphMason(LouisianaStateUniversity-USA)
o Thedeterminantsoftheunlikely-to-payandtheflowstowardsperformingandbadloansPresenter:FedericaIelasi(UniversityofFlorence-Italy)Authors:DorianaCucinelli,DorianaCucinelli,LorenzoGai,FedericaIelasi,ArturoPatarnello
o TARPCapitalInfusion,BankLiquidityHoldingsandLiquidityCreationPresenter:Adrian(waiKong)Cheung(FlindersUniversity-Australia)Authors:Adrian(waiKong)Cheung,ChenZheng,TomCronje
o Centralbankinjectionsofliquidity,interbankmarkets,andthehypothesisofliquidityhoarding:evidencefromaeuro-areabankingsystemPresenter:MassimilianoAffinito(BankofItaly-Italy)Authors:MassimilianoAffinito
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Tuesday5thJune2018(Room3:sessions“BankingandFinancialServices”)
IncollaborationwiththeFinancialEngineeringandBankingLaboratory(FEBS)
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
09.00-10.40-CHAIRNikolaosPapanikolaou(BournemouthUniversity-UK)
o WhathappenstoSMEswhenlocalbanksexperiencefinancialdifficulties?Evidencefromthepost-crisisbankcorrectiveprogramsPresenter:LukaszKozlowski(KozminskiUniversity-Poland)Authors:LukaszKozlowski,KrzysztofJackowicz,RobertJagiello
o ForeignBanksandEconomicInstability:EvidencefromFinanciallyIntegratedEmergingMarketsPresenter:SuheylaOzyildirim(BilkentUniversity-Turkey)Authors:SuheylaOzyildirim,ZeynepOnder
o BanklendingbehaviorandbusinesscycleunderBaselregulations:Isthereasignificantprocyclicality?Presenter:KimCuongLy(SwanseaUniversity-UK)Authors:KimCuongLy,KatsutoshiShimizu
o WhatTriggersSystemicRiskintheEuropeanFinancialSystem?Presenter:MicheleMeoli(UniversityofBergamo-Italy)Authors:PeterCincinelli,CarloBellavitePellegrini,MicheleMeoli,GiovanniUrga
11.15-12.30-CHAIRKostasTsatsaronis(BankforInternationalSettlements-Switzerland)
o ApplyingBenford’sLawtoDetectAccountingDataManipulationintheBankingIndustryPresenter:NikolaosPapanikolaou(BournemouthUniversity-UK)Authors:NikolaosPapanikolaou,TheoharryGrammatikos
o Arecapitalstructureandefficiencydriversofbankmarketvalue?Presenter:ClaudiaCuri(FreeUniversityofBolzano-Italy)Authors:AnaLozano-Vivas,ClaudiaCuri
o PublicBailouts,Bank’sRiskandSpilloverEffects:ThecaseofEuropeanBanksPresenter:GiovanniCardillo(UniversityofBologna-Italy)Authors:GiovanniCardillo,FrancoFiordelisi,OrnellaRicci
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14.40-16.20-CHAIRKimSuk-Joong(UniversityofSydney-Australia)
o ExperimentalEvidenceonBankRunsunderPartialDepositInsurancePresenter:OanaPeia(UniversityCollegeDublin-Ireland)Authors:OanaPeia,RaduVranceanu
o ShareholderValueandBankEfficiency;APost-GFCAssessmentPresenter:DavidTripe(MasseyUniversity-NewZealand)Authors:DavidTripe,SalahU-Din
o Disclosure,RunsandBankCapitalRaisingPresenter:HuongDieuDang(UniversityofCanterbury-NewZealand)Authors:HuongDieuDang,JeanHelwege
o TheInterbankMarketPuzzlePresenter:OskarKowalewski(IÉSEGSchoolofManagement-France)Authors:OskarKowalewski,FranklinAllen,XianGu
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Wednesday6thJune2018(Room3:sessions“BankingandFinancialServices”)
IncollaborationwiththeFinancialEngineeringandBankingLaboratory(FEBS)
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
09.00-10.40-CHAIRJoseGuedes(CatholicUniversityofPortugal-Portugal)
