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An Alternative Model to Basel Regulation
Aboura, Sofiane; Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2014
alternative model to Basel framework is derived where systemic risk is taken into account in each bank's dynamic. This might be a … systemic risk. Moreover, bank regulation is considered in a two-scale level, either at the bank level or at the system … compute the capital ratio threshold per year for each bank and each country and we rank them according to their level of …
Persistent link: https://www.econbiz.de/10010790026
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An Alternative Model to Basel Regulation
Lépinette-Denis, Emmanuel; Aboura, Sofiane - Université Paris-Dauphine (Paris IX)
alternative model to Basel framework is derived where systemic risk is taken into account in each bank's dynamic. This might be a … systemic risk. Moreover, bank regulation is considered in a two-scale level, either at the bank level or at the system … compute the capital ratio threshold per year for each bank and each country and we rank them according to their level of …
Persistent link: https://www.econbiz.de/10010708963
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Évaluation empirique des impacts des évènements ayant abouti à l'adoption de l'IAS 39 sur les cours boursiers des banques françaises cotées
Ben Hamida, Nessrine - Université Paris-Dauphine (Paris IX) - 2007
Cet article étudie l'impact de 15 évènements reliés à l'IAS 39 sur les cours boursiers des banques Françaises. Les résultats prouvent que les évènements qui annoncent une augmentation (diminution) de la probabilité de l'adoption de la norme donnent de rentabilités anormales négatives...
Persistent link: https://www.econbiz.de/10011073723
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Financial intermediation, monitoring, and liquidity
Marini, François - Université Paris-Dauphine (Paris IX) - 2008
question : why do banks fund loans with both equity and demand deposits ? The model determines the optimal bank capital … structure. In comparison with a Diamond-Dybvig bank which funds loans with demand deposits only, a capitalized financial …
Persistent link: https://www.econbiz.de/10010707190
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Le protectionnisme bancaire a-t-il un sens aujourd'hui ?
Metais, Joël - Université Paris-Dauphine (Paris IX) - 2008
During this interview, Joel Metais retraces the milestones in the history of the financial industry, suffering under the constraints, as least as far as retail banks are concerned, of rules and regulations constituting thinly veiled protectionism, which in Europe has at last begun to give way to...
Persistent link: https://www.econbiz.de/10011072201
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L’information boursière comme bien public. Enjeux et perspectives de la révision de la directive européenne « Marchés d’instruments financiers »
Hautcoeur, Pierre-Cyrille; Lagneau-Ymonet, Paul; Riva, … - Université Paris-Dauphine (Paris IX) - 2010
The organization of securities markets has not benefited from the feigned attempts of reform presented by authorities since the outbreak of the current crisis. However, speculative opportunities like the risks incurred also depend on the markets on which one operates. The Markets in Financial...
Persistent link: https://www.econbiz.de/10011073693
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Central banks interventions and market expectations: the BoJ case
Morel, Christophe; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2008
The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity …
Persistent link: https://www.econbiz.de/10010905026
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La comptabilité de couverture en juste valeur sous IAS 39 : quelles conséquences pour les fonds propres prudentiels dans le secteur bancaire ?
Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2006
Through this study we checked within the framework of the fair value model, the consistency between the hedge-accounting recommended by the IAS 39 and the objectives of the capital regulation in the banking industry. We conclude that the macro-hedge is the most appropriate approach given the...
Persistent link: https://www.econbiz.de/10010905333
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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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Régulation et gestion des fonds propres bancaires
Alexandre, Hervé - Université Paris-Dauphine (Paris IX) - 2013
Persistent link: https://www.econbiz.de/10010729322