Mardi | 2012-04-10 B103 Mathieu LEFEBVRE – Pierre PESTIEAU – Gregory PONTHIERE Under income-differentiated mortality, poverty measures reflect not only the  » true » poverty, but, also, the interferences or noise caused by the survival process at work. Such interferences lead to the Mortality Paradox: the worse the survival conditions of the poor are, the lower the measured poverty is. We examine several solutions to avoid that paradox. We identify conditions under which the extension, by means of a fictitious income, […]

Mardi | 2012-04-03 B103 Christophe BOUCHER – Jon DANIELSSON – Bertrand MAILLET – Patrick S. KOUONTCHOU The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk measures as a tool to quantify extreme downward risks. Risk measures are hence subject to a “model risk” due, e.g., to the specification and estimation uncertainty. Therefore, regulators have proposed that financial institutions assess the “model risk” but, as yet, there is no accepted approach for […]

Mercredi | 2012-03-28 B103 Grégory LEVIEUGE – Yannick LUCOTTE

Mardi | 2012-03-27 B103 Abdelkader BOUDRIGA – Neila BOULILA TAKTAK – Sana JELLOULI The paper empirically analyses the determinants of problem loans and the potential impact of both business and institutional environ¬ment on credit risk exposure of banks in the MENA region. Looking at a sample of 46 banks in 12 countries over the period 2002-2006, we find that, among bank specific factors, high credit growth, loan loss provisions, and foreign participation coming from developed countries reduce the NPL level. […]

Mercredi | 2012-03-21 B103 Nabila BOUKEF JLASSI

Mardi | 2012-03-20 B103 Audrey LAUDE Limit climate change requires deep transformations of the energetic system and thereby heavy investments. Nevertheless, long-term climate targets and the means to reach them are still largely undefined, as evidenced by Copenhagen agreement that has failed to impose a binding commitment. More generally, outcomes of negotiation rounds are hardly predictable. This regulatory uncertainty hampers investments because investors can often postponed their decision easily. Our purpose is to analyze how this uncertainty affects investor’s behavior, […]

Mardi | 2012-03-13 B103 Rémi BAZILLIER – Cristina BOBOC-TRANDAS – Oana CALAVREZO One of the most salient evolutions of labour markets in Europe is the increasing number of atypical job contracts and an increase in job turnovers. Therefore, the concept of employment vulnerability may be accurate to describe current evolutions. Moreover, in the context of an increased mobility of workers between European countries, emigration can be seen as a way to escape from employment vulnerability at home. Our objective in […]

Mardi | 2012-02-21 B103 Sylvain BENOIT – Gilbert COLLETAZ – Christophe HURLIN We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the di¤erent measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) di¤erent systemic risk measures identify di¤erent SIFIs and that (2) firm […]

Mercredi | 2012-02-16 Sully 8 Sylvain BENOIT – Yannick LUCOTTE – Jean-Paul POLLIN

Mardi | 2012-02-14 B103 Mariano MANTILLA GARCIA – Manuel RUIZ-MARIN – libre xx