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Different capital regulatory requirements in the bank and insurer markets lead to finding and using of new more complex financial tools linked with capital release and subsequent optimization of the investment objectives, but they are also linked with promises and risk transfers that could cause a collapse or a systemic risk of the financial markets, as evidence by the recent financial crisis. The aim of my work is to examine the behavior of credit default swap spreads on the securitization and reinsurance markets, followed by analyzing arbitrage conditions between securitization and reinsurance markets by cointegration analysis. The thesis focuses on Italy because it is one of four main European players in the securitization market and it has highly developed bank and insurer markets. Moreover, it still faces to consequences of the recent financial crisis that is indicator of strong possible bases for above mentioned complex financial instruments. On the dataset of Top 8 Italian banks and insurer companies in the period 2006 - 2012 I showed by cointegration analysis a presence of just one cointegration relationship between securitization and reinsurance market, therefore I rejected possibility of arbitrage between these markets. But on the other hand, they converge to long term equilibrium slowly... |
