Detecting whether banks' leverage is indeed procyclical is relevant to support the view that booms and crises may be reinforced by some sort of supply side financial accelerator, whilst finding a plausible explanation of banks' behaviour is crucial to trace the road for a sensible reform of...

We present a simple model, where intraday and overnight interest rates are linked by a no-arbitrage argument. The hourly interest rate is shown to be a function of the intraday term structure of the overnight rate. This property holds under both assumptions, where an explicit intraday market for...

We stress the role of a more balanced financial structure for the Italian corporate sector. Three sources of funding are seen as complementary: equity, long-term debt, and bank loans. An analysis of the credit crunch shows the emergence of two phases: the first from the Lehman crash (2008) to 2010;...

We propose a new index for measuring the systemic risk of default of the banking sector, which is based on a homogeneous version of multivariate intensity based models (Cuadras – Augé distribution). We compute the index for 10 European countries, exploiting the information incorporated in the...

We provide a structural model of sovereign credit risk, where the risk premium paid by the government is linked to some key economic variables of a country: public debt and deficit, GDP growth. This model is then applied to measure the impact of splitting the public debt into a senior and a...

The model presented in this paper shows that the outcome of a leveraged buyback of sovereign debt depends on the seniority structure of the deal. If the institution lending the funds needed for the buyback is senior, the debtor country benefits from the deal and the market price of bonds...

The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some participants and creating a lemon problem; this may end up with...

We examine the reform of the prudential treatment of banks' sovereign exposures, with the purpose of introducing risk-sensitive capital charges and limiting the home bias. We consider six different options and measure their impact on the CET1 ratio of 82 banks from 10 euro-area countries,...

This work provides an empirical investigation of shareholders' agreements signed in Italy over the past decade. The evidence shows that agreements produce a remarkable reshuffling of voting power (Shapley value) among participants. In particular, the first owner gains much voting power at low...