This paper proposes a network formation model of an OTC derivatives market where both prices and quantities are bilaterally negociated. The key feature of the framework is to endogenize the network of exposures, the gross and net notional amounts traded and the collateral delivered through...

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage-free valuation framework involves five factors and two regimes, one of the latter being interpreted as a crisis regime. These common factors and regimes explain most of the fluctuations in...

In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...

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...

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...

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...

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...

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...

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...