o BoardBusynessandFinancialStability:DoesBankTypeMatter?Presenter:AlySalama(NewcastleUniversity-UK)Authors:MarwaElnahass,VuQuangTrinh,AlySalama,MarwanIzzeldin
o DevelopingpredictivemodelsforUSbankfailures:AnempiricalanalysisusingmachinelearningapproachesPresenter:ConstantinZopounidis(TechnicalUniversityofCrete&France-Greece)Authors:ConstantinZopounidis,GeorgiosManthoulis,MichalisDoumpos,EmiliosGalariotis,GeorgeBaourakis
o Theeffectofcapitalratioonlending:Doesloan-lossprovisioningmatter?Presenter:MałgorzataOlszak(UniversityofWarsaw-Poland)Authors:MałgorzataOlszak,FilipŚwitała,IwonaKowalska,PatrycjaChodnicka-Jaworska
o RiskclassificationmethodsinRobotAdvisoryplatformsPresenter:PaoloGiudici(UniversityofPavia-Italy)Authors:PaoloGiudici,GloriaPolinesi
11.15-12.30-CHAIRJohannBurgstaller(JohannesKeplerUniversityLinz-Austria)
o Bankbusinessmodels:popularityandperformancePresenter:KostasTsatsaronis(BankforInternationalSettlements-Switzerland)Authors:KostasTsatsaronis,NikolaTarashev,RungpornRoengpitya,AlanVillegas
o Creditspreaddeterminants?Yes,loanofficersenioritymatters!Presenter:Jean-ChristopheStatnik(LilleUniversity-France)Authors:Jean-ChristopheStatnik,MarionDupire,FredericLobez
o Risk-ReturnTrade-OffintheMarketforCreditLinesPresenter:MiguelADuran(UniversityofMálaga-Spain)Authors:MiguelADuran
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14.40-16.20-CHAIRSalvatoreCapasso(UniversityofNaples"Parthenope"-Italy)
o DidItalianbankstrade-offlendingwithgovernmentbondpurchases?Presenter:FilomenaPietrovito(UniversityofMolise-Italy)Authors:FilomenaPietrovito,AlbertoFrancoPozzolo
o CompetitioninLocalBankingMarketsandtheInfluenceofRivalProximityPresenter:JohannBurgstaller(JohannesKeplerUniversityLinz-Austria)Authors:JohannBurgstaller
o Systemicriskmeasurement:bucketingG-SIBsbetweenliteratureandsupervisoryviewPresenter:ValentinaLagasio(UniversityofRomeSapienza-Italy)Authors:ValentinaLagasio,MarinaBrogi,LucaRiccetti
o TillMortgageDoUsPart:RefinancingCostsandHousehold’sBankSwitchingPresenter:MariannaBrunetti(UniversityofRomeTorVergata-Italy)Authors:MariannaBrunetti,RoccoCiciretti,LjubicaDjordjevic
16.45-18.00-CHAIRClaudiaGirardone(UniversityofEssex-UK)
o NPLsManagementandBankStocksValue:WhoistheWinner?Presenter:MarioLatorre(UniversityofRomeSapienza-Italy)Authors:HelenChiappini,MarioLaTorre,GianfrancoVento,GiuseppeLia
o BondMarketDisciplineandFinancialCrises:TheRoleofLiquidity,Funding,andAssetRiskPresenter:GiorgiaSimion(Ca'FoscariUniversityofVenice-Italy)Authors:GiorgiaSimion,ElisaCavezzali,UgoRigoni,SivaNathan
o Bankrisk,excesscapitalandgrowthopportunities.AninvestigationonasampleofEuropeanlistedbanksPresenter:JosancoFloreani(UniversityofUdine-Italy)Authors:JosancoFloreani
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Thursday7thJune2018(Room:“AulaTesi”,groundfloor)
IncollaborationwiththeFinancialIntermediationNetworkofEuropeanStudies(FINEST)
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
