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Secured funding in the euro area: an econometric analysis to explain the drivers of asset encumbrance

Marcello Lanciani

Secured funding in the euro area: an econometric analysis to explain the drivers of asset encumbrance.

Rel. Franco Varetto. Politecnico di Torino, Corso di laurea magistrale in Ingegneria Matematica, 2020


Theoretical and empirical analyses on asset encumbrance show that its implications on banks' funding structure are considerable and might compromise their resilience to liquidity shocks. For this reason, asset encumbrance gained the attention of supervisors and policymakers, especially after the Global Financial Crisis. This thesis aims to shed light on the drivers of asset encumbrance providing an empirical analysis performed on the European banks belonging to the Single Supervisory Mechanism during the 2014:Q4 - 2019:Q2 period. Our investigation covers several factors such as the credit risk induced by non-performing assets, the availability of central bank eligible collateral, the stability of the funding structure, capitalization. Among our results, we find that -ceteris paribus- (i) banks with a higher credit risk are on average forced to shift from unsecured funding towards secured funding; (ii) high quality collateral is a constraint to seek for secured funding: asset encumbrance increases when a bank holds more central bank eligible assets; (iii) those banks with a larger amount of short-term liabilities approaching maturity are likely to seek more secured funding in order to repay them; (iv) the level of capital does not show significant effects on asset encumbrance.

Relators: Franco Varetto
Academic year: 2019/20
Publication type: Electronic
Number of Pages: 56
Additional Information: Tesi secretata. Fulltext non presente
Corso di laurea: Corso di laurea magistrale in Ingegneria Matematica
Classe di laurea: New organization > Master science > LM-44 - MATHEMATICAL MODELLING FOR ENGINEERING
Aziende collaboratrici: UNSPECIFIED
URI: http://webthesis.biblio.polito.it/id/eprint/13658
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