The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This...

Cet ouvrage décrit l'organisation d'un marché d'actions et expose les concepts de base de la gestion de portefeuille et des risques : la rentabilité, la volatilité, l'hostilité au risque, les principes et les avantages de la diversification. Il présente les modèles linéaires...

Bourse et gestion de portefeuille est le titre de cet ouvrage. Bourse car les marchés de titres, les mécanismes de rencontre entre l’offre et la demande de titres, ainsi que les principes de fixation des cours, sont précisés principalement dans la première partie. Gestion de portefeuille...

When historical cost is used, the incomes are smoothed in a way that delays the recognition of the financial institutions lessening solvency, especially in the case of fixed rate loans when market rates are decreasing. We study the case of Credit Lyonnais which had the opportunity to transfer...

Asset allocation contribution to ex-post performance is of primary importance. Nobody denies its role, yet the subject of allocating assets remains controversial. To some contenders, the added value stems only from strategic asset allocation which aims at providing the long-term average exposure...

Le recours au coût historique et à des techniques d'allègement des bilans comme la titrisation permettent aux banques de disposer d'une marge de manoeuvre en matière comptable. Le développement des marchés financiers et l'orientation actuelle de l'IASC et du FASB en faveur de la juste...

When rates of return on bonds are computed over extremely short holding periods, the ex post cross-sectional relationship between realized return and risk is linear. It is therefore possible, at any time, to extrapolate the cross-sectional relationship to a zero risk level, and thus to determine...

This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...

This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...