labex refi scientific output 2015 - 2018 · finance, economics, accounting, law, management,...

Founding members of LabEx ReFi

LabEx ReFi

Scientific output

2015 - 2018

July 09, 2018

of 94

Table of content

1. LABEX REFI AT A GLANCE .............................................................................................................. 4

2. LABEX REFI RESEARCHERS: AN OVERVIEW ............................................................................... 5

3. INTERNATIONAL ADVISORY BOARD .............................................................................................. 6

4. RESEARCH......................................................................................................................................... 7

LabEx ReFi publications at a glance: synthetic tables ........................................................................................ 7 Research seminars ........................................................................................................................................... 9 Conferences (Academic) ................................................................................................................................. 10 Workshops (Academic) ................................................................................................................................... 11

5. EDUCATION AND TRAINING .......................................................................................................... 12

Phd students ................................................................................................................................................... 12 Postdoctoral Research Fellowship ................................................................................................................... 17 Alumni: current position of PhD and postdoctoral fellows ................................................................................. 18 Financial Regulation School ............................................................................................................................ 23

6. DISSEMINATION OF SCIENTIFIC KNOWLEDGE AND IMPACT ................................................... 24

Policy Papers .................................................................................................................................................. 24 Conferences (dissemination) ........................................................................................................................... 26 Workshops (dissemination) ............................................................................................................................. 27 Breakfast debates in partnership with EIFR ..................................................................................................... 28 FOCUS: Partnership with the Joint Research Centre of the European Commission (JRC)................................ 33

7. APPENDIX ........................................................................................................................................ 34

Publications in the peer reviewed journals listed by HCERES .......................................................................... 34 List of LabEx ReFi working paper series .......................................................................................................... 52 LabEx Research Seminar, ReFi series (2015 – 2018) ...................................................................................... 83 LabEx Research Seminar, Law & Finance series (2015 – 2018) ...................................................................... 87 LabEx Research Seminar, PhD series (2015 – 2018) ...................................................................................... 90

8. Table index ....................................................................................................................................... 92

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1. LABEX REFI AT A GLANCE

THE LABEX REFI IS AN EXCELLENCE RESEARCH LABORATORY DEDICATED TO THE STUDY OF REGULATION POLICIES. IT AIMS TO IMPROVE THE UNDERSTANDING OF FINANCIAL SYSTEMS AND REGULATIONS’ IMPLICATIONS, AND TO PROVIDE PUBLIC AUTHORITIES WITH INDEPENDENT ACADEMIC EXPERTISE AND GUIDELINES FOR ACTION

History The LabEx ReFi was founded in 2011 within the project

‘Investissements d’avenir’

Founders: 4 Prestigious Institutions ESCP Europe Business School, Sorbonne University Paris1, Conservatoire National des Arts et Métiers (CNAM), Ecole Nationale d’Administration (ENA)

Mission

To provide meaningful information and assistance to decision makers, institutions and the general public on matters related

to financial regulation

Objectives Build bridges between knowledge and decision making: Establish a link between the research community and the political community Bring academic rigor to the study of issues related to financial regulation

3 activities Research

Policy evaluation and recommendation Training and School of Financial Regulation

Regular Research Seminars Financial Regulation Law and Finance Ethics and Financial Norms Fintech and Financial Regulation PhD Seminar

Cross-disciplinary Laboratory Finance, Economics, Accounting, Law, Management,

Political Science, History, Philosophy, etc.

4 Research Units 1. Financial Information and Accounting Regulation 2. Finance and Society 3. Markets, Banking and Financial Risk Supervision 4. Systemic Risk and Growth

International Network of Researchers More than 60 senior researchers and

40 PhD students

Partners European Parliament, ETH Zurich, EIFR, European commission (JRC), AFFI, GdRE

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2. LABEX REFI RESEARCHERS: AN OVERVIEW

Table 1. Number of LabEx ReFi researchers (Senior and junior)

Number

Senior researchers 59

Postdoctoral Fellows (from 2011 to 2017) 9

PhD students (from 2011 to 2017) 45

including

PhD with LabEx ReFi funding 17

Associated PhD students with external funding 28

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3. INTERNATIONAL ADVISORY BOARD

Gerard HERTIG

Chairman

Table 2. International Advisory Board

Franklin Allen

Imperial College London & Wharton

Jean-Charles Rochet

ETH Zurich

Jan-Pieter Krahnen

Goethe-Universität in Frankfurt

Patrick Bolton

Columbia Business School

Mark Roe

Harvard University

Shyam Sunder

Yale University

Gerard Hertig

ETH Zurich

Marti Subrahmanyam

New York University

Jill Fisch

University of Pennsylvania, Law School

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4. RESEARCH

LabEx ReFi publications at a glance: synthetic tables

Table 3. Synthetic table of publications and other research studies by LabEx ReFi

Members (2011 – 2017)

2011

2012

2013

2014

2015

2016

2017

Total

Articles in Academic Peer Reviewed Journals

31 30 53 33 58 35 62 302

LabEx ReFi working papers series na na 14 10 14 33 40 111

Policy papers na na 3 2 1 1 6 13

Professional Journal articles 4 15 30 22 9 5 14 99

Books 5 9 8 9 18 5 4 58

Edited Books & Book Chapters 27 22 35 33 27 21 7 172

Table 4. Number of publications in peer reviewed journals by rank according to

HCERES list

HCERES Ranking 2011 2012 2013 2014 2015 2016 2017 Total

Journals in Managment, Finance and Economics

A 6 3 15 11 16 13 22 86

B 7 10 3 3 11 6 9 49

C 2 5 3 5 3 4 11 33

Journals in other disciplines (Law, Physics, Mathematics, etc.) Others 16 12 32 14 28 12 20 134

31 30 53 33 58 35 62 302

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Figure 1. Trends of publications in peer reviewed journals by rank according to

HCERES list

6 3

15 11

16 13

22 7

10

3

3

11

6

9

2 5

3

5

3

4

11

0

5

10

15

20

25

30

35

40

45

2011 2012 2013 2014 2015 2016 2017

A B C

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Research seminars

Table 5. Summary statistics on Research Seminar

Regular Research Seminar Series

Period Organizers Affiliated Institution

Number of organized seminars

Number of Guest speakers

Guest from Foreign institutions

Guest from French institutions

Financial Regulation

2014 - to June 2018

Gunther Capelle-Blancard & Christophe Moussu

Sorbonne University Paris1 & ESCP Europe

57 57 45 14

Law & Finance

2014 - to June 2018

Gerard Hertig, Christophe Moussu and Alain Pietrancosta ).

ETH Zurich, ESCP Europe, and Sorbonne Law School – University of Paris 1

32 32 30 2

FinTech 2017 to June 2018

Dominique Guégan

Sorbonne University Paris1

12 12 8 4

PhD 2015 - to June 2018

Clément Goulet Sorbonne University Paris1

25 25 2 23

126 126 85 43

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Conferences (Academic)

Table 6. Major academic conferences in the period 2015-2018

Year Conference Partners Host institution Principal Supervisors

2018 35th Annual Conference of the French Finance Association (AFFI)

AFFI, ESCP Europe ESCP Europe Christophe Moussu Michael Troege

2017 Public Authority and Finance: What is the Relevant Scale and Scope of Deregulation and Re-Regulation?

Centre on Corporate Governance, Columbia Law School (New York), the Blavatnik School of Government, University of Oxford, DIW (Berlin), Policy Network (London), and the Université Sorbonne Nouvelle – Paris 3 (CERVEPAs, Paris).

ESCP Europe Pierre-Charles Pradier

2017 34th International Symposium on Money, Banking and Finance, annual meeting of the European Research Group (GdRE) on Money Banking and Finance.

GdRE, Paris Naterre University, EconomiX, Natixis, AFG,

Paris Naterre University

Jean-Bernard Chatelain

2016 LabEx ReFi Annual Conference on Systemic Risk

Sorbonne University Paris1 Organized by the Labex Research unit “Systemic Risk, Resolution and Growth”

Philippe de Peretti

2016 Conference: Quantitative Methods Financial Regulation

Stony Brook University Stony Brook University

Raphael Douady

2016 GDRE Money, Banking, and Finance

GDRE, Université d'Auvergne, CERDI, IUF

Université d'Auvergne

Christophe Moussu & Gunther Capelle-Blancard

2015 International Conference of the Financial Engineering and Banking Society

ESCP Europe, the Centre for Financial and Risk Management (CFRM) of Audencia Nantes School of Management, AFFI

Audencia Nantes School of Management Campus

Raphaël Douady

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Workshops (Academic)

Table 7. Major academic workshops in the period 2015-2018

Year Workshop Partners Host institution Principal Supervisors

2017 Big data and Regulation

Labex ReFi, FinTech Research Group, Insitut of mathematical Statistics of Tokyo - University of Tel Aviv

Insitut of mathematical Statistics of Tokyo

Dominique GUEGAN & Bertrand Hassani

2017 International Advisory Board Workshop

Labex ReFi ESCP Europe Christophe Moussu

2017 Workshop on Corporate Governance

Finance & Society Research unit of Labex ReFi

ESCP Europe Alberta Di Giuli

2017 Workshop on systemic risk

Systemic Risk Research unit

Centre d'Economie de la Sorbonne

Philippe de Peretti and Jorgen Vitting Andersen

2017 Corporate Finance Workshop

Finance & Society Research unit of Labex ReFi; Boston College; SKEMA Business School

ESCP Europe Christophe Moussu

2016 Finance PhD Workshop

ESCP Europe, Sorbonne University Paris1, HEC Paris, INSEAD

ESCP Europe Sérgio GASPAR Postdoctoral Researcher – Labex ReFi / ESCP

2016 Workshop on Bank Taxation

ESCP Europe, Sorbonne Paris1

ESCP Europe Gunther Capelle-Blancard

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5. EDUCATION AND TRAINING

Phd students

Table 8. Phd students: an overview

PhD with LabEx ReFi funding

Associated PhD students with external funding

Thesis defended in 2015 3

Thesis defended in 2016 2 3

Thesis defended in 2017 4 7

Current PhD students 8 18

17 28

PhD students who defended their thesis

Table 9. List of PhD students who defended their thesis in 2017

Family name

First name

Institution Ph. D supervisor

Doctoral thesis in progess: Title

Research Axis

Thesis grant

Armakolla Angela Sorbonne U. Paris1, PRISM

Jean-Paul Laurent

Analyse de l'impact pour les institutions financières des règlementations internationales concernant le risque de contrepartie et les produits dérivés.

Systemic Risk, Resolution and Growth

Partial LabEx funding

Graeff Imke ESCP Europe

Yuri Biondi Banking and Financial Stability: Insights from Accounting and Prudential Regulation

Financial Information and Accounting Regulation

100% LabEx scholarship

Goulet Clément Sorbonne U. Paris1, CES

Dominique Guégan and Philippe de Peretti

"Risk measures in High Frequency Trading"



Kornprobst Antoine Sorbonne U. Paris1, CES

Raphaël Douady

Financial Crisis Indicators


100% Paris1 scholarship & Partiel Labex funding

http://www.theses.fr/s91631








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LI Kehan Sorbonne U. Paris1, CES

Dominique Guégan

Uncertainty and stressed risk measure


100% Paris1 scholarship

Ligot Stephanie Sorbonne U. Paris1, PRISM

Roland Gillet

The equity market and its price discovery risk : Methodological and empirical aspects

Markets, Banking and Financial Risks Supervision

100% Paris1 scholarship

Miryusupov Shohruh Sorbonne U. Paris1, CES

Raphaël Douady

Particle Monte-Carlo methods for the computation and the dynamic hedging of CVA with CDS



Poulain Mathilde Sorbonne U. Paris1, CES

Gunther Cappelle-Blancard

Economie politique de la régulation financière

Finance and society


Sale Laurent ESCP Europe

Bancel Franck

Valeur de la liquidité dans le secteur bancaire.


No funding

Trébaol Arnaud Sorbonne U. Paris1, CES

Douady Raphael

Dynamical Market Instability Indicators


No funding


Family name

First name


Topic Research Axis

Thesis grant

Salvade Federica Sorbonne U. Paris1, PRISM

Philippe Raimbourg

Monitoring the credit rating agencies



Dehmej Salim Sorbonne U. Paris1, CES

Jezabel Couppey-Soubeyran

Banques centrales et stabilité financière.

Finance and society


Petit-Romec

Arthur ESCP Europe

Christophe Moussu

Les principes de la finance d'entreprise peuvent-ils s'appliquer aux banques ?

Finance and society


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Family name

First name


Topic Research Axis

Thesis grant

Huang Xiaoying ESCP Europe

Didier Marteau

Regulations in commodities markets



Garel Alexandre ESCP Europe

Bancel Franck

Myopie/court-termisme des investisseurs, du marché et des dirigeants

Finance and society


Lherm François-René

Sorbonne U. Paris1, PRISM

Philippe Zarlowski

Opérationnalisation du concept d’esprit critique dans la régulation internationale de l’audit légal


CIFRE

Hooper Emma Aix-Marseille University

Patrick Pintus

Finance and economic growth in natural resource rich countries

Finance and society

Labex Associate PhD / ENS Cachan

scholarship

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Table 12. List of current PhD students

Family name

First name



Research Axis

Thesis grant

Affes Zeineb Sorbonne U. Paris1, CES

Christian de Boissieu

Modélisation des défaillances bancaires et des notations des agences de rating


Sorbonne Paris1 scholarship

Barake Mona Sorbonne U. Paris1, CES


Les paradis fiscaux Finance and society


Barrau Thomas Sorbonne University Paris1 CES

Douady Raphael

Speculative Buble Diagnosis and Financial Crisis Prediction using Polymodels Theory


CIFRE with Axa Investment

CHO Hye Jin Sorbonne U. Paris1, CES

Douady Raphael

Speculative Bubble Burst



Coda Stefano ESCP Europe

Biondi Yuri Réglementation et pratiques comptables pour les regroupements d'entreprises selon une perspective transnationale


ESCP Europe scholarship

Coste Cyril ENS Cachan

Douady Raphael

Polymodels, Stress VaR and VaR back-testing


ENS Cachan scholarship

de Batz Laure Sorbonne University Paris1 CES


Impact des sanctions de l'AMF sur le comportement des investisseurs

Finance and society

External funding

Dos Santos Patricia Sorbonne U. Paris1, PRISM

Jean-Paul Laurent

Le fundamental review of trading book pour les risques de marché



El Khalloufi Hamza Sorbonne U. Paris1, PRISM

Constantin Mellios

Régulation, gestion du risque de liquidité et allocation d'actifs



Fengmei Wu Sorbonne U. Paris1, PRISM

Jean-Paul Laurent, Constantin Mellios

Contribution to term structure rates, pricing and portfolio optimization in presence of contagious jumps



Greusard Olivier ESCP Europe

Pramuan Bunkanwanicha

How to measure the Impact of Financial Regulation on the corruption risk?