Session1:Chair:JonathanWilliams09.00-09.45Title:BankSignalling,RiskofRuns,andtheInformationalimpactsofRegulationsAuthors:KebinMa,TamasVadaszDiscussant:FotiosPasiouras09.45-10.30Title:TheimpactoflendingrelationshipsonthechoiceandstructureofbondunderwritingsyndicatesAuthors:Carbó-Valverde,Santiago,Cuadros-Solas,PedroJ.,Rodríguez-Fernández,FranciscoDiscussant:IftekharHasan10.30-11.15Title:RiskShiftingandForeclosureLaw:EvidencefromtheSecuritizationMarketAuthors:DannyMcGowan,HuyenNguyenDiscussant:FotiosPasiourasSession2:Chair:BillMegginson
11.45-12.30Title:Behavingstrategically?EvidencefromthecentralizationofbankingsupervisionAuthors:GiovanniCerulli,FrancoFiordelisi,DavidMarquez-IbanezDiscussant:GeorgePennacchi12.30-13.15Title:CapitalRequirements,MonetaryPolicyandRiskShiftingintheMortgageMarketAuthors:ArzuUluc,TomaszWieladekDiscussant:GiorgioGobbi
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Session3:EarlyideasessionChair:FrancoFiordelisi14.10–14.20: NikolaosPapanikolaou:FinTechcreditandtraditionalbankcredit:Alliesor
Opponents?14.20–14.30: GiuliaScardozzi:Testingmarketdisciplineinbanking:evidencefromEuro14.30–14.40: MartaDegl’Innocenti:TBA14.40–14.50 TBASession4-Chair:AmineTarazi14.55-15.40Title:WinningConnections?SpecialInterestsandtheSaleofFailedBanksAuthors:DenizIgan,ThomasLambert,WolfWagner,EdenQuxianZhangDiscussant:GeorgePennacchi15.40-16.25Title: “Keep clear at all times!” Does loose monetary policy block the market exit ofunproductiveplants?Authors:ManfredAntoni,MichaelKoetter,SteffenMuller,TalinaSondershausDiscussant:IftekharHasanSession5-Chair:SaileshTanna16.45-17.30Title:BankCreditRatingsChanges,CapitalStructureAdjustmentsandLendingAuthors:ClaudiaGirardone,AlexSclipDiscussant:BillMegginson17.30-18.15Title:CoarseCreditRatings,CorporateFinancing,andRealOutcomesAuthors:ChristopheCahn,MattiaGirotti,FedericaSalvadèDiscussant:GiorgioGobbi
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Friday8thJune2018(Room18,secondfloor)Prof.FrancoFiordelisi
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
09.00–11.00:Session1
1: The role and peculiarities of risk management in financial institutions. Riskmanagementfailureduringthefinancialcrisis.
**B–Chapter1**J–Chapter1*H–Chapter28**EC*MK
2:Interestraterisk:therepricinggapmodel
**B–Chapter3and5**RS–Chapter1*J–Chapter6
11.30–13.00:Session23:Interestraterisk:thedurationgapmodelandclumping
**B–Chapters6,7,8,and9**RS–Chapters2,and3*H–Chapter9*J–Chapter6
14.00–15.30:Session36:Marketrisk:ValueatRiskmodels:parametricapproach.Estimatingvolatilitiesand
correlations.**B–Chapters11,and15**RS–Chapters5,and6*J–Chapters5,12,and17
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**H–Chapter107:Marketrisk:mappingriskpositionsintheparametricapproaches
**B–Chapters12,and13**RS–Chapters5*J–Chapters16
16.00–18.00:Session38:Marketrisk:simulationapproaches
**B–Chapter14**RS–Chapter7*J–Chapters11
Essential Readings
• Joel Bessis, Risk Management in Banking, 4th Edition, John Wiley, 2015 (B) • John H. Hull, Risk Management and Financial Institutions, 4th Edition, John
Wiley, 2015 (H) • Philip Jorion, Financial Risk Manager Handbook, 6th Edition, John Wiley, 2011
(J) • Resti A. and A. Sironi, Risk Management and Shareholders' Value in Banking,
John Wiley, 2007 (RS)
Suggested Readings
• The economist, 2008. The confession of a risk manager (EC) • European Parliament, Upgrading the Basel standards: from Basel III to Basel IV?
