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Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

Persistent link: https://www.econbiz.de/10010548433

Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach

Deville, Laurent; Riva, Fabrice - HAL - 2007

This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how limits to arbitrage...

Persistent link: https://www.econbiz.de/10008791500

Exchange Traded Funds: History, Trading and Research

Deville, Laurent - HAL - 2008

We survey the litterature devoted to Exchange Traded Funds

Persistent link: https://www.econbiz.de/10008792943

Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime

Allegret, Jean-Pierre; Sand-Zantman, Alain - HAL - 2007

This paper studies to what extent the diversity of exchange rate regimes within Mercosur exerts an influence on the feasibility of a monetary union in this area. A semi-structural VAR model is built for each country, including a set of international and domestic variables. Based on impulse...

Persistent link: https://www.econbiz.de/10008791736

Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches

Allegret, Jean-Pierre; Sand-Zantman, Alain - HAL - 2007

This paper analyses the feasibility of a monetary union within the Mercosur, focusing on cycle synchronicity. Three questions are addressed, concerning respectively the features of shocks hitting each member, the impact of exchange rate regime differences on countries' responses and the share of...

Persistent link: https://www.econbiz.de/10008793162

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - HAL - 2014

updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the 'volatility surprise …

Persistent link: https://www.econbiz.de/10010821166

Contagion in financial networks: a threat index

Demange, Gabrielle - HAL - 2012

An intricate web of claims and obligations ties together the balance sheets of a wide variety of financial institutions. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate defaults and bankruptcy. Building on a simple model...

Persistent link: https://www.econbiz.de/10010739081

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

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...

Persistent link: https://www.econbiz.de/10010899196

Contagion Effects in the Aftermath of Lehman's Collapse: Measuring the Collateral Damage

Dumontaux, Nicolas; Pop, Adrian - HAL - 2012

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...

Persistent link: https://www.econbiz.de/10010899300

An Alternative Model to Basel Regulation

Aboura, Sofiane; Lépinette, Emmanuel - HAL - 2013

The post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator principal objective is to set banks' capital requirements equal to international minimum standards in order to mimimise systemic...

Persistent link: https://www.econbiz.de/10010899303