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Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract

Portes, Richard; Fouquau, Julien; Delatte, Anne-Laure - Université Paris-Dauphine (Paris IX) - 2014

exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European …

Persistent link: https://www.econbiz.de/10010764083

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

Cross-market index with Factor-DCC

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

This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a...

Persistent link: https://www.econbiz.de/10010765451

Cross-market volatility index with Factor-DCC

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

This paper proposes a new empirical methodology for computing a cross-market volatility index – coined CMIX – based on the Factor DCC-model, implemented on volatility surprises. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional...

Persistent link: https://www.econbiz.de/10010891145

Valuation of default sensitive claims under imperfect information

Jeanblanc, Monique; Geman, Hélyette; Coculescu, Délia - Université Paris-Dauphine (Paris IX) - 2006

We propose an evaluation method for financial assets subject to default risk, when investors face imperfect information about the state variable triggering the default. The model we propose generalizes the one by Duffie and Lando (2001) in the following way:(i)it incorporates informational noise...

Persistent link: https://www.econbiz.de/10011074330

Understanding the Fine Structure of Electricity Prices

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10011166403

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 … credit spreads on corporate bond market in euros. Following the introductory chapter that presents some stylized facts that … financial situation of the bond issuer, risk premiums seem to depend on interest rates, the state of the stock market, the …

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

Legitimizing an Ambiguous Financial Innovation : the case of Exchange Traded Funds in France

Oubenal, Mohamed; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2012

The results of the study provide empirical evidence of the way ETF promoters were the driving force behind development of the market, exercising social control with relative discretion. Section 2 describes the nature of ETFs in general and the way they have evolved in France, with a focus on...

Persistent link: https://www.econbiz.de/10010708273

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 system, the standard pricing formulas do not apply and...

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

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