Finance and society


Hountondji Jérémie Sorbonne U. Paris1, CES

Douady Raphael

CoCo: new "safeguards" against systemic risk?


External funding

Jeongwoo Oh ESCP Europe

Pramuan Bunkanwanicha

Social Network Analysis on Corporate Performance

Finance and society

ESCP scholarship

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Family name

First name



Research Axis

Thesis grant

khemakhem Emna Sorbonne U. Paris1, CES


Analyse de la liquidité des marchés boursiers

Finance and society


Kockerols Thore ESCP Europe

Raphael Douady

Macroprudential Regulation and the Policy Mix: An Analysis for the Eurozone and Japan



Lescoat Pierre ESCP Europe

Claire Dambrin Accounting and the marketization of performance: a journey into the lives of London financial markets professionals

Finance and society

ESCP Europe scholarship

Loutia Amine Sorbonne U. Paris1, PRISM

Constantin Mellios

Marchés des matières premières et des marchandises : Formation des prix et gestion de portefeuille.



Martin Flores

José ESCP Europe

Christophe Moussu

Essays on tax incentives and financial regulation

Finance and society


Miedi Eloge Sorbonne U. Paris1, CES

Raphaël Douady

Crash Periods in High Freauency Trading



Nguyen

Hiep ESCP Europe

Troege Michael Majority shareholders and earnings management surrounding seasoned equity offerings

Finance and society

Partiel Labex scholarship

Perez Michel ESCP Europe

Alain Pietrancosta

Les dispositifs de lutte contre le blanchiment des capitaux, le financement du terrorisme et les regimes de sanctions en France/Europe et aux Etats Unis

Finance and society

Partiel Labex scholarship

Phung Thi Huong Giang

ESCP Europe

Troege Michael Les Systèmes bancaires dans les économies émergentes et en transition.

Finance and society

ESCP Europe & French Embassy in Vietnam

Pinter Julien Sorbonne U. Paris1, CES

Christian Bordes

Action et solidarité financière des banques centrales

Finance and society


Sestier Michael Sorbonne U. Paris1, PRISM

Jean-Paul Laurent

Sensitivity analysis and risk contributions of credit portfolios


CIFRE with PHAST SOLUTIONS

Souchaud Antoine ESCP Europe

Christophe Moussu

Three essays on financial regulation and SMEs.

Finance and society


Ouerk Salima ESCP Europe

Catherine Lubochinsky

L'assouplissement quantitatif de la BCE : quels impacts sur les marchés financiers et l'économie réelle ?

Finance and society

External funding









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Postdoctoral Research Fellowship

Table 13 : List of postdoctoral fellows at LabEx ReFi fro the period 2012-2017

Family name First name

Academic/professional position

Affiliated institution Contract postdoc

1 Dell'Erba Marco Postdoctoral Fellow University of Groningen 2015

2 Dessertine Ségolène Consultant in AI / Machine Learning

Amazon Web Services 2014

3 Gaspar Sergio Associate Associate at Cornerstone Research

2016

4 Lai Anh Ngoc Maître de conférences Rennes I University 2013

5 Mariotto Carlotta Economist European Commission 2017

6 Molteni Francesco Postdoctoral Fellow Max Weber Fellow

European University Institute 2014

7 Petit-Romec Arthur Assistant Professor SKEMA Business School 2017

8 Salvade Federica Assistant Professor ESG Business School 2016

9 Omidi Firouzi Hassan Associate Director Wholesale Credit Risk, RBC 2015

10 Tapiero Oren PhD,Lecturer Netanya Academic College 2012

11 Zhou Feng PhD ESCP Europe 2017

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Alumni: current position of PhD and postdoctoral fellows

Angela ARMAKOLLA

Ex-LabEx ReFi, Sorbonne U. Paris1, PRISM

PhD Topic (2012-2017) : Analyse de l’impact pour les institutions financières des règlementations internationales concernant le risque de contrepartie et les produits dérivés

PhD Supervisor: Jean-Paul Laurent

Current position: Supervision Officer European Securities and Markets Authority (ESMA)

Guillaume Arnould

Ex-LabEx ReFi associate PhD, Sorbonne University Paris1

PhD Topic: Financial stability and stress-testing banking system in Europe

PhD Supervisor : Catherine Bruneau

Current position: Research Economist -

Prudential Policy Division, Bank of England

Salim DEHMEJ

Ex-LabEx ReFi PhD, Sorbonne University Paris1

PhD Topic (2012-2015): Essais sur le central banking et la politique macroprudentielle.

PhD Supervisor: Jézabel COUPPEY-SOUBEYRAN

Current position: Economist, IMF

Marco DELL’ERBA

Ex-Post-doctoral fellow, LabEx ReFi

PhD Topic (Sorbonne University Paris1): The regulation of hedge funds: definition and governance

Research unit: Finance & Society

Supervisor: Alain Pietrancosta

Current position: Postdoctoral Fellow

University of Groningen

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Ségolène DESSERTINE-PANHARD

Ex-Post -doctoral fellow, Ex-LabEx ReFi

PhD Topic (2009-2014): Procyclicality and influence of Credit Rating Agencies’ ratings over the European markets between 2001 and 2012?

Director : Philippe Raimbourg

Current position: Consultant in AI / Machine Learning

Amazon Web Services

Alexandre GAREL

Ex-LabEx ReFi PhD, ESCP Europe

PhD Topic (2012-2015): Myopie/court-termisme des investisseurs, du marché et des dirigeants

PhD Supervisor : Franck BANCEL

Current position: Lecturer in Finance

Auckland University of Technology

Sergio GASPAR

Ex-Post-doctoral fellow, ESCP Europe

PhD Topic (INSEAD): Empirical Essays on Financial Intermediaries


Director: Christophe Moussu

Current position: Associate at Cornerstone Research

Imke GRAEFF Ex-LabEx ReFi PhD, Sorbonne University Paris, PRISM

PhD Topic (2014-2017): Banking and Financial Stability: Insights from Accounting and Prudential Regulation.

PhD Supervisor : Yuri BIONDI

Current position: Transaction Support Officer Allen & Overy

Clément GOULET

Ex-LabEx ReFi PhD, Sorbonne University Paris, CES

PhD Topic (2015-2017): Risk measures in High Frequency Trading

PhD Supervisor : Dominique Guégan and Philippe de Peretti

Current position: Quantitative Researcher

Laffitte Capital Management

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Xiaoying HUANG


PhD Topic (2012-2015): Regulations in commodities markets

PhD Supervisor : Didier MARTEAU

Current position: Consultant Awalee Consulting

Anh Ngoc LAI

Ex-Post -doctoral fellow, Ex-LabEx ReFi

PhD Topic (Sorbonne University Paris 1): Essays on central banking in Vietnam

Director : Raphael Douady

Current position: Maître de conférences Université de Rennes 1

Kehan LI

Ex-LabEx ReFi PhD, Sorbonne University Paris1,CES

PhD Topic (2014-2017): Uncertainty and stressed risk measure

PhD Supervisor : Dominique Guégan

Current position: Associate

Goldman Sachs

Carlotta MARIOTTO

Ex-Post-doctoral fellow, ESCP Europe

PhD Topic: The banking disintermediation: The case of high-yield bonds and cov-lite. regulate them or not?


Director: Christophe Moussu

Current position: Economist, European

Commission

Shohruh MIRYUSUPOV

Ex-LabEx ReFi PhD, Sorbonne University Paris1, CES

PhD Topic (2014-2017): Particle Monte-Carlo methods for the computation and the dynamic hedging of CVA with CDS

PhD Supervisor : Raphael Douady

Current position: Research Advisor MPG Partners

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Francesco MOLTENI

Ex-Post-doctoral fellow, Ex-LabEx ReFi

PhD Topic (2009-2014): Four essays on fiscal policy after the global financial crisis

Director: Raphael Douady

Current position: Postdoctoral Fellow Max Weber Fellow

European University Institute

Hassan OMIDI FIROUZI

Ex-Post-docctoral fellow, ESCP Europe

PhD Topic (Université de Montreal): On the design of customized risk measures in insurance, the problem of capital allocation and the theory of fluctuations for Lévy processes


Supervisor: Jean Paul Laurent

Current position: Associate Director, Wholesale Credit Risk

RBC

Arthur PETIT-ROMEC


PhD Topic (2012-2016): Les principes de la finance d’entreprise peuvent-ils s’appliquer aux banques?

PhD Supervisor : Christophe MOUSSU

Current position: Professeur Assistant de Finance, SKEMA

Mathilde POULAIN Ex-LabEx ReFi PhD, Sorbonne University Paris1, CES

PhD Topic (2014-2017): Economie politique de la régulation financière

PhD Supervisor : Gunther Cappelle-Blancard

Current position: Économiste Autorité de régulation des activités ferroviaires et routières (Arafer)

Laurent SALE


PhD Topic (2013-2017): Valeur de la liquidité dans le secteur bancaire

PhD Supervisor : Franck Bancel

Current position: Head of Data Quality Controls, CIB Finance BNP Paribas Corporate and Institutional Banking

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Federica SALVADE Ex-LabEx ReFi PhD, Sorbonne University Paris1, PRISM

PhD Topic (2013-2016): Monitoring the credit rating agencies

PhD Supervisor : Philippe Raimbourg

Current position: Associate Professor Of Finance PSB Paris School of Business

Arnaud TREBAOL

Ex-LabEx ReFi PhD, Sorbonne University Paris1, CES

PhD Topic (2015-2017): Dynamical Market Instability Indicators

PhD Supervisor : Franck Bancel

Current position: Financial Stability Expert

European Central Bank

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Financial Regulation School

Executive summary by Pr. Pierre-Charles Pradier, Academic co-director of LabEx ReFi

Training programs started at the master level in 2015 with a European Financial Forum, which brought together the students of the four founding institutions to the European Parliament.

In 2017, a 45-hour financial regulation course was offered to master students of ESCP-Europe, CNAM-ENAss and Paris 1. More than 80 students overall attended part of the course, which was divided in three submodules: an introduction for students without background in finance (in French), an intermediate course (in French) about hot topics and an advanced submodule with an emphasis on quantitative issues (in English). The course was given by academics from the LabEx, as well as professionals, featuring quants (for credit and market risk measurement or fund management) and senior bankers who had participated in international negotiations at the G20 (for example, Jean- François Lepetit, director of BNPParibas), as well as regulators (such as John Vickers, former chair of the Independent Commission on Banking in the UK).

Our doctoral program stil relies on the existing courses in the founding institutions (notably the common ESCP-Europe-Sorbonne school of management track and the Paris 1 economics doctoral program). The LabEx adds a research seminar, which is attended by every doctoral student.

In addition to initial training, the LabEx ReFi developed continuing education pro-grams, in particular with the European Institute of Financial Regulation (EIFR) and with the Corps des Mines. They are essentially transfer seminars involving academic experts in financial regulation with professionals and regulators.

.

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6. DISSEMINATION OF SCIENTIFIC KNOWLEDGE AND

IMPACT

Policy Papers

Policy Paper 2017-01 | La Taxation des Transactions Financières : une Vraie Bonne Idée

Gunther CAPELLE-BLANCARD, Labex ReFi, Université Paris 1 Panthéon-Sorbonne

In partnership with :

Policy Paper 2017-02 | Le rôle de la politique macroprudentielle dans la correction et la prévention des divergences au sein de la zone euro

Jézabel COUPPEY-SOUBEYRAN, Labex ReFi, Université Paris 1, Centre d’économie de la Sorbonne & CEPII Salim DEHMEJ, Labex ReFi, Bank Al-Maghrib

In partnership with:

Policy Paper 2017-03 | Anticipating agricultural extreme price moves

Jean-Noël DEPEYROT, Centre d’études et de prospective, Ministère de

l’Agriculture Steve OHANA, ESCP Europe, LabEx Refi

In partnership with:

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Policy Brief 2017-01 | Interchange Fee Regulation |

Carlotta MARIOTTO, LabEx ReFi, ESCP-Europe, École Nationale Supérieure des Mines de Paris – Centre d’Économie Industrielle (CERNA) Marianne VERDIER, Université Paris 2 Panthéon Assas

Policy Brief 2017-02 | What Drives the Expansion of the Peer-to-Peer Lending? | Paper

Olena HAVRYLCHYK, Labex ReFi, Université Paris I Panthéon-

Sorbonne – Centre d’Economie de la Sorbonne (CES) Carlotta MARIOTTO, LabEx ReFi, ESCP-Europe, École Nationale

Supérieure des Mines de Paris – Centre d’Économie Industrielle (CERNA) Tala-Ur Rahim, Boston University Marianne VERDIER, Université Paris 2 Panthéon Assas

Policy Brief 2017-03 | The event of Credit Rating Withdrawal: What happened? What follow? | Paper

Federica SALVADE, Labex ReFi, Université Paris 1 Panthéon-Sorbonne

Policy Paper 2016-01 | – « Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses »,

Angela Armakola, Raphael Douady, Jean-Paul Laurent, and Francesco Molteni

Policy Paper 2015-01 | « Une évaluation du « Comprehensive Assessment » de la BCE », Guillaume Arnould, Université Paris 1 Panthéon-Sorbonne Salim Dehmej, Labex ReFi, Bank Al-Maghrib

Policy Paper 2014-01 | « Pour un nouveau policy-mix en zone euro : La combinaison politique

monétaire / politique macroprudentielle au service de la stabilité économique »,

Jézabel Couppey-Soubeyran, Labex ReFi, Université Paris 1, Centre

d’économie de la Sorbonne & CEPII Salim Dehmej, Labex ReFi, Bank Al-Maghrib

Policy Paper 2013-01 | « Impact de Solvabilité II sur l’économie réelle : une approche micro-

économique »

Marius Frunza, LabEx Refi

Policy Paper 2013-02 | « Taxe sur les transactions financières : une taxe Pigou, pas une taxe Tobin »

