Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Non performing loans in the Italian banking system: determinants and resolutions |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 105 |
| Date | 2018 |
| Abstract Text | The subject of this work is the study of the determinants of the Italian NPL stock and the analysis of the resolutions. When determining the driver of the distressed credit stock a panel data analysis on 11 listed banks for the period 2001-2017 has been applied. The fixed effect estimation highlighted that both macroeconomic and bank-specific variables concur in determining the NPL ratio level. The NPL market is characterised by informational asymmetries that result in a pricing gap between banks net book value and market evaluation of NPL. The lack of a well functioning secondary market for distressed credit coupled with economy downturn contributed to the build up of a EUR 350 billion stock of non performing loans in the Italian banking system. In order to reduce the amount of NPL both public measures and private initiatives have been undertaken. From the government side the set up of an asset protection scheme for senior securitised tranches of NPL (GACS) and law reforms regarding judicial proceedings and collateral enforcement have been adopted. When it comes to the first, an estimation of the potential costs for the State has been carried out based on a modelling of the portfolio losses and it turned out that the resources funded by the government are indeed adequate to cover the average loss on securitised tranches. From the private side the inception of Atlante funds was undertaken in the attempt to reduce the bid-ask spread and foster the NPL transactions. Both public and private measures contributed to the development of the Italian NPL market that was characterised by a frency activity and jumbo deals starting from 2017. Consequently, after years of constant increase, the Italian NPL stock started to reduce in size, with such a trend expected to continue for 2018. Pricing gap on the Italian market still persist and will force credit institutions to face losses when disposing of their distressed credit thus putting preassure on banks’ capitalization. At the same time, the entering into force of the new IFRS standards with respect to asset classification and provisioning will further reduce the CET ratio of Italian credit institutions. As highlighted by an analysis of the Italian banking sector, the massive NPL stock is considered to be the main cause of the low profitability and of the credit crunch affecting the economy in the last years, with the Italian GDP growth that, since the outburst of the great financial crisis, has been below the EU average. NPL resolution will take some time and will require strong efforts from the both the private and the public sector, but it is expected to positively contributed to economy recovery. |
| Export |
BibTeX
|