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Almae Matris Alumni

Luca Cocconcelli

  • Titolo di studio Laurea
  • Indirizzo / Specializzazione Scienze statistiche
  • Anno di conseguimento 2011
  • Città London
    Azienda University College London
  • Professione / Area di interesse Ricercatore

During the past four years, I have been studying at University College London mainly focussing my interests on two streams of research. The first relies on quantitative modelling of infrastructure financing, in relation transportation, infrastructure finance (loans, bonds and equity capital) and credit risk. The second focuses on modelling commodity price behaviours and dry bulk freight rates, in particular for storable commodities, with attention to convenience yield, future prices. I have always been very interested in finance and economics, in particular from a more quantitative point of view. This is one of the reasons why my academic career has not only developed on a merely theoretical side but was always open to in-depth researches carried out with private sector and by using the “on-field know-how”. In 2012, I was awarded of a Starebei Grant by EIB.Institue. By using this sponsorship, I carried out researches on infrastructure financing through capital markets (municipal bonds, commercial bank loans and debt securitisation), found innovative ways to curtail credit risks and attract more investors towards infrastructure asset class. I reviewed different public transport financing case studies and I developed a bond model that contributes to improve the credit profile of municipal bond issuers thus curtailing the cost of borrowing for local authorities (recovery rate enhancements for local authorities). Throughout this period I provided innovative mechanisms for enhancing recovery rates and all models were developed in a user-friendly and decision-useful Excel environment / VBA developer. As a result of these collaborations, I have been able to develop quantitative skills in assessing LGD and Recovery Rate across different sectors of infrastructures (toll roads, railways, public transport, housing and utilities). In 2011, I have been awarded of EPSRC grant for ENFOLDing project. Aim of this project is to model and understand global-level dynamics by using the tools of complexity science. I developed an analytical framework for understanding non-linear relationships in commodity and dry bulk freight rates: firstly, I investigated the relationships inventory levels, convenience yield, and the shape of future curve; and secondly, I modelled the effects of future prices curve and volatility spillovers from commodity markets to dry bulk freight rates in maritime industry. Cross market spillovers analysis has recently become an outstanding research stream which aims to verify the various degrees of integration across different traded security, commodity or asset markets. The integration between market influences the general level of investments therefore I delivered a second stream of research which analyses market spillovers, level of dry bulk freight rates and ship-owners investment decisions. In former researches I also focussed my activity on Cost Benefit Analysis (Vasco da Gama Bridge Case study and ERSA Summer School), urban project Cash Flow Analysis (Sicily JESSICA Fund), Real Estate Investments and urban transport financing (CrossRail, London).

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