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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
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...
Persistent link: https://www.econbiz.de/10011265545
The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash...
Persistent link: https://www.econbiz.de/10011193769
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
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/10010708963
We investigate the link between the regulation of control transactions and the institutional and corporate features of public companies, by analyzing the massive delisting activity in the Romanian capital market. The peculiar ownership reforms involving a large number of listed companies offer a...
Persistent link: https://www.econbiz.de/10010708206
In this paper, we examine how categorization is resisted. We analyze the way organizations draw on industry registers to resist or adapt to changes that will potentially alter the definition and nature of the markets in which they compete. We approach this question through a qualitative study of...
Persistent link: https://www.econbiz.de/10011082485
Persistent link: https://www.econbiz.de/10010735783
Open market share repurchases are strictly regulated to prevent companies from profiting from insider information. We examine compliance with these rules in France, where the mandatory disclosure of share repurchases provides detailed information on repurchases actually undertaken. Using a...
Persistent link: https://www.econbiz.de/10010861426
Open market share repurchases are strictly regulated to prevent companies from profiting from insider information. We examine compliance with these rules in France, where the mandatory disclosure of share repurchases provides detailed information on repurchases actually undertaken. Using a...
Persistent link: https://www.econbiz.de/10010708506