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An Alternative Model to Basel Regulation

Aboura, Sofiane; Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2014

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

Relance mondiale : Comment la financer ?

Lorenzi, Jean-Hervé - Université Paris-Dauphine (Paris IX) - 2009

Today, the main problem in financing economies is linked to liquidity problems of banks. The paradox is that the world has never had so many liquidities at its disposal and rarely has economic players found themselves under such obligations. Economic stimulus goes through this mobilisation of...

Persistent link: https://www.econbiz.de/10010708363

Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?

Lautier, Delphine; Ling, Julien; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2015

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

Persistent link: https://www.econbiz.de/10011205310

Liquidation equilibrium with seniority and hidden CDO

Gouriéroux, Christian; Héam, Jean-Cyprien; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2013

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...

Persistent link: https://www.econbiz.de/10011265539

Legitimizing an Ambiguous Financial Innovation : the case of Exchange Traded Funds in France

Oubenal, Mohamed; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2012

The results of the study provide empirical evidence of the way ETF promoters were the driving force behind development of the market, exercising social control with relative discretion. Section 2 describes the nature of ETFs in general and the way they have evolved in France, with a focus on...

Persistent link: https://www.econbiz.de/10010708273

Sunspots and predictable asset returns

Challe, Edouard - Université Paris-Dauphine (Paris IX) - 2004

This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.

Persistent link: https://www.econbiz.de/10010905155

Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model

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

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and...

Persistent link: https://www.econbiz.de/10011246084

Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract

Portes, Richard; Fouquau, Julien; Delatte, Anne-Laure - Université Paris-Dauphine (Paris IX) - 2014

Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...

Persistent link: https://www.econbiz.de/10010764083

Unbiased Disagreement and the Efficient Market Hypothesis

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2009

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...

Persistent link: https://www.econbiz.de/10010707972

Price relationships in crude oil futures: new evidence from CFTC disaggregated data

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of … statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize … strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that …

Persistent link: https://www.econbiz.de/10010707481

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