(EP). http://www.europarl.europa.eu/RegData/etudes/BRIE/2016/587361/IPOL_BRI(2016)587361_EN.pdf
• Basel Committee, Basel III Monitoring Report, 28 February 2017. (BC) https://www.bis.org/bcbs/publ/d397.pdf
• Philipp Härle, Andras Havas, and Hamid Samandari, 2016. The future of bank risk management, McKinsey Quarterly, July .(MK) http://www.mckinsey.com/business-functions/risk/our-insights/the-future-of-bank-risk-management
• Ernest Young, Rethinking risk management, (EY) http://www.ey.com/Publication/vwLUAssets/EY-rethinking-risk-management/$FILE/EY-rethinking-risk-management.pdf
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Monday11thJune2018(Room20,secondfloor)Prof.FrancoFiordelisi
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
09.00–11.00:Session1
1: Creditriskmanagement.Scoringmodelsforestimatingtheprobabilityofdefault
**B–Chapters18,19and20**RS–Chapter10*H–Chapter19,exceptsection19.8*J–Chapters3,19and20
11.30–13.00:Session2
2: Credit risk management. Market-based models for estimating the probability ofdefault
**B–Chapters18,19and20**RS–Chapter11*H–Chapter19,onlysection19.8*J–Chapter21
14.00–15.30:Session3Colloquiawithprof.KoseJohn,NewYorkUniversity,U.S.16.00–18.00::Session413.Creditriskmanagement:Portfoliomodels
**B–Chapters23,24,25**RS–Chapter14*H–Chapter21
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Tuesday12thJune2018Prof.FrancoFiordelisi&Dr.GiovanniCerulli
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
09-00-13.00:Session1ComputerLabB(groundzero,closetotheUniversitycafeteria)DataManagamentinStata14.00-16.30:Session2RoomTBCMethodsbasedon"selectiononobservables"
• Introductiontotheeconometricsofprogramevaluation• RegressionAdjustment(parametricandnonparametric)• Control-Functionregression• Matchingestimator:covariateandpropensityscoremethod• Reweightingestimator• Double-robustestimator• Summaryofmethods
17.00-18.00:Session3ComputerLabB(groundzero,closetotheuniversitycafeteria)Application,descriptionanduseonsimulatedandrealdataoftheStatacommands
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Wednesday13thJune2018Prof.FrancoFiordelisi&Dr.GiovanniCerulli
08.30-08.45–MeetingwithProf.FrancoFiordelisi,briefingoftheday
09-00-13.00:Session1ComputerLabB(groundzero,closetotheuniversitycafeteria)Difference-in-differences(DID)
• DID:statisticalsettingandconceptualization• DIDwithlongitudinaldata• DIDwithrepeatedcross-section• DescriptionanduseonrealdataoftheStatacommand:diff.DO-filesandADOfiles
providedbytheteacher14.00-16.30:Session2Room20,secondfloorEvaluationmethodsunder“selectiononunobservables”
• Instrumental-Variables:definitionandestimation• Heckmanselectionmodel(Heckit)andStructuralmodels
17.00-18.00:Session3ComputerLabB(groundzero,closetotheuniversitycafeteria)
• Application,descriptionanduseonsimulatedandrealdataoftheStatacommands
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Thursday14thJune2018Prof.saOrnellaRicci&Dr.GiovanniCerulli
08.30-08.45–Meetingwithprof.OrnellaRicci,briefingoftheday
09-00-13.00:Session1ComputerLabB(groundzero,closetotheuniversitycafeteria)Regressiondiscontinuitydesign(RDD)
• LocalAverageTreatmentEffect(LATE)• RDDasalocalapproximationofanaturalexperiment• Application,descriptionanduseonsimulatedandrealdataofStatacommand:rd.