Marius Frunza, LabEx Refi Didier Marteau, ESCP Europe, Labex Refi

Policy Paper 2013-03 | « Renationaliser la dette publique française: Pourquoi et comment ? » Gaël Giraud, AFD, Université Paris 1 Panthéon-Sorbonne, LabEx ReFi

http://www.labex-refi.com/wp-content/uploads/2018/02/2017_02_labex_refi_Policy_Brief_Mariotto_Verdier_havrylchyk_rahim.pdf

http://www.labex-refi.com/wp-content/uploads/2018/02/2017_03_labex_refi_Policy_Brief_Salvade.pdf

http://www.labex-refi.com/wp-content/uploads/2013/03/Policy_paper_6.pdf

http://www.labex-refi.com/wp-content/uploads/2013/03/Policy_paper_6.pdf

http://www.labex-refi.com/wp-content/uploads/2015/02/PP-Une-%C3%A9valuation-du-%C2%AB-Comprehensive-Assessment-%C2%BB-de-la-BCE-2015-Guillaume-Arnould-et-Salim-Dehmej.pdf

http://www.labex-refi.com/dehmej/

http://www.labex-refi.com/wp-content/uploads/2013/03/2014-policy-paper4-Pour-un-nouveau-policy-mix-en-zone-euro-Couppey-Dehmej-v2.pdf



http://www.labex-refi.com/dehmej/

http://www.labex-refi.com/wp-content/uploads/2013/03/2013-policy-paper3-Impact-de-Solvabilit%C3%A9-II-sur-l%C3%A9conomie-r%C3%A9elle_une-approche-micro-economique-Marius-Frunza.pdf

http://www.labex-refi.com/wp-content/uploads/2013/03/2013-policy-paper3-Impact-de-Solvabilit%C3%A9-II-sur-l%C3%A9conomie-r%C3%A9elle_une-approche-micro-economique-Marius-Frunza.pdf

http://www.labex-refi.com/wp-content/uploads/2013/03/2013-policy-paper2-Taxe-sur-les-transactions-financi%C3%A8res_une-taxe-Pigou-pas-une-taxe-Tobin-Didier-Marteau-Marius-Frunza.pdf

http://www.labex-refi.com/wp-content/uploads/2013/03/2013-policy-paper1-Renationaliser-la-dette-publique-fran%C3%A7aise-Gael-Giraud.pdf

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Conferences (dissemination)

Table 14. Dissemination conferences

Year Conference Partners Host institution Principal Supervisors

2018 Risk governance within banking institutions: Challenges ahead

Sorbonne Research in Management (PRISM Sorbonne & GREGOR) and Financial Regulation lab (Labex RéFi)

Sorbonne Research in Management (PRISM Sorbonne & GREGOR)

Jean-Paul Laurent

2017 Conférence de Benoît Coeuré, Membre du directoire de la Banque centrale européenne

CNAM CNAM Alexis Collomb

2017 Conference 934 “Financial Regulations and Enforcement: Transatlantic Perspectives”

Consulate General of France

Consulate General of France

Michel Perez

2017 Économie financière : leçons du passé, questions d’avenir – Conférence en l’honneur de Christian de Boissieu

Université Paris 1 Panthéon-Sorbonne

Université Paris 1 Panthéon-Sorbonne

Jézabel Couppey-Soubeyran Gunther Capelle-Blancard Jérôme Glachant

2017 Financial Regulation and Supervision: What to Expect in 2017 and Beyond

Credit Agricole Americas

Credit Agricole Americas Auditorium

Michel Perez

2017 Regards croisés sur la performance bancaire

SFAF (Société Française des Analystes Financiers) et la SFEV (Société Française des Evaluateurs)

Thomson Reuters, 6/8 boulevard Haussmann 75002 Paris

Franck Bancel

2016 Summer School: A Comparative of US and European Financial Regulation

Stony Brook University Stony Brook University, New York Campus

Raphael Douady

2016 Combattre le financement du terrorisme

ESCP Europe, ACAMS ESCP Europe Christophe Moussu & Michel Perez

Forum européen de la finance

Sorbonne University Paris1, ENA, Parlement européen, ESCP Europe

Parlement Européen

Pierre Charles Pradier, Dider Meynier

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Workshops (dissemination)

Table 15. Dissemination workshops

Year Workshop Partners Host institution Principal Supervisors

2018 The End of Cash LabEx ReFi, Columbia University, Alliance

Columbia University

Pierre Charles Pradier

2017 Online Alternative Finance: Building a Bridge between Research and Practitioners

Finance & Society Research unit of Labex ReFi; CRED; LEM Lille; University Assas II, Lille University, ESCP Europe,

ESCP Europe Christophe Moussu and Carlotta Mariotto

2016 11th Strasbourg European Meeting – European Parliament – Workshop: Cooperatives Values and economic and monetary integration: the case of banking regulation

11th Strasbourg European Meeting – European Parliament, IAE Paris, Chaire MGCF

European Parliament

Eric Lamarque

2016 LA RESOLUTION BANCAIRE : ENJEUX ET PERSPECTIVES

Université Jean-Monet Saint-Etienne, IAE Paris, Sorbonne Paris1, CERCRID, EIFR

Sorbonne Paris1 Anastasia Sotiropoulou

2016 CCP recovery and resolution

PRISM, Sorbonne University Paris1

PRISM, Sorbonne University Paris2

Jean-Paul Laurent

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Breakfast debates in partnership with EIFR

The « Matinales EIFR & LabEx ReFi » are breakfast debates co-organized regularly by LabEx ReFi in partnership with the European Institute of Financial Regulation. It aims at bridging theory and practice by offering a new forum for open discussion and interaction on financial regulation between academics, policy makers, and professionals of various backgrounds. Breakfast debates are organized regularly at least twice a month.

Table 16. Breakfast debate LabEx & EIFR, Fall 2017 – Spring 2018

Date Speaker Affiliated Institution of Guest Speaker

Topic/title of the paper

04/07/2018 Frédéric Burguiere

FB Asia Finance Les dettes publiques, source d’une nouvelle crise financière mondiale ? Quels leviers pour les régulateurs financiers ?

27/06/2018 Multi conferencier

10 ans de l'EIFR - Régulation responsable et finance durable

18/05/2018 Pervenche Beres

Députée européenne

Réforme des autorités européennes de supervision financière : conditions pour une convergence ?

05/04/2018 Charles-Albert Lehalle

Capital Fund Management

Liquidité : HFT et information de marché

01/12/2017 Jacques Fournier

Banque de France

Data lake banque de France : renouveau compétitif !

21/11/2017 Claire Favre Reinhard Dammann

Autorité de la Concurrence Avocat associé Clifford Chance

CMU et convergence du droit des faillites en Europe

09/10/2017 Jean-Marc Israël Marc Irubetagoyena Niall McGowan

Bank’s integrated reporting et BCE : le big data au service de tous, l’exemple d’anacredit

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28/09/2017 Vivien Levy-Garboua

Sciences Po Le monde à taux zéro épargne réglementée, assurance vie, prêts immobiliers, … : quelles réformes pour en sortir ?

19/09/2018 Multi-intervenants

Liquidité & gestion du collatéral : défi compétitif

08/09/2017 Alban Caillemer du Ferrage

Jones Day global Banking, Finance & Securities

HCJP : BREXIT et contrats sur dérivés, impacts vs localisation CCP

10/07/2017 Gerard Rameix président de l’AMF

L’Autorité des Marchés Financiers après 10 ans ? Et demain ?

28/06/2017 Guy Canivet Alain Pietrancosta Diane Sénéchal

HCJP Paris 1 redacteur du rapport HCJP Jones Day redactrice du rapport HCJP

Droit commun des contrats : impact et vigilance

14/06/2017 Hubert de Vauplane Alain Pietrancosta

Paris 1 Cabinet Kramer Levin Naftalis & Frankel LLP

Brexit et contrats

of 94

Table 17. Breakfast debate LabEx & EIFR, Fall 2016 – Spring 2017



01/06/2017 Raman Uppal EDHEC Business School Intended and unintended consequences of financial-market regulations

23/03/2017 Patrick Hoedjes EIOPA EIOPA’S agenda: insurances & long-term investment in the context of cmu

16/03/2017 Eric Lamarque IAE de Paris Risk Appetite : Quelle contribution de la gouvernance ? un retour d’expérience

" Florian Marsaud

BPCE Risk Appetite : Quelle contribution de la gouvernance ? un retour d’expérience

28/02/2017 Bernard Delas ACPR Bâle III et Solvabilité 2 : des similitudes mais aussi de profondes différences

23/02/2017 Jean-Paul Gauzes

EFRAG Normes comptables européennes : l’EFRAG après le rapport Maystadt, nouvelle feuille de route

31/01/2017 Thierry Dissaux FGDR-EFDI Garantie des dépôts : Convergence en Union européenne ? Avec

13/01/2017 Dominique Guégan

UNIVERSITY PARIS I Modèles internes : contribuer à la qualité des contrôles du risque

" Bertrand Hassani

SANTANDER Modèles internes : contribuer à la qualité des contrôles du risque

14/12/2016 Christian de Boissieu

Professor, Emeritus Professor, Professor at the College of Europe (Bruges) and at the Catholic University of Lille.

Régulation et finance au service de l’économie réelle

" Dominique Chesneau

Régulation et finance au service de l’économie réelle

02/12/2016 Marielle Cohen-Branche

Médiateur de l’AMF La médiation financière : les défis d’une nouvelle articulation et les leçons du terrain ?

25/11/2016 Alain Piétrancosta

University Paris 1 Panthéon – Sorbonne

Mieux légiférer en droit financier: propositions du Haut Comité Juridique de la Place de Paris avec

09/11/2016 Christian Schmidt

professeur émérite de l’Université Paris-Dauphine et président de l’Association européenne de Neuroéconomie

Risques financiers : vers une approche neuronale ?

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03/11/2016 Jean-Paul Laurent

University Paris 1 Panthéon – Sorbonne (PRISM – Sorbonne)

Market Risk and capital requirements: a hide and seek game

13/10/2016 Gonzalo Gasós Head of Banking Supervision at the EBF

Basel IV: a disruptive equation

28/09/2016 John Berrigan Deputy Director General of FISMA

« Call for Evidence »: lessons & actions

23/09/2016 Isabelle VAILLANT

EBA EBA : Les défis d’une régulation prudentielle équilibrée

16/09/2016 Cyril Roux Harvard Shadow Banking : Constats et Défis partagés Irlande-France

" Gerard Rameix AMF Shadow Banking : Constats et Défis

partagés Irlande-France

Table 18. Breakfast debate LabEx & EIFR, Spring 2016



13/05/2016 Christophe CARESCHE

Assemblée Nationale L'Europe : aussi un défi pour les élus nationaux !

11/05/2016 Jacques DELMAS-MARSALET

Haut Comité Juridique de la Place Financière de Paris

Monopole Bancaire : propositions du Haut Comité Juridique de la Place de Paris

13/04/2016 Steve Ohana ESCP EUROPE Matières premières : volatilité et régulation

17/03/2016 Jean-Marc Israël BCE BCE et Reporting : Comment « faciliter » ?

15/03/2016 M. Christian de Perthuis

Professeur d’économie à l’université Paris-Dauphine

Quelles régulations pour tarifer le carbone à la suite de la COP-21 ?

10/03/2016 Lei Zhao ESCP EUROPE Implicit Government Guarantees in Financial Institutions: new measures & issues

19/02/2016 Pervenche Berès

Députée européenne L'Union des marchés des capitaux : le nouvel horizon européen ?

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04/02/2016 Jean-Jacques PLUCHART & Constantin MELLIOS & Eric LAMARQUE

University Paris 1 Panthéon – Sorbonne (PRISM – Sorbonne)

Le shadow banking peut-il soutenir le développement économique ?

28/01/2016 Gaël GIRAUD Economiste en chef de l’Agence Française de Développement (AFD), Membre du LabExRefi

Making the European Banking Union Macro-Economically Resilient: Cost of Non-Europe Report

25/01/2016 Alain Lamassoure

Ancien ministre, Député européen, président de la délégation française du Groupe PPE

L'Europe : trop d'argent, trop peu de croissance

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FOCUS: Partnership with the Joint Research Centre of the European Commission (JRC)

In October 2017, the JRC launched a Community of Practice in Financial Research (CoPFiR), bringing scientists and policymakers together to provide scientific input for policies linked to the European Commission's priorities, such as financial stability, Banking Union and capital markets. 19 European universities and associations are enrolled in CoPFiR, including LabEx ReFi and its academic partners ESCP Europe, Sorbonne University Paris1, CNAM and ENA.

The JRC's role

The JRC will lead CoPFiR, collaborating with partners on research activities and ensuring that research results reach relevant policymakers, for example by organising conferences, roundtables and technical workshops.

CoPFiR is designed to feed into the Commission’s work on financial markets, regulation of financial institutions, and systemic risk reduction. In 2018 CoPFiR will take stock of developments and discuss the way forward.

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7. APPENDIX

Publications in the peer reviewed journals listed by HCERES

Table 19. List of publications in the peer reviewed journals listed by HCERES

Year Author Title and publication details Journal HCERES 2018 ranking

CNRS ranking

2018 Bruneau Catherine

Bruneau C., Flageolet A., Peng G., Economic and Financial Risk Factors, Copula Dependence and Risk Sensitivity of Large sets of Multiclass Assets à paraître dans Annals of Operational Research, 2018.

ANNALS OF OPERATIONS RESEARCH

A 2

2018 Bruneau Catherine; Arnould Guillaume

Bruneau C., Arnould G., Peng G., Liquidity and equity short-term fragility: stress tests for the European banking system, Journal of Banking and Finance, 2018.

Journal of Banking and Finance

A 2

2017 Billio Monica

Billio M. (Labex Refi), R. Casarin and A. Osuntuyi (2017), Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Energy Economics, 2017

Energy Economics A 2

2017 Billio Monica

Billio M. (Labex Refi) , Donadelli M., Paradiso A. and Riedel M. (2017), Which Market Integration Measure? Journal of Banking and Finance, 76, 150–174.


A 2

2017 Capelle-Blancard Gunther

Capelle-Blancard G. (Labex Refi) & A. Petit, 2017, Every Little Helps? ESG news disclosure and stock market reaction, Journal of Business Ethics.

Journal of Business Ethics

A 2


Capelle-Blancard G. (Labex Refi) and O. Havrylchyk (Labex Refi), Incidence of bank levy and market power, Review of Finance, 21(3), 1023-1046, 2017.

