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Credit and liquidity risks in euro area sovereign yield curves

Monfort, A.; Renne, J-P. - Banque de France - 2011

combinations of the factors and regimes. The hazard rates incorporate both liquidity and credit components, that we aim at … disentangling. The estimation suggests that a substantial share of the changes in euro-area yield differentials is liquidity … risk premia that are incorporated in spreads. Once liquidity-pricing effects and risk premia are filtered out of the …

Persistent link: https://www.econbiz.de/10009371432

Default, liquidity and crises: an econometric framework

Monfort, A.; Renne, J-P. - Banque de France - 2011

liquidity. The risk factors follow conditionally Gaussian processes, with drifts and variance-covariance matrices that are …

Persistent link: https://www.econbiz.de/10009275672

False News, Informational Efficiency, and Price Reversals.

Dugast, J.; Foucault, T. - Banque de France - 2014

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...

Persistent link: https://www.econbiz.de/10010938543

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of … open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be …, targeted liquidity assistance may become strictly superior. The analysis might have a bearing on recent developments in the …

Persistent link: https://www.econbiz.de/10004998822

Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985 - 2009

Kraeussl, R.; Krause, S. - Banque de France - 2011

After nearly two decades of U.S. leadership in the 1980s and 1990s, are Europe's venture capital markets in the 2000s finally catching up regarding the provision of financing and successful exits, or is the performance gap as wide as ever? Are we amidst overall dismal performance of the venture...

Persistent link: https://www.econbiz.de/10009019289

Compensation in the Financial Sector: Are all Bankers Superstars?

Célérier, C. - Banque de France - 2010

Based on a survey among French engineers, I find that employees in the financial sector are highly paid. I also find large pay differences within the sector and that a large share of compensation is variable. I consider three potential models accounting for these facts: a model of superstars...

Persistent link: https://www.econbiz.de/10008682871

Le marche des certificats de depots: ecarts de taux a l'emission : l'influence de la relation emetteurs-souscripteurs initaux.

martin, C.; Rosenwald, F. - Banque de France - 1996

Apres une description rapide des caracteristiques respectives des echantillons de certificats de depot, cette note examine successivement les comportements selon les differents types d'emetteurs et de souscripteurs, et les consequences de ces distinctions sur les arbitrages operes sur le marche...

Persistent link: https://www.econbiz.de/10005781185

Les strategies de "Stop Loss" : Theorie et application au contrat notionnel du MATIF.

Bensaid, B.; De Bandt, O. - Banque de France - 1996

Pour expliquer l'existence de règles de «stop-loss» dans les institutions financières, nous développons un modèle principal-agent, où une firme d'investissement (le principal) doit faire appel à l'expertise d'un opérateur (l'agent) pour investir dans un actif risqué et sophistiqué...

Persistent link: https://www.econbiz.de/10005036196

Les credits nouveaux mis en place par les banques AFB de 1978 a 1992: une evaluation des montants et des durees initiales.

Baumel, L. - Banque de France - 1996

Si les stocks ou encours de credits detenus par les banques sont bien connus et permettent une mesure de differents risques bancaires, il n'existe en revanche aujourdh'hui en matiere de credit aucune information d'ensemble sur la production. En d'autres termes, peu de donnees sont disponibles au...

Persistent link: https://www.econbiz.de/10005646656

L'influence des montants emis sur le taux des certificats de depots.

Rosenwald, F. - Banque de France - 1996

les conditions de financement des banques contribuent a expliquer leur comportement et en particulier les modifications de leur offre de pret a la suite de differents chocs. Dans cet article nous utilisons des donnees sur les emissions de certificats de depots francais pour etudier la...

Persistent link: https://www.econbiz.de/10005646658