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Fonds de pension américains : une évaluation du risque macroéconomique

Gonand, Frédéric - Université Paris-Dauphine (Paris IX) - 2004

The American pension funds system reinforces the sensibility of the American economy to financial markets fluctuations. Market risk is supported by companies as concerns defined benefits funds (DB) and by households as regards defined contributions plans (DC). DC funds are often over-invested in...

Persistent link: https://www.econbiz.de/10010708329

A note on market completeness with American put options

Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2014

We consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process $S$ over $[0, T]$. Every option price is defined as the conditional expectation under a given equivalent (true)...

Persistent link: https://www.econbiz.de/10011074294

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Persistent link: https://www.econbiz.de/10011205314

The Certification Role of Listings

Draus, Sarah - Université Paris-Dauphine (Paris IX) - 2009

I propose a model in which firms can convey their quality by listing on a stock exchange. To list, firms must comply with costly listing requirements allowing investors to recognize imperfectly their quality. A profit maximizing exchange may set listing requirements leading to high information...

Persistent link: https://www.econbiz.de/10010861490

Regulation and normalization on a globalized financial market : the case for credit derivatives

Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2006

Persistent link: https://www.econbiz.de/10010905382

Funding Liquidity Risk From a Regulatory Perspective

Gouriéroux, Christian; Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2014

In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of …

Persistent link: https://www.econbiz.de/10011265514

Funding Liquidity Risk From a Regulatory Perspective

Gouriéroux, Christian; Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2014

In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of …

Persistent link: https://www.econbiz.de/10011265517

Does Regulation Matter? Riskiness and Procyclicality of Pension Asset Allocation

Brière, Marie; Boon, Ling-Ni; Rigot, Sandra - Université Paris-Dauphine (Paris IX) - 2014

underscore the economic importance of regulation in the funds’ asset allocation choices, relative to institutional and individual …

Persistent link: https://www.econbiz.de/10010812471

Regulators as Reflexive Governance Platforms

Brousseau, Eric; Glachant, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2011

from others, and because they seek to influence the industry regulation. Properly organized fora establish an open …

Persistent link: https://www.econbiz.de/10010723175

Sociomaterial regulation in organizations: The case of information technology

de Vaujany, François-Xavier; Fomin, Vladislav; … - Université Paris-Dauphine (Paris IX) - 2013

. Recent scandals in the financial industry exposed overconfidence in IT based regulation and, as scholars of regulation have … with a broad perspective we define sociomaterial regulation as the relationships between the rules, the IT artifacts, and … modalities of sociomaterial regulation which can be understood using the three relationships: functionality-, tool-, role …

Persistent link: https://www.econbiz.de/10010757430