Maria Gaia Soana

The Impact of Sovereign Rating News on European Banks

This paper examines the spillover effect of Eurozone sovereign rating changes announced by Standard and Poors, Moodys, and Fitch on domestic bank share prices in the period 2002–2012. This spillover effect appears negative in the case of downgrades, but insignificant for upgrades. Surprisingly, announcement of sovereign negative credit watches results in increased bank stock returns. Bank share price losses following sovereign downgrades increase as bank leverage, efficiency, and equity performance increase, and they decrease as bank systematic risk and payout ratio increase. On the contrary, bank share prices rise following sovereign negative credit watches, as leverage and bank size decrease and as bank systematic risk increases.

Il rischio reputazionale è misurabile? Alcune proposte in un’ottica manageriale

EnglishAmong the different types of risks that companies must face, reputational risk plays a very important role, as reputation is an essential intangible asset in achieving a good competitive, economic and social performance. In terms of perception, reputational risk is one of the risks most feared by risk managers, which, however, find it difficult to implement a real process of reputational risk management (RRM). In the absence of an organic theoretical framework, this paper proposes a process of identification, assessment and management of reputational risk in an industry that is particularly exposed to this kind of risk: banking. italianoTra le numerose tipologie di rischio che le imprese devono fronteggiare, il rischio reputazionale riveste un ruolo decisamente importante, poiche la reputazione rappresenta un asset intangibile indispensabile per raggiungere buone performance competitive, reddituali e sociali. Sotto il profilo della percezione, il rischio reputazionale e uno dei rischi piu temuti dai risk manager, che, tuttavia, dichiarano di avere elevate difficolta legate all’implementazione di un vero e proprio processo di reputational risk management (RRM). In assenza di un organico framework di riferimento, il presente contributo propone un percorso di analisi volto all’identificazione, alla valutazione e alla gestione del reputational risk in una tipologia di imprese particolarmente esposta a questo rischio: le banche.