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A mathematical treatment of bank monitoring incentives
Possamaï, Dylan; Pagès, Henri - Université Paris-Dauphine (Paris IX) - 2014
described by Cvitanić and Zhang (Contract Theory in Continuous Time Models, Springer 2012) and leads to a simple recursive …
Persistent link: https://www.econbiz.de/10011073244
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The extreme downside risk of the S&P 500 stock index
Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2009
Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty of such events have … bankruptcies. This article applies extreme value theory results to quantify the extreme downside risk of the S&P 500 stock index in …
Persistent link: https://www.econbiz.de/10010707866
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Skin in the Game and Moral Hazard
Chemla, Gilles; Hennessy, Christopher A. - Université Paris-Dauphine (Paris IX) - 2014
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....
Persistent link: https://www.econbiz.de/10011166577
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« Is the proof of the pudding in the eating? » Comparaison entre l’Alternative Investment Market et Alternext
Lagneau-Ymonet, Paul; Rezaee, Amir; Riva, Angelo - Université Paris-Dauphine (Paris IX) - 2014
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...
Persistent link: https://www.econbiz.de/10011072743
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Skin in the Game and Moral Hazard
Chemla, Gilles; Hennessy, Christopher A. - Université Paris-Dauphine (Paris IX) - 2013
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...
Persistent link: https://www.econbiz.de/10011072798
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Les effets controversés de la régulation des banques d'investissement et de marchés
Aboura, Sofiane; Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2015
Persistent link: https://www.econbiz.de/10011162098
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Bilateral exposures and systemic solvency risk
Gouriéroux, Christian; Héam, Jean-Cyprien; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012
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...
Persistent link: https://www.econbiz.de/10011265532
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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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Frais, performance et risque des fonds d'investissement islamiques et conventionnels : une approche théorique et empirique
Mehri, Meryem - Université Paris-Dauphine (Paris IX) - 2014
and the risk of investment funds. Thus, we begin by developing a theoretical analysis about profit and loss … of adverse selection problem between the fund manager and the investor, shows that the risk aversions of the fund manager … performance and the risk of funds. To achieve our objective, we create a unique database that has an international sample of …
Persistent link: https://www.econbiz.de/10011212048
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Régulation et gestion des fonds propres bancaires
Alexandre, Hervé - Université Paris-Dauphine (Paris IX) - 2013
Persistent link: https://www.econbiz.de/10010729322