In this paper, we take up the analysis of a principal/agent model with moral hazard introduced by Pagès (J. Financ. Intermed. doi:10.1016/j.jfi.2012.06.001, 2012), with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to...

As a stock exchange dedicated to small and medium enterprises (SMEs), the success of the Alternative Investment Market (AIM) has established this segment of the London Stock Exchange as the benchmark, of which the Alternext is considered a flawed copy. This article aims to invalidate this...

What determines equilibrium securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase asset quality, subsequently having private information regarding quality when selling ABS to rational...

What determines securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase expected asset quality, subsequently having private information regarding quality when selling ABS to rational investors....

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

Through this study we checked within the framework of the fair value model, the consistency between the hedge-accounting recommended by the IAS 39 and the objectives of the capital regulation in the banking industry. We conclude that the macro-hedge is the most appropriate approach given the...

Islamic and conventional investment funds have the same purpose. However, unlike conventional funds, Islamic funds offer different investment contracts and have to invest in accordance with a set of selection rules. This dissertation focuses on developing theoretical and empirical analysis...

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows us to distinguish the exogenous and endogenous default dependence. We prove the...

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 model of solvency contagion. Within an equilibrium...