Année : 2017

Mardi | 2017-02-07 Salle des thèses de 16h00 à 17h20 Guillaume VUILLEMEY – Vincent BIGNON We provide the first empirical description of the failure of a derivatives clearinghouse.We use novel, hand-collected, archive data to study risk managementincentives of the Paris commodity futures clearinghouse around its failure in 1974.We do not find evidence of lenient risk management during the commodity priceboom of 1973-1974. However, we show severe distortions of risk management incentives,akin to risk-shifting, as soon as prices collapsed and a […]

Mardi | 2017-01-31 Salle des Thèses de 16h00 à 17h20 Mihai MUTASCU The paper investigates the causality between government revenues and government expenditures in the case of Romania, for the period 1991m1-2015m5, by following the wavelet approach. The study offers detailed information of this connection, for different sub-periods of time and frequencies, emphasizing the lead-lag nexus between variables under cyclical and anti-cyclical shocks. The main findings show that the treasury goals should be controlled by using the individual taxation techniques […]

Mardi | 2017-01-24 Sully05 de 16h00 à 17h20 Nikolay NENOVSKY – Jacques-Marie VASLIN Shadowing the Latin Monetary Union: Interest rates and Debts Dynamics at the Balkans Periphery

Mardi | 2017-01-17 16h00-17h20 en sully05 clément GOULET – Matthieu GARCIN In this paper, we propose an innovative methodology for modelling the news impact curve. The news impact curve provides a non-linear relation between past returns and current volatility and thus enables to forecast volatility. Our news impact curve is the solution of a dynamic optimization problem based on variational calculus. Consequently, it is a non-parametric and smooth curve. To our knowledge, this is the first time that such a […]

Mardi | 2017-01-10 16h00-17h20 sully 05 Christophe HURLIN – Sylvain BENOIT – Christophe PERIGNON We identify two main shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the economic magnitude of the resulting bias turns out to be important. The banks that benefit the most from the bias are custodian banks and (non-) Eurozone banks when the Euro weakens […]