Four essays on hidden risks into the global financial architecture

The doctoral dissertation of Laura Gianfagna, Ph.D. Candidate in Economics at IMT School for Advanced Studies Lucca, is submitted at IMT School for Advanced Studies Lucca. The original research thesis studies unsolicited weak points of the current Global Financial Architecture and unknown sources of financial contagion. The dissertation provides policy advice and innovative methodologies to improve the current financial supervisory monitoring. The main topics covered are credit risk and financial risk. On the credit risk side, the author addresses two issues: a lack of regulatory supervision for Multilateral Development Banks and a model risk that the economic capital calculation for portfolio credit risk and the regulatory capital calculation for counterparty credit risk have in common. On the financial risk side, the thesis estimates a significant impact of corporate control on stock market volatility. The empirical investigation confers the right to exist to an entity acting on financial market prices through the property channel, in parallel to business groups. An innovative methodology is then applied to the Interest Rate Swap market to detect correlation and co–movements among its subclasses aggregated by contractual characteristics. All the results contribute to the research literature on early warning triggers for systemic risk.