Andrea Pinna
Room number: E304
Tel: +44 20 7882 8843
Fax: +44 20 8983 3580
Email: a.pinna@qmul.ac.uk
Website: http://webspace.qmul.ac.uk/apinna
Download CV:
Research keywords: Banking, Financial crises, Contagion, Repo, Haircut, Originate to distribute
Research supervisors: Giovanni Cespa (Cass Business School), Francis Breedon
Mr. Andrea Pinna's research interests are in Industrial Organization and Corporate Finance. His PhD project centres on the effects on the banking sector of asset misevaluation in the repo market. He is also studying the application of Contract Theory to the enforcement of Competition Policy.
Title of the dissertation project:
Modelling Financial Crises
Summary of the dissertation project:
Traditional bank run models assume the stochastic timing of withdrawals, rather than banks investment decisions, unleash the panic leading a financial institution bankrupt.
The insolvency of one institution spreading through the direct effect its bankruptcy has on the balance sheets of its counterparties, the crisis becomes systemic via the domino effect the new insolvencies have on other peers of the interbank market.
In the Subprime crisis depositors rarely ran to withdraw funds from endangered institution, the few runs being a symptom rather than the cause of the crisis. Moreover the empirical literature has found little potential for failures resulting from interbank exposure.
These findings call for a new model of financial contagion. Andrea has singled out the possible source of such a mechanism in the interaction between the ex ante misevaluation of “opaque” assets, the fire-sales following revelation of interim information about the assets return, and the consequent lower liquidity banks can raise from the repo market under mark-to-market accounting.
The ex ante risk perception in the interbank market is critical for the contagion channel to be effective in the model. Thus regulatory bodies have room for manoeuvre to make the new contagion channel ineffective through provisions on bank risk management.