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Analyse et mesure du risque systémique
Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2015
This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we … discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural … encompassing the effect of interconnections between institutions. We compute a risk premium specific to interconnections. In the …
Persistent link: https://www.econbiz.de/10011265545
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Investment in Microfinance Equity : Risk, Return, and Diversification Benefits
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2011
resumed its close correlation with the financial sector since 2001. In terms of risk exposure, estimations of the Capital … improves the investor's risk-return performance. While the inclusion of microfinance equity has indeed been a major source of …
Persistent link: https://www.econbiz.de/10010707177
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Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2015
This paper is the first to draw a global picture of worldwide microfinance equity by taking full advantage of daily quoted prices. We revisit previous findings showing that investors should consider microfinance as a self-standing sector. Our results are threefold. First, microfinance has become...
Persistent link: https://www.econbiz.de/10011082471
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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
from their conventional benchmarks and that the Islamic screening leads to significant differences in risk and excess …
Persistent link: https://www.econbiz.de/10011073344
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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - Université Paris-Dauphine (Paris IX) - 2013
correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are …
Persistent link: https://www.econbiz.de/10011265523
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Crisis-Robust Bond Portfolios
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008
Persistent link: https://www.econbiz.de/10011166464
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Inflation and Individual Equities
Brière, Marie; Ang, Andrew; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2012
We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities...
Persistent link: https://www.econbiz.de/10010707935
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Subjective Stock Market Expectations and Portfolio Choice
Oliver, Xisco; Calvo Pardo, Hector; Arrondel, Luc; Tas, … - Université Paris-Dauphine (Paris IX) - 2010
Persistent link: https://www.econbiz.de/10010708931
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Intra-day market activity
Gouriéroux, Christian; Jasiak, Joanna; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 1999
This paper presents a study of intra-day patterns of stock market activity and introduces duration based activity measures for single stocks and multiple assets. The proposed measures involve weighted durations, i.e. times necessary to sell (buy) a predetermined volume or value of stocks. As...
Persistent link: https://www.econbiz.de/10011074170
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Uncertainty and Investment in Electricity Generation with an Application to the Case of Hydro-Québec
Doucet, Joseph A.; Chaton, Corinne - Université Paris-Dauphine (Paris IX) - 2003
uncertainty. The model explicitly accounts for equipment availability and load duration curves in selecting optimal investment …
Persistent link: https://www.econbiz.de/10010707789