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Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?
Lautier, Delphine; Ling, Julien; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2015
We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...
Persistent link: https://www.econbiz.de/10011205310
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An Alternative Model to Basel Regulation
Aboura, Sofiane; Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2014
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/10010790026
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Relance mondiale : Comment la financer ?
Lorenzi, Jean-Hervé - Université Paris-Dauphine (Paris IX) - 2009
Today, the main problem in financing economies is linked to liquidity problems of banks. The paradox is that the world … mobilisation of liquidity and the transformation of the financing networks. The main idea of theses proposals is that the burden of …
Persistent link: https://www.econbiz.de/10010708363
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Les crises économiques et financières et les facteurs favorisant leur occurrence
Cabrol, Sébastien - Université Paris-Dauphine (Paris IX) - 2013
The aim of this thesis is to analyze, from an empirical point of view, both the different varieties of economic and financial crises (typological analysis) and the context’s characteristics, which could be associated with a likely occurrence of such events. Consequently, we analyze both: years...
Persistent link: https://www.econbiz.de/10011074698
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The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes
Jouaber, Kaouther; Ben Salah, Meriem; Rigobert, … - Université Paris-Dauphine (Paris IX) - 2012
We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily...
Persistent link: https://www.econbiz.de/10011073344
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Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model
de La Bruslerie, Hubert; Fouilloux, Jessica - Université Paris-Dauphine (Paris IX) - 2015
This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and...
Persistent link: https://www.econbiz.de/10011246084
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Investment and arbitrage opportunities with short sales constraints
Jouini, Elyès; Carassus, Laurence - Université Paris-Dauphine (Paris IX) - 1998
In this paper we consider a family of investment projects defined by their deterministic cash flows. We assume stationarity—that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to...
Persistent link: https://www.econbiz.de/10011073130
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Liquidity Problems in the FX Liquid Market
Le Fol, Gaëlle; Idier, Julien; Borgy, Vladimir - Université Paris-Dauphine (Paris IX) - 2010
immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …
Persistent link: https://www.econbiz.de/10011074000
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Analyse et mesure du risque systémique
Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2015
institution. We adapt the usual risk measures to pinpoint the funding liquidity risk and the market liquidity risk. Lastly, we …
Persistent link: https://www.econbiz.de/10011265545
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Liquidity and the cost of Funds and Integration of the Eurozone Treasury Bills Market
Biais, Bruno; Renucci, Antoine; Saint-Paul, Gilles - Université Paris-Dauphine (Paris IX) - 2007
order book enhances liquidity and thus reduce yields. Irregularly issuing securities raises the yields government must pay … to liquidity hypothesis, yields are lower when the amount issued is large in such periods. Finally, yields are found to …
Persistent link: https://www.econbiz.de/10010708481