Review of Finance A 1

2017 De Peretti Philippe

Mattson, R. S., and de Peretti, P. (Labex Refi) (2017), Testing for weak separability using stochastic semi-nonparametric tests : An empirical study on US data. Macroeconomic Dynamics, 1-25, 2017

Macroeconomic Dynamics

A 2

2017 Fouquau Julien

Bessec, M., and Fouquau, J. (Labex Refi). Short-run electricity load forecasting with combinations of stationary wavelet transforms, European Journal of Operational Research, 2017

European Journal of Operational Research

A 1

of 94


CNRS ranking

2017 Fouquau Julien

Fouquau, J. (Labex Refi), Portes, R. and A. L. Delatte (2017), Regime-Dependent Sovereign Risk Pricing during the Euro Crisis, Review of finance, 21(1), 363-385.

Review of Finance A 1

2017 Garel Alexandre

Garel, Alexandre (2017), "Myopic market pricing and managerial myopia." Journal of Business Finance & Accounting (2017).

Journal of Business Finance and Accounting

A 2

2017 Garel Alexandre

Garel, A. (2017), When Ownership Structure Matters: A Review Of The Effects Of Investor Horizon On Corporate Policies. Journal of Economic Surveys, 31(4), 1062-1094, 2017

Journal of Economic Surveys

A 2

2017 Garel Alexandre and Petit-Romec Arthur

Garel Alexandre (Labex ReFi) and Petit-Romec Arthur (Labex ReFi) (2017), "Bank capital in the crisis: It's not just how much you have but who provides it", Journal of Banking and Finance, volume 75, Pages 152–166


A 2

2017 Gaspar Sérgio

Oleg Chuprinin, Sérgio Gaspar, Massimo Massa, Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance, Management Science

Management Science

A 1

2017 Gatfaoui Hayette

Gatfaoui H. (2017), Equity Market Information and Credit Risk Signaling: A Quantile Cointegrating Regression Approach., Economic Modelling, 2017, vol. 64, 48-59.

Economic Modelling

A 2

2017 Kahalé Nabil

Kahalé Nabil (2017) Superreplication of Financial Derivatives via Convex Programming. Management Science 63(7): 2323-2339.

Management Science

A 1

2017 Kahalé Nabil

Kahalé Nabil (2017) Efficient simulation of high dimensional Gaussian vectors. Mathematics of Operations Research.

Mathematics of Operations Research

A 1

2017 Moretti Luigi

Galavotti S. , L. Moretti (Labex Refi) & P. Valbonesi (2017), "Sophisticated Bidders in Beauty-Contest Auctions", American Economic Journal: Microeconomics, 2017

American Economic Journal: Microeconomics

A 1

2017 Moretti Luigi

Coviello D., L. Moretti (Labex Refi), G. Spagnolo & P. Valbonesi (2017), "Court Efficiency and Procurement Performance", Scandinavian Journal of Economics, 2017

Scandinavian Journal of Economics

A 2

2017 Peters G. Peters G., R. Targino, M.V. Wuthrich, Full Bayesian analysis of claims reserving uncertainty, Insurance Mathematics and economics, 2017

INSURANCE: MATHEMATICS AND ECONOMICS

A 3

of 94


CNRS ranking

2017 Renault Thomas

Renault, T. (2017). Intraday online investor sentiment and return patterns in the US stock market. Journal of Banking & Finance, 84, 25-40.


A 2

2017 Renault Thomas

Picault, M., & Renault, T. (Labex Refi) (2017). Words are not all created equal: A new measure of ECB communication. Journal of International Money and Finance, 79, 136-156.

Journal of International Money and Finance

A 2

2017 Troege Michael

Amir, R., Jin, J. Y., and Tröge, M. (Labex Refi) (2017), Free Trade versus Autarky under Asymmetric Cournot Oligopoly. Review of International Economics, 25(1), 98-107, 2017

Review of International Economics

A 2

2017 Veryzhenko Iryna

Veryzhenko, I., Harb, E., Louhichi, W., & Oriol, N. (2017). The impact of the French financial transaction tax on HFT activities and market quality. Economic Modelling, 67, 307-315.

Economic Modelling

A 2


L. Arena, N. Oriol (Labex Refi), I. Veryzhenko (Labex Refi) (2017), "Too Fast, Too Furious ? Trading algorithmique et instabilite des marches financiers", Systemes d'Information et Management, 2017

SYSTEMES D’INFORMATION ET MANAGEMENT

A 2

2016 Billio Monica

Billio M. (Labex ReFi), R. Casarin, F. Ravazzolo and H.K. van Dijk (2016), "Interconnections between Eurozone and US booms and busts using a Bayesian Panel Markov-Switching VAR model", forthcoming Journal of Applied Econometrics, volume 31 , Pages 1352–1370

Journal of Applied Econometrics

A 2

2016 Billio Monica

Ahelegbey, D.F., M. Billio (Labex ReFi) and R. Casarin (2016), "Bayesian Graphical Models for Structural Vector Autoregressive Processes", Journal of Applied Econometrics, 31, 357-386.

Journal of Applied Econometrics

A 2

2016 Couppey-Soubeyran Jézabel

Couppey-Soubeyran Jézabel (Labex ReFi), Salim Dehmej (Labex ReFi), (2016) ,"Pour une combinaison politique monétaire / politique macroprudentielle au service de la stabilité économique et financière de la zone euro", Revue d’économie politique, 2016/1 (Vol. 126)

REVUE D'ÉCONOMIE POLITIQUE

A 2

2016 Dambrin claire

Dambrin C. (Labex ReFi) and C. Lambert (2016), Beauty or not beauty: Making up the producer of popular culture, Management Accounting Research

MANAGEMENT ACCOUNTING RESEARCH

A 2

of 94


CNRS ranking

2016 Kahalé Nabil

Kahalé Nabil (Labex ReFi),(forthcoming) ," Super-Replication of Financial Derivatives Via Convex Programming", Management Science

Management Science

A 1

2016 Kahalé Nabil

Kahalé Nabil (Labex ReFi) (2016) , "Model-independent lower bound on variance swaps", Mathematical Finance 26(4): 939-961

Mathematical Finance

A 2

2016 Laurent Jean-Paul, Michael Sestier, Stéphane Thomas

Laurent Jean-Paul (Labex ReFi), Michael Sestier (Labex ReFi), and Stéphane Thomas (Labex ReFi). Trading book and credit risk: How fundamental is the Basel review? Journal of Banking and Finance, Vol 73, pp,211-223


A 2

2016 Loutia Amine, Mellios Constantin and Andriosopoulos Kostas

Loutia A., Mellios C. and Andriosopoulos K. (2016), “Do OPEC Announcements Influence Oil Prices?”, Energy Policy, (AERES A, CNRS 2), 90, 262-272.

Energy Policy A 2

2016 Mellios Constantin

Mellios C. and Lai A. (2016), « Valuation of Commodity Derivatives with an Unobservable Convenience Yield», Computers and Operations Research, (AERES A, CNRS 2), 250, 493-504.

COMPUTERS & OPERATIONS RESEARCH

A 2


Mellios C., Six P. and Lai A. (2016), « Dynamic speculation and hedging in commodity futures Markets », European Journal of Operational Research, (AERES A, CNRS 1), 250, 493-504.


A 1

2016 Moussu Christophe, Ohana Steve

Moussu Christophe (Labex ReFi), Ohana Steve (Labex ReFi) (2016), «Do Leveraged Companies Underinvest in CSR? Evidence from Health and Safety Programs in U.S. Firms», Journal of Business Ethics, Volume 135, (4), pp 715–729.

Journal of Business Ethics

A 2

2016 Troege Michael

Tröge M. (Labex ReFi), R. Amir, J. Jin and G. Pech,(2016), “Prices and Deadweight Loss in Multi-Product Monopoly”, Journal of Public Economic Theory, 18, (3): 21–16.

Journal of Public Economic Theory

A 2

2016 Vitting Andersen Jorgen

Bellenzier Lucia, Jørgen Vitting Andersen (Labex ReFi), Giulia Rotundo, (2016),"Contagion in the world's stock exchanges seen as a set of coupled oscillators", Economic Modelling, Volume 59, December 2016, Pages 224-236

Economic Modelling

A 2

of 94


CNRS ranking

2015 Biondi Yuri Biondi Y. (2015),"Accounting and the formation of share market prices over time: A mathematical institutional economic analysis through simulation and experiment", Applied Economics, Vol. 47, pp. 3651-3672

Applied Economics A 2

2015 Biondi Yuri Accounting and the formation of share market prices over time: a mathematical institutional economic analysis through simulation and experiment

Applied Economics A 2

2015 Bonnisseau Jean-Marc

Bonnisseau J.M (Labex Réfi), Biheng N. (2015), "Regular economies with ambiguity aversion", Journal of Mathematical Economics, 59, 24 – 36

Journal of Mathematical Economics

A 1

2015 Bunkanwanicha Pramuan

Bunkanwanicha, P.(Labex Réfi), Gupta J., Wiwattanakantang, Y. (2015), "Pyramidal Group Structure and Bank Risk in Thailand", Journal of Comparative Economics, Vol.44, 2; 272-288

Journal of Comparative Economics

A 1


E. Carré, J. Couppey-Soubeyran (Labex Réfi), S. Dehmej (Labex Réfi) (2015) " La coordination entre politique monétaire et politique macroprudentielle. Que disent les modèles DSGE ? ", Revue économique, vol. 66, N° 3

Revue économique A 2

2015 Dambrin claire

C. Spence, C. Dambrin (Labex Réfi), C. Carter, J. Husillos and P. Archel. (2015), “Global Ends, Local Means: Making it to Partner in Professional Service Firms”, Human Relations, 68/5: 765-788

Human Relations A 2


R. Kaffel, Ph. de Peretti (2015): Detecting performance persistence of hedge funds, to appear in Economic Modelling

Economic Modelling

A 2


R. Kaffel, Ph. de Peretti (2015): Generalized runs tests to detect randomness in hedge funds returns, to appear in Journal of Banking and Finance,


A 2

2015 Fouquau Julien

FOUQUAU, J. (Labex Réfi) and P. SPIESER (2015), "Statistical evidence about LIBOR manipulation: A 'Sherlock Holmes' investigation", JOURNAL OF BANKING AND FINANCE, 50, 632-643.


A 2

2015 Gatfaoui Hayette

Gatfaoui H. (2015) "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas" Energy Policy, 2015, vol. 87, 270-283.

Energy Policy A 2

of 94


CNRS ranking

2015 Giraud Gael Giraud et al. (2015) “The Effects of Oil Price Shocks in a New-Keynesian Frame- work with Capital Accumulation”, forthcoming in Journal of Energy Policy.

Energy Policy A 2

2015 Hentati Kaffel Rania

Hentati-Kaffel. R.,(Labex Réfi), de-Peretti P. (2015), "Detecting Performance Persistence of Hedge funds", Economic Modeling, Vol. 47, pp. 185-192

Economic Modelling

A 2


Hentati-Kaffel. R.,(Labex Réfi), de-Peretti P. (2015), "Generalized Runs Tests to Detect Randomness in Hedge Funds Returns", Journal of Banking and Finance, Vol. 50, Pages 608-615


A 2

2015 Loutia Amine, Mellios Constantin and Andriosopoulos Kostas

Loutia A. (Labex Réfi), Mellios C. (Labex Réfi) et Andriosopoulos K. (Labex Réfi) (2013), "Do OPEC announcements influence oil prices ?", Energy Policy

Energy Policy A 2

2015 Scialom Scialom L. (Labex Réfi), Harnay S. (2015) “The influence of the economic approaches to regulation on banking regulations: A short history of banking regulations" Cambridge Journal of Economics

Cambridge Journal of Economics

A 2

2015 Touron Philippe

Bennouri M., Nekhili M., and Touron P. (Labex Réfi) (2015 )"Does Auditor Reputation 'Discourage' Related-Party Transactions? The French Case." Auditing: A Journal of Practice & Theory, 34.4: 1-32.

AUDITING, A JOURNAL OF PRACTICE AND THEORY

A 2

2014 Andriosopoulos Kostas

Andriosopoulos, K. and D’Ecclesia, R. (2014). “Editorial: Recent Developments in Energy markets and Regulation”, Energy Economics.



Andriosopoulos, K., Makridou, G., Doumpos, M., Zopounidis, C. (2014). “An Integrated Approach for Energy Efficiency Analysis in European Union Countries”, Energy Journal.

Energy Journal A 1


Andriosopoulos, K., Andriosopoulos, D., Douady, R. and Hoque, H. (2014). "Bank Return, Risk and regulation: evidence from the Credit and Sovereign Debt Crisis", Journal of Banking and Finance.


A 2


Andriosopoulos, K., Niklis, D., Doumpos, M., Zopounidis, C. (2014). “Combining Accounting Data and a Structural Model for Predicting Credit Ratings: Empirical Evidence from European Listed Firms”, Journal of Banking and Finance.


A 2

of 94


CNRS ranking


Andriosopoulos, K. and Douady, R. (2014). “Editorial: Financial Regulation and Systemic Risk”, Journal of Banking and Finance.


A 2

2014 Bicaba, Z., Kapp, D., Molteni, F.

Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies

Economic Modelling

A 2


Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments”, avec Anne-Laure Delatte,et Julien Fouquau, Journal of Macroeconomics, Décembre 2014 vol 42, pp.38-51

Journal of Macroeconomics

A 2

2014 Delatte Anne-Laure et Julien Fouquau,

Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market


A 2

2014 Di Giuli Alberta

Are Red or Blue Companies More Likely to Go Green? Politics and Corporate Social Responsibility (with Leonard Kostovetsky), 2014, Journal of Financial Economics, 111 (1), 158–180.

Journal of Financial Economics

A 1

2014 Giraud, Gaël & Zeynep Kahraman

How Dependent is Growth from Energy Consumption ?

Energy Policy A 2

2014 Molteni Francesco

"Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies" with Bicaba Z. and Kapp D. Economic Modelling, Volume 43, December 2014, Pages 346–360

Economic Modelling

A 2


Andriosopoulos, K. and Nomikos, N. (2013). “Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US, and Brazil”, European Journal of Operational Research.


A 1


Andriosopoulos, K., Pasiouras, F. and Zopounidis, C. (2013). “Editorial: Recent developments in Financial Markets and Banking”, Journal of Banking and Finance, vol. 37 (12), pp. 5392-5393.


A 2


Andriosopoulos, K., Andriosopoulos, D. and Hoque, H. (2013). "Information Disclosure, CEO Traits and Share Buyback Completion Rates", Journal of Banking & Finance, vol. 37 (12), pp. 5486-5499.


A 2

of 94


CNRS ranking

2013 Bancel Franck & Quentin Lathuile & Alban Lhuissier

De la difficulté de mesurer le coût du capital

Revue Française de Gestion

A 3


Comprendre la formation des prix des actifs financiers: ce que nous devons aux lauréats du prix Nobel 2013, Eugène Fama, Lars Peter Hansen et Robert Shiller” , Revue d’Ecnomie Politique, n° 5, Septembre-Octobre 2014, pp. 681-714.

