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Évaluation du cadre de résolution des crises bancaires dans la Zone Monétaire de l'Afrique de l'Ouest
Egbuna, Ngozi Eunice; Barry, Abdoulaye; Adjapong, Eric; … - 2021
Member Central Banks. We generally observed that, banking crisis management provisions in the parent legislations of WAMZ … increasing cross-border and pan-African banking activities in the Zone, it would be expedient for Member States to strengthen …
Persistent link: https://www.econbiz.de/10014278427
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Evaluation of banking crisis resolution framework in the West African Monetary Zone
Egbuna, Ngozi Eunice; Barry, Abdoulaye; Adjapong, Eric; … - 2021
Member Central Banks. We generally observed that, banking crisis management provisions in the parent legislations of WAMZ … increasing cross-border and pan-African banking activities in the Zone, it would be expedient for Member States to strengthen …
Persistent link: https://www.econbiz.de/10014234427
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L'intermédiation financière dans l'analyse macroéconomique : le défi de la crise.
Iliopulos, Eleni; Sopraseuth, Thepthida - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
In this paper, we review the macroeconomic literature on financial frictions and banking in a dynamic general …
Persistent link: https://www.econbiz.de/10009209863
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Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis
Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Centre Interuniversitaire de Recherche en Analyse des … - 2005
In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...
Persistent link: https://www.econbiz.de/10005101039
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Risque De Défaut Et Valeur Des Actions : Grand Oublié Ou Révolution Culturelle? (Risk of Default and Value of Shares: A Cultural Revolution?)
Clere, Roland - 2018
English Abstract: The risk of default is the most forgotten issue of the stock valuation. However, we demonstrate in … default intensity function model that we generalize to stocks. This model, which does not presuppose the method of calculating … the distance to the default, apprehends this risk for all companies, whether they are in debt or not, unlike the Mertonian …
Persistent link: https://www.econbiz.de/10012932220
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After Modigliani, Miller and Hamada; A New Way to Estimate Cost of Capital? (Après Modigliani, Miller et Hamada : une nouvelle façon d’estimer le coût du capital?)
Clere, Roland - 2017
“the systematic cost of leverage,” and ii) to account for default risk in the cost of equity, or what we shall call here … “the cost of default.”Our assessment of systematic risk is based on a stochastic approach that is materially different from … value) generating a return below that of the risk-free rate.Furthermore, the approach we use to account for default risk is …
Persistent link: https://www.econbiz.de/10012967463
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Les modèles HJM et LMM revisités
Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2006
In this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an...
Persistent link: https://www.econbiz.de/10005710034
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De l'évaluation du risque de crédit
Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2005
En recourant de plus en plus aux modèles à forme réduite, la théorie de l'évaluation du risque de crédit se distance de plus en plus de l'ingénierie financière traditionnelle qui donne la part belle aux modèles structurels. Bien qu'ils postulent l'absence d'arbitrage, les modèles à...
Persistent link: https://www.econbiz.de/10005773136
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Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes
Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2006
Plusieurs gestionnaires de portefeuille pensent encore à tort qu’une couverture delta suffit pour protéger leur portefeuille contre les fluctuations des marchés financiers. Mais une augmentation marquée de la volatilité des cours boursiers les décevra dans leurs attentes. Après avoir...
Persistent link: https://www.econbiz.de/10005773140
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La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)
Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2006
Monte Carlo simulation has an advantage upon the binomial tree as it can take into account the multidimensions of a problem. However it convergence speed is slower. In this article, we show how this method may be improved by various means: antithetic variables, control variates and low...
Persistent link: https://www.econbiz.de/10005773152