DO-filesprovidedbytheteacher14.00-16.30:Session2Room20,secondfloorRegressiondiscontinuitydesign(RDD)
• SharpRDD:settingandestimation• FuzzyRDD:settingandestimation
17.00-18.00:Session3ComputerLabB(groundzero,closetotheuniversitycafeteria)
• Application,descriptionanduseonsimulatedandrealdataofStatacommand:rd.DO-filesprovidedbytheteacher
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Friday15thJune2018(Room18,secondfloor)
Prof.FrancoFiordelisi&Prof.saOrnellaRicci
08.30-08.45–Meetingwithprof.FrancoFiordelisi,briefingoftheday
09-00-13.00-Session1,AssessingtheimpactofregulationandsupervisiononrisktakingThe lackof regulationand supervisionwasoneof themain reasonsof the financial crisisfrom 2007 onwards. This seminar presents the main empirical papers investigating theeffectofsupervisionandregulationinbanking.References• Fiordelisi F., Carretta A., Farina V., Stentella Lopes, F.S., Schwizer P. (2015).
Supervisory styles and Financial Soundness toward the banking Union, Journal ofBankingandFinance,52,180-188
• Fiordelisi,F.,Pennacchi,G.Ricci,O.(2018).StockAreContingentConvertiblesGoing-ConcernCapital?EvidencefromBankStockReturns
• Fiordelisi,Cerulli,G.,Marques.(2017).BehavingStrategically?Behavingstrategically?Evidencefromthecentralizationofbankingsupervision.WP
• Fiordelisi,F.,Ricci,O.,StentellaLopesF.S.(2017).TheUnintendedConsequencesoftheSingle-SupervisoryMechanismLaunchinEurope,JournalofFinancialandQuantitativeAnalysys,52,no.6,pp.1-27
• Fiordelisi,F.,CaiazzaS.,Cotugno,M.,Stefanelli,V.,(forthcoming).Thespillovereffectofenforcementactionsonbankrisk-taking.JournalofBankingandFinance
14-00-18.00-Session2-AssessingtheimpactofmonetarypolicyonbankingThis session reviews empirical papers answering the following questions: what types ofpolicymakers’interventionshaveagreaterimpactonthebankingsectorduringthefinancialcrisis?DoallG-SIBshavea similar sensitivity to these interventions?Are there significantdifferencesacrossthemaincurrencyareas?DolargeNon-FinancialCompanies(NFCs)haveasimilarreactionofG-SIBstopolicyinterventions?References• Fiordelisi,F.,Galloppo,G.,(forthcoming).Stockmarketreactiontopolicyinterventions.
EuropeanJournalofFinance
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• Fiordelisi,F.,Ricci,O.,(2016)."Whateverittakes":AnEmpiricalAssessmentoftheValueofPolicyActionsinBanking,ReviewofFinance,20,2321–2347
• Fiordelisi,F.,Galloppo,Ricci,O.,(2014).Theeffectofmonetarypolicyinterventionsoninterbankmarkets,equityindicesandG-SIFIsduringthecrisis,JournalofFinancialStability,11,49–61
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“This program has been funded with support from the European Commission. This publication [communication] reflects the views only of the authors, and the Commission cannot be held responsible for any use which may be made of the information contained therein”