REVUE D'ÉCONOMIE POLITIQUE

A 2

2013 Bunkanwanicha Pramuan

“The Value of Marriage to Family Firms,” 2013, Journal of Financial and Quantitative Analysis 48, 611-636 (with Joseph P.H. Fan and Yupana Wiwattanakantang).

Journal of Financial and Quantitative Analysis

A 1


Mesurer les performances extra-financières : Le véritable défi de l’ISR, 39(236), 109-126.


A 3

2013 Capelle-Blancard Gunther & A. Petit

Capelle-Blancard G & A. Petit, 2013, Mesurer les performances extra-financières : Le véritable défi de l’ISR, Revue Française de Gestion, 39(236), 109-126.


A 3

2013 Chatelain Jean-Bernard

Spurious Regressions and Near-Multicollinearity, with an Application to Aid, Policies and Growth. Journal of Macroeconomics. 39, pp. 85-96. 2014.


A 2

2013 Collet Stephanie

Collet, S., 2013, “The Financial Penalty for ‘Unfair’ Debt: The Case of Cuban Bonds at the time of Independence”, European Review of Economic History, Volume 17, Issue 3, pp.364-387.

European Review of Economic History

A 2


The Effect of Stock Misvaluation and Investment Opportunities on the Method of Payment in Mergers, 2013, Journal of Corporate Finance, 21, 196–215.

JOURNAL OF CORPORATE FINANCE: CONTRACTING, GOVERNANCE AND ORGANIZATION

A 2

2013 Douady Raphael & Hafiz Hoque, Dimitris Andriosopoulos, Kostas Andriosopoulos

Bank return, risk, and regulation: evidence from the credit and sovereign debt crises


A 2

of 94


CNRS ranking

2013 Giraud Gael Giraud, G. and A. Pottier (2013) “Krachs financiers ou trappe a liquidité - le dilemme des politiques monétaires non-conventionnelles” (2013), Revue Economique 64(3) 485-496.

REVUE ÉCONOMIQUE

A 2

2013 Oriol Nathalie

Systèmes d'information et gestion du couple performance/sécurité : trajectoires comparées de trois situations extrêmes, avec L.Arena et I.Pastorelli, Systèmes d'Information et Management n°18, 2013, pp. 87-123

SYSTEMES D’INFORMATION ET MANAGEMENT

A 2

2013 Pottier Antonin, Giraud Gaël

Krachs financiers ou trappe à liquidité. Le dilemme des politiques monétaires non-conventionnelles

REVUE ÉCONOMIQUE

A 2


Les régressions fallacieuses : aide au développement, politiques économiques et croissance (avec K. Ralf). Revue Economique. Vol. 53(3), 557-568, 2012.

REVUE ÉCONOMIQUE

A 2


Les revues d'excellence en économie et en gestion: discordances entre la classification de l'AERES (2008) et les facteurs d'impact par les citations (avec K. Ralf). Revue Economique. 2012. Vol. 34(6), 1092-1104.

REVUE ÉCONOMIQUE

A 2


avec J. Héricourt et I. Chaari, « Le crédit commercial: un substitut au crédit bancaire… quand le développement financier est faible. Une analyse empirique sur données de firmes de la région MENA », Revue économique, n°6, vol. 63, 2012.

REVUE ÉCONOMIQUE

A 2


Andriosopoulos, K. and Nomikos, N. (2011). “Modelling energy spot prices: Empirical evidence from NYMEX”. Energy Economics, vol. 34 (4), pp. 1153-1169.


2011 Burlaud Alain

BURLAUD A. & COLASSE B. : Réponse aux commentaires sur « Normalisation comptable internationale : le retour du politique ? » Comptabilité, contrôle, audit, tome 17, volume 3, décembre 2011, p. 115 à 129.

COMPTABILITE, CONTROLE, AUDIT

A 2

2011 Dambrin claire

Sept. 2011 Accounting, Organizations and Society (FT), (36/7: 428-455): “Tracing performance in the pharmaceutical industry: ambivalence, opacity and the performativity of flawed measures”, with K. Robson.

ACCOUNTING, ORGANIZATION AND SOCIETY

A 1


Are Small Family Firms Financially Sophisticated? (with Stefano Caselli and Stefano Gatti), 2011, Journal of Banking and Finance, 35 (11), 2931-2944.


A 2

of 94


CNRS ranking

2011 Kahale Nabil

Sparse calibrations of contingent claims, Mathematical Finance

Mathematical Finance

A 2

2011 Troege Michael

“The Insider’s Curse” (with A. Hernando-Veciana), (2011), Games and Economic Behavior, 71, (2) : 339-350.

Games and Economic Behavior

A 1

2018 Guégan Dominique

Guégan D., Bitcoin:from history to real life, Bankers, Markets and Investors, 151, 2018

BANKERS, MARKETS & INVESTORS (Formerly: Banque & Marchés)

B 4

2018 Guégan Dominique

Guégan D., Alternattives to the Bitcoin blockchain, Bankers, Markets and Investors, 152, 2018


B 4

2018 Souchaud Antoine

Berkowitz, H., Souchaud, A., (2018) " Stratégies de conquête d’un nouvel espace de marché : la structuration du crowdlending", Gérer et Comprendre.

GERER ET COMPRENDRE

B 4

2018 Troege Michael

Roe, M. J., & Troge, M. (Labex Refi) (2018). Containing Systemic Risk by Taxing Banks Properly. Yale Journal on Regulation, 35, 181.

Yale Journal on Regulation

B 3

2017 Bancel Frank

Bancel F. (Labex Refi) and Salé L. (Labex Refi), Why do banks hold cash?, Bankers Markets & Investors 146, 4-20, 2017.


B 4

2017 Biondi Yuri Biondi, Y. (Labex Refi), & Sierra, M. (2017). Pension management between financialization and intergenerational solidarity: a socio-economic analysis and a comprehensive model. Socio-Economic Review, mwx015.

Socio-Economic Review

B 3


Capelle-Blancard G. (Labex Refi) and A. Petit, The weighting of CSR dimensions: one size does not fit all, Business & Society, 56, 919-943, 2017.

Business and Society

B 3


Capelle-Blancard G. , Curbing the growth of stock trading? Order-to-trade ratios and financial transaction tax, Journal of International Financial Markets, Institutions & Money, 49, 48-73, 2017.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY

B 3

2017 de Batz Laure

Laure de Batz, 2017, Focus on Financial Sanctions in France - 2004 - 2016, Bankers, Markets, and Investors n°149, July-August


B 4


Affes, Z. and Hentati-Kaffel, R. (Labex Refi). Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis, Computational Economics , pp 1–46, 2017

Computational Economics

B 3

of 94


CNRS ranking

2017 Martin-Flores Jose, Moussu Christophe

Jose, M. F. (Labex Refi), & Christophe, M. (Labex Refi) (2017), Is Bank Capital Sensitive to a Tax Allowance on Marginal Equity?. European Financial Management. 2017

European Financial Management

B 3


Souchaud A. , Deus ex Machina dans l'Espace Régulatoire du Crédit en France : la reconnaissance du crowdlending face au monopole bancaire, Gérer et Comprendre, 2017

GERER ET COMPRENDRE

B 4

2017 Zhao Lei Zhao, L (2017), Market‐based estimates of implicit government guarantees in European financial institutions. European Financial Management, 2017


B 3

2016 Bancel Franck; Laurent Salé

Bancel F. (Labex ReFi) and Salé L. (Labex ReFi), (2016),"Basel III and Bank Liquidity Creation", Bankers, Markets & Investors 143, 2-10.


B 4


Capelle-Blancard G. (Labex ReFi) & A. Petit , "The weighting of CSR dimensions: one size does not fit all", Business & Society.

Business and Society

B 3


Capelle-Blancard G. (Labex ReFi), (2016), The abolition of the “Impôt sur les opérations de bourse” did not foster the French stock market", Finance Research Letters, 17, 257-266.

Finance Research Letters

B 3


Capelle-Blancard G. (Labex ReFi) & O. Havrylchyk (Labex ReFi), (2016), "The impact of the French securities transaction tax on market liquidity and volatility, International Review of Financial Analysis", 47, 166-178.

International Review of Financial Analysis

B 3

2016 Dambrin claire

Dambrin C. (Labex ReFi), C. Spence, C. Carter, A. Belal, J. Husillos, and P. Archel (2016), "Tracking habitus across a transnational professional field", Work, Employment and Society, 30/1: 3-20 (cat. 1 at ESCP Europe)

Work, Employment and Society

B 3

2016 Pinter Julien

Pinter Julien (Labex ReFi), Charles Boissel, (2016), "The Eurozone deposit rates’ puzzle: Choosing the right benchmark", Economics Letters, Volume 148, November 2016, Pages 33-36.

Economics Letters B 3

2015 Bancel F. ; Garel A.

Bancel F., Garel A. (2015), “Focus on Managerial myopia: do managers privilege the short term”, Bankers, Markets & Investors, 135, 50-58.


B 4

of 94


CNRS ranking

2015 Bancel Franck

Bancel F. and Garel A. “Focus on Managerial myopia: do managers privilege the short term”,Bankers, Markets & Investors 135, 50-58, 2015.


B 4

2015 Billio Billio M. (Labex Refi) and S. Di Sanzo (2015), "Granger-causality in Markov switching models", Journal of Applied Statistics, 42/5, 956-996.

Journal of Applied Statistics

B 3

2015 Fouquau Julien

FOUQUAU, J. (Labex Réfi) and P. SIX (2015), "A comparison of the convenience yield and interest-adjusted basis", Finance Research Letters, 14, 142-149.

Finance Research Letters

B 3

2015 Fouquau Julien

FOUQUAU, J. (Labex Réfi) and S. BELAOUNIA (2015), "Internationalisation et structure du capital : une application aux entreprises chinoises cotées" REVUE FINANCE CONTROLE STRATEGIE, 3, 18.

FINANCE CONTROLE STRATEGIE

B 3

2015 Guegan Dominique

Guégan D. (Labex Réfi), X. Zhao, (2014) "Alternatives modellings for long term risk", Quantitative Finance, Vol. 14

Quantitative Finance

B 3


Guégan D. (Labex Réfi), Ielpo F. Lalaharison H. (2015), "Option Pricing with Discrete Time Jump Processes", Studies in Nonlinear Dynamics & Econometrics

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS

B 3

2015 Ielpo Ielpo F. (2015),"Forward Rates, Monetary Policy and the Economic Cycle", Journal of Forecasting, Volume 34, Issue 4, pages 241–260

Journal of Forecasting

B 3

2015 Le Saout Le Saout E. (2015)," Carbon Pooling ou comment gérer les crédits carbone a partir d’une trésorerie centralisée", Recherches en Sciences de Gestion- Management Sciences – Ciencias de Gestion, n°108, p. 91-112

RECHERCHES EN SCIENCES DE GESTION

B 4

2015 Pradier Pierre-Charles

Pradier, PC. (Labex Réfi), Gardes, F., Greffe, X. et al. (2015),“Autographs and the Global Art Market: The Case of Hedonic Prices for French Autographs (1960-2005)” Journal of Cultural Economics, Vol. 40, pp: 453-485

Journal of Cultural Economics

B 3

2015 Wagalath Wagalath L. (Labex Réfi), Cont R. (2015) "Institutional investors and the dependence structure of asset returns" International Journal of Theoretical and Applied Finance

International Journal of Theoretical and Applied Finance

B 3

of 94


CNRS ranking


Capelle-Blancard G. & S. Monjon, 2014, The performance of socially responsible funds: Does the screening process matter? European Financial Management Journal, 20(3), 494-520.


B 3


Peut-on identifier les politiques économiques stabilisant une économie instable ? Revue Française d’Economie. 29(3), pp. 143-178. 2014.

REVUE FRANÇAISE D'ÉCONOMIE

B 3

2014 Laurent Jean-Paul

An overview of the valuation of collateralized derivative contracts, Volume 17, Issue 3

Review of derivatives research

B 4

2013 Douady Raphael & N.N. Taleb

Mathematical Definition, Mapping and Detection of (Anti)Fragility


B 3

2013 Moussu Christophe

MOUSSU C., PETIT-ROMEC A. (2013), « Bank Capital and Risk-Taking: O1d and New Perspectives from the Crisis», Bankers Markets Investors, January-February, p.57-65


B 4

2013 Raimbourg Philippe

‘Rating Agencies and Financial Regulations: Thirty Years of Academic Research’, Bankers, Markets & Investors, n°123, 54-61, March-April 2013.


B 4


Macroeconomic Fluctuations and Corporate Financial Fragility”, avec Olivier de Bandt at Widad El Amri, 2012, Journal of Financial Stability, Volume 8, Issue 4, December , Pages 219–235

Journal of Financial Stability

B 3


Capelle-Blancard G. & D. Coulibaly, 2012, Speculation and agricultural commodity prices: A panel granger causality analysis, International Economics, 126, 51-72.

ÉCONOMIE INTERNATIONALE / INTERNATIONAL ECONOMICS

B 3

2012 Chorro christophe

Chorro, C., Guegan, D. and Ielpo, F., (2012). Option pricing for GARCH type models with generalized hyperbolic innovations. Quantitative Finance, 12(7), 1079-1094.


B 3

2012 Dambrin claire

Jan. 2012 Critical Perspectives on Accounting (cat.2), (23/1: 1-16): “Who is she and who are we? A reflexive journey in research into the rarity of women in the highest ranks of accountancy”, with C. Lambert.

Critical Perspectives on Accounting

B 3

2012 Douady Raphael

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator (with Y. Choi) Quantitative Finance (2012)


B 3

of 94


CNRS ranking

2012 Gillet Roland

Gillet R., Hübner G. and S. Plunus, "Reputational damage of operational loss on the bond market : Evidence from the financial industry", International Review of Financial Analysis, 2012, pp. 66-73.

International Review of Financial Analysis

B 3


AMRAOUI, S., L. COUSOT, S. HITIER & J-P. LAURENT (2012) : Pricing CDOs with State Dependent Stochastic Recovery Rates, Quantitative Finance, volume 12, issue 8, 1219-1240.


