French Abstract: Le papier met en évidence les apports de la théorie des valeurs extrêmes (TVE) et son application à la mesure de VaR, et examine son effet sur la prise en compte des risques extrêmes. A cet égard, le papier étudie empiriquement l'indice SX5E sur une période de 22...

French Abstract: En théorie, les banques islamiques sont des institutions qui appliquent le concept de partage de profits et de pertes (PPP). Néanmoins, la littérature montre que, dans la pratique, les banques islamiques reposent essentiellement sur des opérations commerciales (non-PPP) et...

French Abstract: Ce papier montre tout d'abord les spécificités des banques islamiques, qui, par rapport aux banques conventionnelles, font reporter une partie plus importante du risque sur les déposants. Cela permet ensuite de voir en quoi les différents ratios proposés par Bâle III dans...

In this article we investigate the leverage cycle in Luxembourg?s banking sector using individual bank-level data for the period 2003 Q1 to 2010 Q1. We discuss the mechanics behind the leverage cycle in Luxembourg?s banks and show that these banks predominantly adjust leverage by changing both...

This paper develops a dynamic stochastic general equilibrium model with interactions between a heterogeneous banking sector and other private agents. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank...

Over the last 12 months, the supervision of liquidity has become one of the most discussed issues by the central banks and the financial market authorities. The objective of this paper is to describe the off-site liquidity monitoring framework recently implemented as one of the supervisory tools...

As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. In this paper, we estimate empirically such risk exposures for a sample of physical and swap-based funds. We find that counterparty risk...

What can studying the creation of knowledge tell us about how new technical fields emerge and develop? This paper shows how a knowledge community may be necessary to support the legitimacy of new products that undergo performance evaluation before purchase. Using historical and ethnographic data...

In this paper, we reexamine empirically the finance/growth nexus. We argue that financial deepening should not only be assessed with familiar measures of financial activities outputs (e.g. credit volume), but also through its inputs (e.g. the relative number of employees in the financial...

The objective of this paper is to present the transformations of corporate governance in Asia\r\nsince the crisis of 1997. The analysis deals with 14 Asian countries during the period of 1997-\r\n2006. The important changes include the development of stocks markets, the new role of\r\nbanks and...