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Arping, Stefan - Tinbergen Instituut - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity-provision frictions that, in an unlevered economy, would lead...

Persistent link: https://www.econbiz.de/10011256979

Banking Crisis Management in the EU: An Interim Assessment

Pisani-Ferry, Jean; Sapir, André - Université Paris-Dauphine (Paris IX) - 2009

For well over a decade many observers had warned that the European Union was ill-prepared in case of a financial storm because its market integration far outpaced its policy integration. This situation was well known to policy-makers but it was hoped that financial crises would wait until policy...

Persistent link: https://www.econbiz.de/10010861601

Substitution or complementarity between “soft” information and "hard" information : why and which effect on bank profitability ?

Smondel, Aymen; Alexandre, Hervé - Université Paris-Dauphine (Paris IX) - 2010

The Basel II committee set up directives encouraging banks to use internal scores in order to assess the risk of their customers. This new form of information competes with the existing ones. SMEs are most concerned by these new stakes, due to the lack of transparency. The aim of this paper is...

Persistent link: https://www.econbiz.de/10011072492

Existe-t-il un lien entre la libéralisation financière et les crises bancaires dans les pays émergents ?

Chebbi, Mohamed Jaber - Université Paris-Dauphine (Paris IX) - 2005

Nous allons analyser les effets de la libéralisation financière sur les crises bancaires dans les pays émergents, qui disposent d’un système bancaire plus vulnérable et plus fragile que celui des pays développés. Nous allons étudier les effets de la libéralisation financière sur une...

Persistent link: https://www.econbiz.de/10011072813

Illiquidité, contagion et risque systémique

Dudek, Jérémy - Université Paris-Dauphine (Paris IX) - 2013

The aim of this thesis is to improve the management of financial risks through the employment of econometric methods. We focus on liquidity (market and funding), contagion and systemic risk, which have attracted a particularly large interest in the last years of financial turmoil. Firstly, we...

Persistent link: https://www.econbiz.de/10011074619

Performance des institutions bancaires, structure des revenus et influence de l'économie et des marchés financiers

Albert, Stéphane - Université Paris-Dauphine (Paris IX) - 2014

The post-crisis and regulatory changes face banks with a new framework, replacing financial performance at the heart of their model. With the exception of risks associated with proprietary financial transactions, effects of the structure of income on the profitability and the stability of...

Persistent link: https://www.econbiz.de/10010936383

A Theory of Profit Sharing Ratio under Adverse Selection: The Case of Islamic Venture Capital

Mehri, Meryem; Jouaber, Kaouther - Université Paris-Dauphine (Paris IX) - 2012

This paper presents a theory for Islamic venture capital namely ‘Mudharabah’ contract under adverse selection problem. In order to avoid selecting a low type entrepreneur for a given good project, the framework defines the profit sharing ratio (PSR) as a screening device. We then develop a...

Persistent link: https://www.econbiz.de/10010707570

Banking and Trading

Boot, Arnoud W.A.; Ratnovski, Lev - Tinbergen Instituut - 2012

We study the effects of a bank’s engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, short-term, capital constrained, and with...

Persistent link: https://www.econbiz.de/10011256147

Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling

Campi, Luciano; Cetin, Umut - Université Paris-Dauphine (Paris IX) - 2007

, and a market maker who sets the price using the total order. When the insider does not trade, the default time possesses a … default intensity in the market’s view as in reduced-form credit risk models. However, we show that, in equilibrium, the … modelling becomes structural in the sense that the default time becomes the first time that some continuous observation process …

Persistent link: https://www.econbiz.de/10010707525

The money and bond markets in France: Segmentation vs. integration

Dumas, Bernard; Jacquillat, Bertrand - Université Paris-Dauphine (Paris IX) - 1990

When rates of return on bonds are computed over extremely short holding periods, the ex post cross-sectional relationship between realized return and risk is linear. It is therefore possible, at any time, to extrapolate the cross-sectional relationship to a zero risk level, and thus to determine...

Persistent link: https://www.econbiz.de/10011096655