B 3


Mellios C. and Six P. (2012), « The THM Model Revisited with a Non-Observable

Financial Review B 4

2012 Oriol Nathalie

La fragmentation des flux d’ordres et la révision de la directive MIF : Apports de l’économie industrielle, Revue d’Economie Industrielle, n°139, 3ème trimestre 2012, pp.49-76

REVUE D'ÉCONOMIE INDUSTRIELLE

B 3

2012 Rougès Véronique

Chanson G. et Rougès V., (2012) « L’externalisation de la fonction comptable a l’épreuve de la théorie du signal », Finance Contrôle Stratégie, vol. 15, n° 3.

FINANCE CONTROLE STRATEGIE

B 3


«Optimal Economic Capital and Investment Decisions for a Non-life Insurance Company», avec Selim Mankai, 2011, Bankers, Markets&Investors.


B 4


Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil

ÉCONOMIE INTERNATIONALE / INTERNATIONAL ECONOMICS

B 3

2011 Hentati-Kaffel Rania

Hentati-Kaffel, R., and Prigent, J.-L. (2011): "VaR and Omega measures for hedge funds portfolios: A copula approach", Bankers, Markets and Investors, n°110-Janv-Fév 2011.ISSN 1167-4946.


B 4

2011 Lamarque Eric

« Proposition d’une mesure de l’efficacité du système de contrôle interne d’un établissement bancaire », avec H. Karfoul, Revue Management & Avenir, N° 45, 2011, p 156-175 – Fnege 4

Management & Avenir

B 4


LAURENT J-P., A. COUSIN & J-D. FERMANIAN (2011) : Hedging Default Risks of CDOs in Markovian Contagion Models, Quantitative Finance, volume 11, issue 12, 1773-1791.


B 3


Attaoui S., Mellios C. and Six Pierre (2011), « Calendar Spreads, Risk Premium and the Convenience Yield », Bankers, Markets, Investors, 112, mai-juin, 16-33.


B 4

of 94


CNRS ranking


‘Does it Really Hurt? An Empirical Investigation of the Effects of Downgradings and Negative Watches on European Bond Spreads’ (en coll.), Journal of Fixed Income, 20, 3, 86-96, Winter 2011.

Journal of Fixed Income

B 3

2017 Biondi Yuri Biondi, Y. (Labex Refi), & Righi, S. (2017). Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time. Journal of Economic Interaction and Coordination, 1-30.

Journal of Economic Interaction and Coordination

C 4

2017 Biondi Yuri, Graeff Imke

Biondi, Y. (Labex Refi) & Graeff, I. (Labex Refi) (2017). Rethinking bank shareholder equity: The case of Deutsche Bank. In Accounting Forum (Vol. 41, No. 4, pp. 318-335). Elsevier.

Accounting Forum C 4


Capelle-Blancard G., (Labex Refi) 2017, A quoi servent les (centaines de milliers de milliards de) transactions boursières ?, Revue d’Economie Financière, 127, 37-58.

REVUE D'ÉCONOMIE FINANCIERE

C 4


Couppey-Soubeyran J., Coordination et Introduction du n°127 de la Revue d’économie financière (Nov. 2017) « Finance et croissance », à paraître.


C 4

2017 Demerens Frédéric, Le Manh Anne

Demerens, F. (Labex Refi) , P. Delvaille, A. Le Manh, J.L. Paré, (2017), “The use of segment information by financial analysts and forecast accuracy: a study on European intermediate-size companies”, Thunderbird International Business Review, Vol. 59, N°5, September/October 2017, pp 595-612.

Thunderbird International Business Review

C 4

2017 Gillet Roland

Sodjahin A., Champagne C., Coggins F. and Gillet R. (Labex Refi), Leading or lagging indicators of risk ? The informational content of extra-financial performance scores, Journal of Asset Management, Vol. 18, 5, pp. 347-370.

Journal of Asset Management

C 4

2017 Guéant Olivier

Guéant, O. (Labex Refi). Optimal market making. Applied Mathematical Finance, 24(2), 112-154, 2017

APPLIED MATHEMATICAL FINANCE

C 0

2017 Havrylchyk Olena

O. Havrylchyk (Labex Refi) and M. Verdier, Le financement des PMEs à l'ère de la FinTech, Revue d'économie financière, 2017


C 4

2017 Hooper Emma

Hooper E. (Labex Refi). Financement des pays riches en ressources naturelles : le rôle des marchés financiers et des institutions. Mondes en développement, 2017/3 (n° 179), p. 15-30.

MONDES EN DEVELOPPEMENT

C 4

of 94


CNRS ranking

2017 Le Manh Anne

LE MANH, A. (Labex Refi) (2017), The Role and Current Status of IFRS in the Completion of National Accounting Rules – Evidence from France, in: Paul André, ACCOUNTING IN EUROPE, 14, Issue 1-2, 94-101.

ACCOUNTING IN EUROPE

C 0


Berkowitz, H., Souchaud, A., (Labex Refi), Combler un vide organisationnel dans la fabrique d'une politique publique : l'émergence d'une méta-organisation , Politiques et Management Public, 2017

Politiques et Management Public

C 4

2016 Biondi Yuri Biondi Y. (Labex ReFi), (2016), "Public debt accounting and management in UK: Refunding or Refinancing? Or, the Strange Case of Doctor Jekyll and Mr Hyde in the aftermath of the Global Financial Crisi"s, Accounting Forum, Volume 40, Issue 2, June 2016, Pages 89–105


2016 Biondi Yuri Biondi Y. (Labex ReFi),(forthcoming),"Accounting representations of public debt and deficits in European central government accounts: An exploration of anomalies and contradictions", Accounting Forum, volume 40, Pages 205–219


2016 Biondi Yuri Biondi Y. (Labex ReFi), (2016),"The HM ‘Treasure's Island’: The Application of Accruals-based Accounting Standards in the UK Government". Accounting in Europe, Volume 13, Issue 1, 2016.

Accounting in Europe

C 0


Couppey-Soubeyran Jézabel (Labex ReFi),"Taux négatif : arme de poing ou signal de détresse ? ", Revue d’économie financière n°121


C 4

2015 Biondi Yuri Biondi Y. (2015), "The HM 'Treasure’s Island': the application of accruals-based accounting standards in the UK government", Accounting in Europe

Accounting in Europe

C 0

2015 Biondi Yuri Biondi Y. (Labex Refi), Righi S. (2015), "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary", Journal of Economic Interaction and Coordination, Vol. 11, Issue 2, pp 175–203


C 4

2015 Le Saout Le Saout E. (Labex Réfi), Daher L. (2015),"The determinants of the financial performance of microfinance institutions : Impact of the global financial crisis", Strategic Change, vol. 24, n°2, p.131-148

Strategic Change C 3

of 94


CNRS ranking


Andriosopoulos, K. and Nomikos, N. (2014). “Risk management in the energy markets and value at risk modelling: a hybrid approach”, European Journal of Finance.

European Journal of Finance (The)

C 4

2014 Bonnisseau Jean-Marc

“Stability of marketable payoffs with long-term assets”, Annals of Finance, 10, 4 (2014), 523-552, avec Achis Chery

Annals of Finance C 4

2014 Giraud Gael Giraud G. “Quelle intelligence du capital pour demain ? Une lecture du Capital au XXIème siècle de Th. Piketty”, Revue Francaise de Socio-Économie 2014/1 (n◦ 13), p. 336 sq http://www.cairn.info/resume.php?ID_ARTICLE=RFSE_013_0283

REVUE FRANÇAISE DE SOCIO-ÉCONOMIE

C 4

2014 Marteau didier

"Value at risk on trading portfolios: an international comparison " with Laurent Clerc, Head of Financial Stability, Bank of France, in "Revue d'Economie Financière" (september 2014)


C 4


Do rating agencies’ decisions impact stock risks? Evidence from European markets’ (en coll.), The European Journal of Finance, Volume 20, Issue 11, November 2014, pages 1008-1036.

European Journal of Finance (The)

C 4

2013 Biondi Yuri Modèles comptables et politiques d’austérité : Représentations et enjeux de la maîtrise du déficit et de la dette des administrations publiques, en Europe et ailleurs


C 4

2013 Biondi Yuri & Riccardo Mussari

Les transformations de l’action publique au prisme des réformes comptables et financières


C 4

2013 Piget Patrick (en coll)

the Relationship between Information and Communication Technology Use and Firm Performance in Developing Countries: A Case Study of Electrical and Electronic Goods Manufacturing SMEs in Tunisia

African Development Review

C 4


Capelle-Blancard G. & S. Monjon, 2012, Trends in the literature on socially responsible investment: Looking for the keys under the lamppost, Business Ethics: A European Review, 21(3), 239-250.

Business Ethics: A European Review

C 4


D Guégan W. Tarrant (2012) On the Necessity of Five Risk Measures, Annals of finance, 8, (4).


2012 Kovar Jean-Philippe

L'indépendance des autorités de régulation financière à l'égard du pouvoir politique

REVUE FRANÇAISE D’ADMINISTRATION PUBLIQUE

C 4

of 94


CNRS ranking

2012 Lafarge François

L'indépendance des Autorités européennes de surveillance

REVUE FRANÇAISE D’ADMINISTRATION PUBLIQUE

C 4


O. Brandouy, A. Corelli, I. Veryzhenko, R. Waldeck (2012) "Why Zero Intelligence Traders are not smart enough for Quantitative Finance", Journal of Economic Interaction and Coordination. 7(2):223-248


C 4

2011 Oriol Nathalie

Investissement institutionnel et révision de la directive MIF », Revue d’Economie Financière, n°104, 2011


C 4

2011 Troege Michael

“On the Effects of Banks’ Equity Ownership on Credit Markets”, (with R. Amir), (2011), Annals of Finance, 2011, 7(1) : 31-52.


of 94

List of LabEx ReFi working paper series

Table 20. List of working papers in 2017

N° Title LabEx ReFi Author

Abstract

WP 2017-1 CCP resilience and clearing membership

Armakolla Angela, Jean-Paul Laurent

Central clearing counterparties have become a major concern regarding systemic risk and financial stability. Thus, assessing CCP resilience is a key challenge in the new financial landscape. We consider pre-funded waterfall resources, recovery tools and the assessment powers of major European and US central clearing counterparties. We also investigate loss allocation rules at the end of the waterfall and the impact of emerging resolution regimes on contingent liquidity obligations. As the resilience of a central clearing counterparty depends on the soundness of the member base and its ability to provide funds, we question the payment capacity of a member base under normal and stressed scenarios. We show that under a cover 2 stressed scenario, member base quality erodes, jeopardising the ability of clearing members to ful l possible contingent liquidity obligations. Conficts of interest depending on the average quality and heterogeneity of member bases are shown to be a further matter of concern regarding CCP resilience.

WP 2017-2 Liquidity and Equity Short term fragility: Stress tests for the European banking system

Arnould Guillaume, Catherine Bruneau, Zhun Peng

This paper assesses the resilience of Eurozone banks' equity and liquidity against large shocks to nancial markets by using a CVRF model that combines copulas and factorial structures. Our analysis refers to 35 banks in the Eurozone from 2005 to 2015. Our contribution is threefold. First, we employ a model that takes into account the links between the assets composing banks' portfolios and consider second round and spillover e ects between di erent markets and countries. We show that spillovers changed notably over the sample period. Second, we measure the impact of di erent types of shocks (stock market and bond market) on banks' solvency and liquidity positions and show that liquidity shortfalls are substantial, especially for banks from peripheral countries or domestic systemically important banks (D-SIB). Third, we assess the role of diversi cation in improving banks' resilience by examining the particular situation where stock and bond returns become positively dependent, as recently observed. We show that for some banks it increases shortfalls up to 120%.

WP 2017-3 Ethical challenges in the sharing economy: collectively performing ethics in the crowdfunding

Souchaud Antoine, Berkowitz Héloïse

Collectively defining ethics at the sector level is a major issue and challenge for organizations from the sharing economy, that seek to build trust with stakeholders and encourage market growth. However, the study of ethics is usually concerned with ethics inside organizations rather than with the level of meta-organizations (organizations made of organizations). Through an in-depth case study of

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sector the French crowdfunding sectoral ethics’ definition, we show the role of the meta-organization in structuring and performing ethics. Meta-organizations allow to institutionalize alterity and to develop and implement governance mechanisms and boundary devices, such as codes of ethics, that make ethics performative. We show that the meta-organization protects the sharing economy’s two main thick ethical concepts: trust and solidarity. A breach in these concepts may result in ethical failures that threaten the whole sector, due to a black sheep effect. In the sharing economy, ethics emerge as a sectoral common in the form of an immaterial asset. This finding has managerial implications for actors aiming to develop sharing economy activities.

WP 2017-4 Rethinking bank shareholder equity: The case of Deutsche Bank

Biondi Yuri, Imke Graeff

Do you believe that bank shareholder equity provides an indefinitely lasting source of funding which covers for (residual) risk and loss-absorption? Our innovative approach clarifies and disentangles actual shareholder contribution to bank equity. This case study applies it to Deutsche Bank, a European systemically important institution, from 2001 to 2015. Our analysis shows that bank shareholder equity lasted for less than three months in 2007 in the bank entity, while payout policies exhausted shareholder contribution to loss-absorbing capital in 2006-2008. Since 2005, shareholder contribution to Tier 1 Capital remained below 10%. According to our findings, the actual contribution by shareholders to bank equity capital was limited, while shareholder payout policies, including share buybacks and trading on its own shares, were material. These findings raise concerns on the actual capacity by shareholder equity to assure protection against (residual) risk and loss absorption. Customer and investor protections appear to lay with bank entity equity dynamics. These findings have implications for bank financial sustainability and resilience, company capital maintenance, and regulatory capital requirements. Further developments based upon this innovative methodology may improve on existing prudential and accounting regulations.

WP 2017-5 Financial Sustainability and Public Debt Management in Central Government

Biondi Yuri, Marion Boisseau-Sierra

This chapter explores the link between sovereign debt and financial sustainability in central governments, clarifying sustainability mechanisms specific to the public sector. They refer to the connection between public debt and the monetary basis, as well as the general interest missions performed by the public sector to cover collective and long-term obligations and guarantees. By examining matters raised to this specificity, we offer an original position on the financial sustainability of central governments. In recent decades, there has been a trend toward convergence between the private and the public modes of accounting and finance, including related financial sustainability criteria. Financial sustainability of central governments was then allegedly aligned with that of

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business firms. Our approach argues that some financial mechanisms that lie at the heart of sustainability of public entities are specific and pertain to the public sector sphere. To illustrate this specificity, three issues are especially addressed: (i) the taxing power; (ii) the public debt management and its refinancing mechanism, and (iii) the collective engagement represented by pay-as-yougo pension obligations. A theoretical framework is then developed and corroborated by numerical illustration and case studies in practice and regulation. One case study concerns the sustainability measures adopted under “the Excessive Debt Procedure Criteria” by the European Union (EU), which may show inconsistency between management by financial indicators and sovereign sustainability. Some received questions will be renewed, such as: are sustainability and funding linked? Shall governments fully repay their debt one day? Central government is deemed to be financially sustainable when it can pursue its ongoing public benefit missions while fulfilling its financial obligations when they become due in time and amount. This financial capacity depends on both tax revenues and public debt management. In this context, governmental debt capacity consists in placing sovereign debt for sake of debt issuance and refinancing – with governmental entities, resident and foreign debt-holding investors, monetary financial institutions and central banking. The latter two placements relate to the monetary base management. Financial markets may facilitate some of these ongoing transactions on sovereign debt. Therefore, fiscal policies, welfare policies and public debt management are linked, while governmental debt capacity constitutes an integral part of its financial sustainability.

