Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

In this paper, I show that Polleit and Mariano (2011) are right in concluding that Credit Default Swaps (CDS) are per se unobjectionable from Rothbard's libertarian perspective on property rights and contract theory, but that they fail to derive this conclusion properly. I therefore outline the...

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Cet article montre, à partir d'une analyse sur longue période 2001-2007 des relations inter temporelles entre les marchés français des credit default swap (CDS), des actions et des obligations, comment une innovation financière comme les CDS pourrait être à l'origine d'une instabilité...

Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...

Nous proposons dans cet article, à partir des approches de Taylor (2008) et de Gouriéroux et Jasiak (2008), d'agréger différents modèles de quantiles et d'expectiles afin d'obtenir une méthode plus robuste de calcul de la valeur-en-risque et de la perte conditionnelle maximale en...