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Risque d'estimation, coût du capital et communication des tests de dépréciation

Paugam, Luc; Ramond, Olivier; Husson, Bruno; Philippe, Henri - Université Paris-Dauphine (Paris IX) - 2013

The cost of equity capital is traditionally considered as an increasing function of the estimation risk – the risk of error regarding the distribution of a firm’s future cash flows (FCF). Under international GAAPs, IAS 36 “Impairment of assets” -based information disclosure conveys...

Persistent link: https://www.econbiz.de/10011246078

Liquidation equilibrium with seniority and hidden CDO

Gouriéroux, Christian; Héam, Jean-Cyprien; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2013

The aim of our paper is to price credit derivatives written on a single name when this name is a bank. Indeed, due to … the special structure of the balance sheet of a bank and to the interconnections with other institutions of the financial … derivatives written on a single bank name requires a joint analysis of the risks of all banks directly or indirectly …

Persistent link: https://www.econbiz.de/10011265539

Is there value-added information in liquidity and risk premiums?

Hamon, Jacques; Jacquillat, Bertrand - Université Paris-Dauphine (Paris IX) - 1999

Size has become a significant factor in explaining returns. According to the size effect, smaller capitalization stocks on average outperform larger capitalization stocks over long periods of time. This paper first documents the traditional size effect on the French market for the 1986-1998...

Persistent link: https://www.econbiz.de/10010742285

Fair value or historical cost : the case of the efficiency of the safety and soundness regulation in the banking sector

Thuelin, Elisabeth - Université Paris-Dauphine (Paris IX) - 2002

When historical cost is used, the incomes are smoothed in a way that delays the recognition of the financial institutions lessening solvency, especially in the case of fixed rate loans when market rates are decreasing. We study the case of Credit Lyonnais which had the opportunity to transfer...

Persistent link: https://www.econbiz.de/10010742291

Financial Markets in Continuous Time

Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10010799306

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

Persistent link: https://www.econbiz.de/10010799319

Impact des interruptions de cotation sur la microstructure du marché boursier français

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2003

The purpose of the regulated interruptions of quotation on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the...

Persistent link: https://www.econbiz.de/10010764096

The cross-market index for volatility surprise

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

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...

Persistent link: https://www.econbiz.de/10010781511

Risque de crédit et volatilité des spreads sur le marché de la dette privée en euro

Sodjahin, Amos Aristide - Université Paris-Dauphine (Paris IX) - 2011

The credit risk on the bond market is characterized by the possible default of a counterparty, but also by changes in the spread following a perceived deterioration, by the market, of the credit quality of the issuer. This thesis focuses on credit spreads on corporate bond market in euros....

Persistent link: https://www.econbiz.de/10010705791

Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières

Kourouvakalis, Stylianos - Université Paris-Dauphine (Paris IX) - 2008

The thesis presents a construction of a grid that discretizes the threshold model introduced by Geman and Roncoroni (2006) for electricity spot prices, incorporating both mean reversion and jumps, the direction of the latter depending on the price of the underlying at the time of the jump. The...

Persistent link: https://www.econbiz.de/10010705810