WP 2017-6 European Banks and Tax Havens

Capelle-Blancard Gunther , Bouvatier Vicent, Anne-Laure Delatte

Since the financial crisis, several scandals have pointed out the involvement of the banking system in tax havens. Using individual country-by-country reportings from the largest banks in the European Union, this paper provides a quantitative assessment of the weight of tax havens in international banking activity. Our empirical estimation uncover several new ndings: 1) Ignoring tax havens implies misspeci cation in a standard gravity model explaining the commercial presence of banks subsidiaries abroad; tax havens attract large extra banking activity beyond the standard gravity factors; 2) Luxembourg, Isle of Man and Guernsey rank at the top of the foreign a liates presence not explained by standard factors; the presence of foreign banks subsidiaries in Luxembourg is 8.5 times higher than predictions based on a standard gravity model; 3) Combining low tax rates and high governance quality is not su cient to explain extra banking activity in tax havens.

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WP 2017-7 Every Little Helps? ESG News and Stock Market Reaction

Capelle-Blancard Gunther , Aurélien Petit

Stories about corporate social responsibility have become very frequent over the past decade and managers can no longer ignore their impact on firm value. In this paper, we investigate the extent and the determinants of the stock market’s reaction following ordinary news related to environmental, social and governance issues � the so-called ESG factors. To that purpose, we use an original database provided by Covalence-EthicalQuote. Our empirical analysis is based on about 33,000 ESG news (positive or negative), targeting one hundred listed companies over the period 2002-2010. On average, firms facing negative events experience a drop in their market value of 0.1%, whereas companies gain nothing in average from positive announcements. We find also that market participants are responsive to the media, but they do not react to firms’ press releases or to NGOs’ disclosures. Moreover, our results indicate that sector’s reputation mitigates the loss (the goodwill hypothesis) and that cultural proximity and lexical contents of ESG disclosures play a significant role in the magnitude of the impact.

WP 2017-8 L’instrument de recapitalisation directe du MES

Catillon Vincent NA

WP 2017-9 The contribution of jumps to forecasting the density of returns

Chorro Christophe, Florian Ielpo, Benoît Sévi

The extraction of the jump component in the dynamics of asset prices has witnessed a considerably growing body of literature. Of particular interest is the decomposition of returns’ quadratic variation between their continuous and jump components. Recent contributions highlight the importance of this component in forecasting volatility at different horizons. In this article, we extend a methodology developed in Maheu and McCurdy (2011) to exploit the information content of intraday data in forecasting the density of returns at horizons up to sixty days. We follow Boudt et al. (2011) to detect intraday returns that should be considered as jumps. The methodology is robust to intra-week periodicity and further delivers estimates of signed jumps in contrast to the rest of the literature where only the squared jump component can be estimated. Then, we estimate a bivariate model of returns and volatilities where the jump component is independently modeled using a jump distribution that fits the stylized facts of the estimated jumps. Our empirical results for S&P 500 futures, U.S. 10-year Treasury futures, USD/CAD exchange rate and WTI crude oil futures highlight the importance of considering the continuous/jump decomposition for density forecasting while this is not the case for volatility point forecast. In particular, we show that the model considering jumps apart from the

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continuous component consistently deliver better density forecasts for forecasting horizons ranging from 1 to 30 days.

WP 2017-10 Sector Spillovers in Credit Markets

Collet Jerome, Florian Ielpo

Cross-sector volatility spillovers can both threaten the financial stability of credit markets and the diversification of a credit bond portfolio. In this article, we use Diebold and Yilmaz (2009, 2011, 2012)?s method to measure cross-sector volatility spillovers, casting light on their intensity in the US-denominated investment grade bond universe. We find that volatility spillovers are high and that the insurance and the consumer noncyclical sectors have been large volatility spillover contributors over the 2000-2014 period. We propose a more structural analysis of the spillover history, based on a threeregime multivariate VAR Markov Switching model that highlights that with different volatility regimes come different volatility spillover structures: the insurance sector is a volatility spillover source during crisis periods, when the consumer non-cyclical sector becomes one during quieter periods.

WP 2017-11 Lessons from more than a decade-long history of sanction in France

de Batz Laure In this paper, we examine the main characteristics and evolution along time of the sanctions pronounced by the French Financial Market Authority (AMF) since its creation. We consider an original exhaustive sample of 308 decisions, published on the AMF website over the period 2004-2016. Most of the sanctions resulted in a guilty verdict (90%), mostly associated with financial fines (94%) and/or with disciplinary sanctions (30%), after long procedures (2.7 years on average, followed potentially by appeals). Half of them were first published anonymized. The most frequently sanctioned market participants are listed companies, followed by asset managers or asset management companies. The sample under review was enlarged from 2012 onwards with a new kind of procedure, the settlements (32 from 2012 to 2016). The latter do not imply guilt recognition from part of the offender. Such procedures are by law quicker, target less severe regulatory breaches mostly done by asset management firms, and consequently result in less severe sanctions.

WP 2017-12 An Empirical Approach to Financial Crisis Indicators Based on Random Matrices

Douady Raphael, and Antoine Kornprobst

The aim of this work is to build financial crisis indicators based on time series of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading day as a random matrix from which a covariance and a correlation matrix are obtained. The indicators that we have built deal with the spectral properties of these covariance and correlation matrices. The simple intuitive idea that we rely upon is that correlation and volatility are like the

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heartbeat of the financial market: when correlations between asset prices increase or develop abnormal patterns, when volatility starts to increase, then a crisis event might be around the corner. The financial crisis indicators that we have built are of two kinds. The first one is based on the Hellinger distance, computed between the distribution of the eigenvalues of the empirical covariance matrix and the distribution of the eigenvalues of a reference covariance matrix. As reference distributions we use the theoretical Marchenko Pastur distribution and numerically computed ones using a random matrix of the same size as the empirical rolling matrix and constituted of Gaussian or Student-t coefficients with some simulated correlations. The idea behind this first type of indicators is that when the empirical distribution of the spectrum of the covariance matrix is deviating from the reference in the sense of Hellinger, then a crisis may be forthcoming. The second type of indicators is based on the study of the spectral radius and the trace of the covariance and correlation matrices as a mean to directly study the volatility and correlations inside the market. The idea behind the second type of indicators is the fact that large eigenvalues are a sign of dynamic instability.

WP 2017-13 Assessment of proxy-hedging in jet-fuel markets

Frunza Marius Cristian, Rostislav Haliplii, Dominique Guegan

The aim of this research is to explore the risk associated with hedging in jet fuel markets. It focuses on nding the most e ective proxy hedge instrument for the Singapore spot market. Due to its particularities, this market does not exhibit the same features as traditional nancial markets do. In appearance it seems very related to the oil market, but in reality it exhibits insu cient liquidity and shows unusual volatility clustering effects. This behavior has a direct impact on the hedging strategies of re neries, airline companies and jet fuel traders. The paper explores the econometric features of the jet fuel price and underlines the need of fat tail distributions and volatility clustering models. Also it examines the density forecasting capacity of various proxy hedge instruments including kerosene, crude and gasoil futures. The results show that Singapore Gasoil Futures contract is the best candidate for hedging the Singapore Jet Fuel spot price.

WP 2017-14 Non-parametric news impact curve: a variational approach

Garcin Matthieu, Clement Goulet

In this paper, we propose an innovative algorithm for modelling the news impact curve. The news impact curve provides a non-linear relation between past returns and current volatility and thus enables

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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. The technique we propose is directly inspired from noise removal techniques in signal theory. To our knowledge, this is the rst time that such a method is used for volatility modelling. Applications on simulated heteroskedastic processes as well as on nancial data show a better accuracy in estimation and forecast for this approach than for standard parametric (symmetric or asymmetric ARCH) or non-parametric (Kernel-ARCH) econometric techniques.

WP 2017-15 Institutional Ownership and Bank Capital Structure

Garel Alexandre Arthur Petit-Romec

Bank capital is arguably the main target of banking regulation and plays a critical role in enhancing financial stability. In this paper, we examine the effect of institutional ownership on bank capital structure. The results show that greater institutional ownership is associated with more bank capital (less leverage and more Tier 1 ratio). We find that this effect is robust when controlling for asset risk or accounting for the potential endogeneity of institutional ownership. Complementary tests indicate that the negative impact of institutional investors on bank leverage is mainly concentrated on non-deposit debt. Finally, disaggregating by type of institutional investors, we find that long-term investors drive the impact on bank capital, consistent with the idea that bank capital is more important for investors with longer horizon who hold their shares during financial crises.

WP 2017-16 Financial Analysts and Health and Safety Programs

Garel Alexandre Arthur Petit-Romec Christophe Moussu Steve Ohana

In response to the sharp increase in health-related costs in the U.S. over the last two decades, Health and Safety (H&S) programs have started to emerge in U.S. firms to improve employees’ health and control firms’ healthcare expenditures. These H&S programs represent valuable long-term investments for shareholders with strong positive externalities for employees and society at large. In this paper, we examine the impact of financial analysts on H&S programs. The results indicate that analyst coverage has a strong and negative impact on both the existence and the initiation of H&S programs. Complementary tests reveal that the negative impact of financial analysts on H&S programs is more pronounced for firms with a small distance between realized earnings and analysts’ benchmark earnings, and for firms with lower blockholder ownership and long-term ownership. Overall, our results are consistent with the idea that financial analysts exert excessive short-term pressure that is detrimental to H&S programs.

WP 2017-17 A macro-financial non-linear dynamical system

Giraud Gaël Kockerols Thore

Using a non-linear dynamical system approach based on Lotka- Volterra dynamics, we construct a monetary and

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model of the Euro Area

stock-flow consistent macroeconomic model for the Euro Area. The model features endogenous business cycles, variable usage rate of capital and inventories together with non-neutral money, whose creation by the banking sector is endogenous. Wages, aggregate consumption and investment are empirically estimated using a non-linear and non-Gaussian procedure. The model parameters are calibrated and estimated so as to replicate the European Commission’s forecast for the Euro Area. Long term simulations reveal a stable cycle over the mid term before a break out to one of the long-run equilibria.

WP 2017-18 A Flexible Total Variation Algorithm To Remove Additive Noise

Goulet Clement Total Variation methods are applied with success to denoising problems. These approaches recover an original signal by minimizing both its Total Variation and a closeness constraint with the true signal. Generally, the closeness constraint is a standard Mean Square Error (MSE), which may be unappropriate for asymmetric and leptokurtic noise. In this paper, we replace the MSE by the noise log-likelihood, which allows for more exibility in the noise distribution. The estimation algorithm is simple to implement and can be applied with ease to various noise distributions. We provide numerical simulations for Gaussian, Student, skewed Gaussian and skewed Student noises as well as an application in Finance.

WP 2017-19 Intra industry volatility spillovers around Earning Annoucements

Goulet Clement In this paper we propose an analysis of intra-industry volatility spillovers around Earnings Dates. Since the seminal works of Ball and Brown (1968) and of Patell and Wolfson (1978), it has been shown that Earning Announcements generate shocks on asset returns and on asset implied volatility. In this paper, we nd evidences of volatility spillovers around the Earning dates between the announcer and its co-sector rms. Following Ben Rejeb and Arfaoui (2016), we model volatility spillovers through Quantile Regressions. This approach has the advantage to distinguish the e ect of volatility shocks of the announcer, on lower and upper quantiles of the co-sector volatility distributions. We test the volatility spillover with the nature of the news, the earning surprise and on the market visibility of

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the announcer.

WP 2017-20 The deterrent effect of anti-bribery law enforcement on the quality of earnings

Greusard Olivier The paper investigates the quality of accounting information of bribe-paying firms and their competitors. We analyze a hand-collected sample of 241 enforced bribery cases under the US Foreign Corruption Practices Act (FCPA) during 1978-2015. We document that the quality of earnings of bribe-paying firms is significantly better than that of their peers in general. Exploiting the disclosure of anti-bribery law enforcements, we document a positive effect on the quality of accounting information of bribe-paying firms’ competitors, but not the bribepaying firms. Our results suggest a positive impact of anti-bribery law that incentivizes other firms to enhance their accounting information once they acknowledge a bribing behavior of a peer.

WP 2017-21 Optimal market making

Guéant Olivier Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They need indeed to propose bid and offer/ask prices in an optimal way for making money out of the difference between these two prices (their bid-ask spread). Since they seldom buy and sell simultaneously, and therefore hold long or short inventories, they also need to mitigate the risk associated with price changes, and subsequently skew their quotes dynamically. In this paper, (i) we propose a general modeling framework which generalizes (and reconciles) the various modeling approaches proposed in the literature since the publication of the seminal paper “High-frequency trading in a limit order book” by Avellaneda and Stoikov, (ii) we prove new general results on the existence and the characterization of optimal market making strategies, (iii) we obtain new closed-form approximations for the optimal quotes, (iv) we extend the modeling framework to the case of multi-asset market making, and (v) we show how the model can be used in practice in the specific (and original) case of two credit indices.

WP 2017-22 Public blockchain versus private blochain

Guégan Dominique

In this document we introduce some thinkings relative to the concept of blockchain, how it works and what are the issues for the banking system. Thus, first we recall what cryptography is, then we introduce the concept of blockchain as a protocol for transmitting information in a secure way, distinguishing two possible approaches: the decentralized public approach and the centralized private approach. The notion of cryptocurrency is introduced and two examples of applications of the public blockchains that are the bitcoin and the

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etherium are provided. There are many questions and issues. Obviously the discussions around the bitcoin are numerous and beyond the technical problems, we can list some opened questions relative to the blockchain as clock, the understanding of the attacks to 51% and the way to circumvent them, the double spending, the crashes scenarii, the transfers of assets, the smart Contracts, the regulation, ... We want to focus on the difference between the use of the public blockchain (without a third party) and what can be called the private or semi-private blockchain. There is a lot of controversy on the part of the users and the developers of the public blockchain vis--vis the private blockchain. It seems necessary to clarify these two uses and the good way will be to use different terminologies. For the moment, we keep the both terminologies. On the other hand it seems necessary to discuss all the possible approaches of the private blockchain, which range from the ”press-button” and the associated risks, to a technical and secure development, which is still in its infancy. At least the need to identify the risks associated with these approaches, identify them and propose strategies need to be developed. Of course a regulation is possible but it has to be done.

