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...

This paper contributes to the crucial problem of LIBOR malfunctioning due to its manipulation by banks, a phenomenon described clearly in the FSA Inquiry Report published in September 2012. After applying classical tests of non-stationarity to a series of participating banks’ LIBOR quotes, we...

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...

Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is one factor of destabilization in the financial markets, as illustrated recently...

Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence...

This paper uses a French reform to evaluate the impacts of price regulation on general practitioners (GP) care provision, fees, and income. This reform has restricted, since 1990, the conditions self-employed GPs have to fulfill to be allowed to over-bill. We exploit 2005 and 2008 Public Health...

The main purpose of this paper is to demonstrate the effect of debt overhang on real equilibrium exchange rate. Using a panel of twenty Sub-Saharan African countries, we find a non linear effect of external public debt on real exchange rate. External public debt negatively affects the real...