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Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

Coffinet, J.; Pop, A.; Tiesset, M. - Banque de France - 2010

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...

Persistent link: https://www.econbiz.de/10008765720

Macro-prudential policy and the conduct of monetary policy.

Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2011

In this paper, we analyse the interactions between monetary and macro-prudential policies and the circumstances under which such interactions call for their coordinated implementation. We start with a review of the interdependencies between monetary and macro-prudential policies. Then, we use a...

Persistent link: https://www.econbiz.de/10010815922

Asset Pricing with Second-Order Esscher Transforms.

Monfort, A.; Pegoraro, F. - Banque de France - 2012

The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the...

Persistent link: https://www.econbiz.de/10010815981

Macro-Prudential Policy and the Conduct of Monetary Policy.

Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2012

Persistent link: https://www.econbiz.de/10010816001

La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières

Coffinet, J. - Banque de France - 2008

Persistent link: https://www.econbiz.de/10008528497

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on … allowing for somewhat dirty options prices, by providing a good fit to options prices, and by being very fast is the retained … method for the data at hand. We then consider a daily panel of options running from February 1997 to July 1997. After …

Persistent link: https://www.econbiz.de/10005036199

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1998

The Gram-Charlier expansion, where skewness and kurtosi directly appear as parameters, has become popular in Finance as …

Persistent link: https://www.econbiz.de/10005036204

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

Gram-Charlier expansions allow for a certain flexibility over skewness and kurtosis they have the unfortunate drawback of …

Persistent link: https://www.econbiz.de/10005487055

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 …

Persistent link: https://www.econbiz.de/10005646662

Price as a choice under nonstochastic randomness in finance

Y, Ivanenko.; B, Munier. - Banque de France - 2012

Arrow-Debreu state preference approach to derivatives pricing is embedded into decision theoretical framework. Derivatives prices are considered as decision variables. Axiomatic decision theory, concerned with the attitude toward uncertainty and existence of closed in *-weak topology sets of...

Persistent link: https://www.econbiz.de/10010691595