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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

Banking relationships and syndicated loans during the 2008 financial crisis

Alexandre, Hervé; Bouaiss, Karima; Refait-Alexandre, … - Université Paris-Dauphine (Paris IX) - 2014

previously developed relationship with a lead bank obtained a lower spread and a longer maturity during the financial crisis but …

Persistent link: https://www.econbiz.de/10010960595

Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?

Guillemin, François; Alexandre, Hervé; … - Université Paris-Dauphine (Paris IX) - 2015

This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over …

Persistent link: https://www.econbiz.de/10011273974

Comportements financiers des fonds de pension dans les pays de l'OCDE

El Mekkaoui de Freitas, Najat - Université Paris-Dauphine (Paris IX) - 1997

financial behaviour of pension funds in these countries. A comparative analysis is thus provided of the volume, portfolio …

Persistent link: https://www.econbiz.de/10010764090

Do Leveraged Credit Derivatives Modify Credit Allocation ?

Viala, Jean-Renaud; Boulier, Jean-François; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008

This paper examines how credit derivatives have changed the construction of an efficient portfolio. Credit derivatives …. The results show the advantages of credit derivatives for portfolio diversification, and the usefulness of leveraging this …

Persistent link: https://www.econbiz.de/10010707561

Optimal Portfolio Liquidation with Limit Orders

Guéant, Olivier; Lehalle, Charles-Albert; Tapia, … - Université Paris-Dauphine (Paris IX) - 2011

This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing … order book to optimally liquidate a portfolio. Most practitioners address these two issues separately: they compute an …

Persistent link: https://www.econbiz.de/10011072650

Decreasing term structure of psychological discount rates: Experimental estimation and determinants

de La Bruslerie, Hubert - Université Paris-Dauphine (Paris IX) - 2015

Many empirical and behavioral studies identify a decreasing slope in the term structure of subjective discount rates. Using an experimental methodology based on “free-time” relative comparisons, this paper aims to identify in individual behaviors whether agents see their psychological value...

Persistent link: https://www.econbiz.de/10011246085

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - Université Paris-Dauphine (Paris IX) - 2015

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by … parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for … investors who wish to invest in the global minimum variance portfolio due to its strong historical track record, but seek a rule …

Persistent link: https://www.econbiz.de/10011228180

Administration in Organizations

Thoenig, Jean-Claude - Université Paris-Dauphine (Paris IX) - 2015

Administration in organizations emerged as a specific field of inquiry for social sciences in the middle of the twentieth century. Herbert Simon has defined a program that allows social sciences to move from principles to concepts about action and action taking. Four main perspectives of...

Persistent link: https://www.econbiz.de/10011205321

Efficient allocations and equilibria with short-selling and incomplete preferences

Le Van, C.; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2014

This paper reconsiders the theory of existence of efficient allocations and equilibria when consumption sets are unbounded below under the assumption that agents have incomplete preferences. Our model is motivated by an example in the theory of assets with short-selling where there is risk and...

Persistent link: https://www.econbiz.de/10010799311