WP 2017-23 Internal model : to contributate at the quality of risk's control

Guégan Dominique and Bertrand Hassani

NA

WP 2017-24 Impact of multimodality distribution on VaR and Es calculations

Guégan Dominique, Bertrand Hassani et kehan Li

Unimodal probability distribution has been widely used for Value-at-Risk(VaR) computation by investors, risk managers and regulators. However, financial data may be characterized by distributions having more than one modes. Using a unimodal distribution may lead to bias for risk measure computation. In this paper, we discuss the in uence of using multimodal distributions on VaR and Expected Shortfall (ES) calculation. Two multimodal distribution families are considered: Cobb's family and distortion family. We provide two ways to compute the VaR and the ES for them: an adapted rejection sampling technique for Cobb's family and an inversion approach for distortion family. For empirical study, two data sets are considered: a daily data set concerning operational risk and a three month scenario of market portfolio return built with ve minutes intraday data. With a complete spectrum of con dence levels from 0001 to 0:999, we analyze the VaR and the ES to see the interest of using multimodal distribution instead of unimodal distribution.

WP 2017-25 A novel multivariate risk measure: the kendall VaR

Guégan Dominique, Matthieu Garcin et Bertrand Hassani

The definition of multivariate Value at Risk is a challenging problem, whose most common solutions are given by the lower- and upper-orthant VaRs, which are based on copulas: the lower-orthant VaR is indeed the quantile of the multivariate distribution function, whereas the upper-orthant VaR is the quantile of the

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multivariate survival function. In this paper we introduce a new approach introducing a total-order multivariate Value at Risk, referred to as the Kendall Value at Risk, which links the copula approach to an alternative de nition of multivariate quantiles, known as the quantile surface, which is not used in nance, to our knowledge. We more precisely transform the notion of orthant VaR thanks to the Kendall function so as to get a multivariate VaR with some advantageous properties compared to the standard orthant VaR: it is based on a total order and, for a non-atomic and Rd-supported density function, there is no distinction anymore between the d-dimensional VaRs based on the distribution function or on the survival function. We quantify the di erences between this new Kendall VaR and orthant VaRs. In particular, we show that the Kendall VaR is less (respectively more) conservative than the lower-orthant (resp. upper-orthant) VaR. The de nition and the properties of the Kendall VaR are illustrated using Gumbel and Clayton copulas with lognormal marginal distributions and several levels of risk.

WP 2017-26 Efficient simulation of high dimensional Gaussian vectors

Kahalé Nabil We describe a Markov chain Monte Carlo method to approximately simulate a centered d-dimensional Gaussian vector X with given covariance matrix. The standard Monte Carlo method is based on the Cholesky decomposition, which takes cubic time and has quadratic storage cost in d. In contrast, the storage cost of our algorithm is linear in d. We give a bound on the quadractic Wasserstein distance between the distribution of our sample and the target distribution. Our method can be used to estimate the expectation of h(X), where h is a real-valued function of d variables. Under certain conditions, we show that the mean square error of our method is inversely proportional to its running time. We also prove that, under suitable conditions, our method is faster than the standard Monte Carlo method by a factor nearly proportional to d. A numerical example is given.

WP 2017-27 Competition between a platform and merchants for selling services

Mariotto Carlotta, Verdier Marianne

In this paper, we study competition between a platform and merchants for selling services. In our setting, consumers can buy di¤erent versions of the same product either through a platform or directly from a merchant. The platform’s and the merchant’s selling services are di¤erentiated both on the consumers’side and on the merchants’ side. We examine whether restrictions that are imposed by plaforms to sellers such as price parity or single-homing clauses reduce consumer surplus. We show that in some cases, the platform can impose restrictions that are socially optimal.

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WP 2017-28 The Role of Merchants’Pass-Through in Payment Platform Markets

Mariotto Carlotta, Verdier Marianne

In this article, we construct a general model of a card platform that uni…es the literature on interchange fees. We enrich the existing frameworks by analyzing the choice of the interchange fee when consumer demand is elastic to prices. We show that the di¤erence between the privately set structure of payment card fees and the socially optimal one depends both on banks’ and merchants’ pass-through of their costs to consumers. We argue that merchants’pass-through of their transaction costs to consumers impacts the redistributive e¤ects of the interchange fee.

WP 2017-29 Is Bank Capital Sensitive to a Tax Allowance on Marginal Equity?

Martin-Flores, Jose Moussu, Christophe

The existence of an unequal tax treatment between debt and equity has been identified as an explanatory factor of bank leverage. We examine the impact of the introduction of a tax allowance in Italy, granted to banks (and other firms) increasing their equity from a base year. Interestingly, this mechanism was repealed after two years which allows us to test the existence of a hysteresis effect associated to bank capital. Using a difference-in-differences setting, we observe a 44 basis points increase in bank capital following the implementation of this reform and a 70 basis points decrease following its repeal. This result proofs the absence of hysteresis as bank capital decreases after the incentive is removed. We document a heterogeneous effect for large and small banks, as only smaller banks react to the tax incentive. In line with the literature, our results show that banks react to tax incentives on equity. However, our findings cast some doubt on the effectiveness that using a tax shield on marginal equity could have from financial regulation perspective.

WP 2017-30 Can Reputation replace Regulation?

Mitic Peter Recent high profile breaches of regulation by prominent financial institutions (for money laundering, conduct breaches, illegal trading etc.) suggest that self-regulation is ineffective. Intuitively, a tarnished reputation as a result of regulatory breaches is something that an organisation will want to avoid. The conjecture that such reputational damage will encourage an organisation to improve its performance appears to be unsubstantiated. Hitherto there has been no objective measure to test this conjecture, but widespread use of data mining and sentiment analysis in the past ten years has made it possible and feasible to measure reputation objectively. We demonstrate that reputational damage is not a significant deterrent against regulatory breaches by measuring reputation following regulatory breaches. Furthermore, imposing regulatory fines also appears to be no deterrent. We speculate that customers are prepared to tolerate large regulatory breaches: retail customers provided they are not affected personally, and corporate customers as long as investments do not devalue. As a result, external regulation remains

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necessary.

WP 2017-31 Conduct risk: Distribution models with very thin tails

Mitic Peter Regulatory requires dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent developments in the treatment of conduct risk (the risk of loss due to the relationship between a financial institution and its customers) have cast doubt on ‘standard’ procedures. Regulations require that operational risk losses should be aggregated by originating event. The effect is that a large number of small and medium-sized losses are aggregated into a small number of very large losses, such that a risk capital calculation produces a hugely inflated result. To solve this problem, a novel distribution based on a probability density with an exp(-x4/(2s2)) component is proposed, where s is a parameter to be estimated. Symbolic computation is used to derive the necessary analytical expressions with which to formulate the problem, and is followed by numeric calculations in R. Goodness-of-fit and parameter estimation are both determined by using a novel method developed specifically for use with probability distribution functions. The results compare favourably with an existing model that used a LogGamma Mixture density, for which it was necessary to limit the frequency and severity of the losses. No such limits were needed using the exp(-x4/2) density.

WP 2017-32 Sophisticated Bidders in Beauty-Contest Auctions

Moretti Luigi with Stefano Galavotti Paola Valbonesi

We study bidding behavior by rms in beauty-contest auctions, i.e. auctions in which the winning bid is the one which gets closest to some function (average) of all submitted bids. Using a dataset on public procurement beauty-contest auctions, we show that rms' observed bidding behavior departs from equilibrium and can be predicted by a sophistication index, which captures the rms' accumulated capacity of bidding close to optimality in the past. We show that our empirical evidence is consistent with a Cognitive Hierarchy model of bidders' behavior. We also investigate whether and how rms learn to bid strategically through experience.

WP 2017-33 ROE in Banks : Myth and Reality

Moussu Christophe Arthur Petit-Romec

Return on Equity (RoE) is a central measure of performance in the banking industry, which is used to allocate capital inside and across divisions. The reliance on this metric emerged from the risk management approach to banking which underlies bank capital regulation. Using the financial crisis, we reveal that the pre-crisis RoE has a strong impact on the destruction of value for shareholders for a sample of large banks in 28 countries. This impact is very robust to the introduction of numerous observable risk variables, the restriction

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of the sample to deposit-taking banks and alternative definitions of RoE. We document a sensitivity of bank CEO compensation to RoE. Our results strongly suggest that the reliance on RoE as a performance measure is a key incentive to excessive risk-taking in banks.

WP 2017-34 Extraterritoriality and the Enforcement of American Anti Money Laundering ("AML") Regulations in Europe: the Case of the Principality of Andorra. Conflict of Jurisdictions, Implications and Proposals for Reforms.

Perez Michel NA

WP 2017-35 Are Financial Regulators Insulated from Regulatory Capture ?

Poulain Mathilde The controversy around regulatory capture1 in financial regulation2 has started in the aftermaths of the financial crisis and is ever kept current. Numerous academics and officials highlighted the responsibility of undue influence in the failure of the prudential oversight of the financial system. In 2011, the Financial Crisis Inquiry Commission report concludes that regulatory capture created a favorable environment for the relaxation of the regulatory and supervisory pressures in the years prior to the crisis [Pagliari, 2012]. Regulatory capture is therefore especially consequential for financial policy outcomes.

WP 2017-36 Containing Systemic Risk by Taxing Banks Properly

Roe Mark J. and Tröge Michael

At the root of recurring bank crises are deeply-implanted incentives for banks and their executives to take systemically excessive risk. Since the 2008–2009 financial crisis, regulators have sought to strengthen the financial system by requiring more capital and less risk-taking, principally via command-and-control rules. Yet bankers’ baseline incentives for risk-taking remain intact. A key but underappreciated reason for banks’ excessive risk-taking is the structure of corporate taxation. Current tax rules penalize equity and boost debt, thereby undermining the capital adequacy efforts that have been central to the postcrisis reform agenda. This tax-based distortion incentivizes financial firms to undermine regulators’ capital adequacy rules, either transactionally or by lobbying for their repeal. The resulting debt-heavy structure not only renders banks fragile but also pushes them toward excessively risky strategies.

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This result is not inevitable. By repurposing tax tools used elsewhere, we show how the safety-undermining impact of the corporate tax can be reversed without affecting the overall level of tax revenue that the government raises from the financial sector. Existing studies indicate that the magnitude of the resulting safety benefit should rival the size of all the post-crisis regulation to date. Thus the main thesis we bring forward is not a small or technical claim. Standard bank regulatory style is command-and-control and, while much can be and has been accomplished with the standard style, it has its limits. And in today’s political environment, current safety rules’ continuance may not be viable, as repeal of recent regulatory advances, not their refinement, has become a serious possibility. Yet rolling back the post-crisis regulatory advances without addressing the underlying risk-taking incentives would be unwise. While our policy preference would be to supplement and not replace traditional and recent regulation with the tax reform, any major rollback makes reducing the risk-taking tax distortion more urgent than ever.

WP 2017-37 Does an increase in capital negatively impact banking liquidity creation?

Salé Laurent From a dataset composed of a panel of 940 listed banks based in European, American and Asian countries, this paper documents the evolution of bank liquidity creation over a 35-year period (1981-2015). The empirical evidence confirms that risk and equity levels play a significant and negative role. Overall, the negative effects of equity increases on bank liquidity creation are more significant than corresponding positive effects on risk management, suggesting that capital requirements imposed to support financial stability negatively affect liquidity creation. These findings have broad implications for policymakers.

WP 2017-38 The Information Content Of Ratings: Survey And Policy Implications

Salvadè Federica Policy makers and market participants debate about the role of credit ratings agencies and potential reforms to improve the industry. This article contributes to the discussion by summarizing empirical evidences on the quality of ratings information and how it is altered by competition and con icts of interest. I show that ratings in uence the market price but they have low power in forecasting defaults. Moreover, the ratings quality is currently a ected by the presence of con icts of interest.

WP 2017-39 Interbank credit and the money manufacturing process. A systemic

Biondi Yuri and Feng Zhou

Interbank lending and borrowing occur when nancial institutions seek to settle and re - nance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination

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perspective on nancial stability

mismatch on interbank credit may trigger systemic crises. This happened when, since summer 2007, interbank credit coordination did not longer work smoothly across nancial institutions, eventually requiring exceptional monetary policies by central banks, and guarantee and bailout interventions by governments. Our article develops an interacting heterogeneous agents-based model of interbank credit coordination under minimal institutions. First, we explore the link between interbank credit coordination and the money generation process. Contrary to received understanding, interbank credit has the capacity to make the monetary system unbound. Second, we develop simulation analysis on imperfect interbank credit coordination, studying impact of interbank dynamics on nancial stability and resilience at individual and aggregate levels. Systemically destabilizing forces prove to be related to the working of the banking system over time, especially interbank coordination conditions and circumstances.

WP 2017-40 Investment Horizon and Corporate Social Performance: The Virtuous Circle of Long-Term Institutional Ownership and Responsible Firm Conduct

Zhao Lei, Ioannis Oikonomou, and Chao Yin

We investigate the relationship between corporate social performance and institutional ownership. We distinguish between long-term and short-term institutional investors using holdings-based measures which directly capture the investment horizon of each institution. Our analysis shows that long term institutional investment is positively related to corporate social performance (mainly by an avoidance of investing in firms with significant controversies) whereas short-term institutional investment is negatively related to corporate social performance. Further investigation reveals that increased holdings of a firm by long-term investors are positively associated with future corporate social performance of the firm. Hence, we provide evidence of a “virtuous circle” between long term investment and social responsibility.

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Table 21 : List of working papers in 2016


Abstract

WP 2016-1

Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis

Affes Zeineb, Rania Hentati-Kaffel

Using a large panel of US banks over the period 2008-2013, this paper proposes an early-warning framework to identify bank leading to bankruptcy. We conduct a comparative analysis based on both Canonical Discriminant Analysis and Logit models to examine and to determine the most accurate of these models. Moreover, we analyze and improve suitability of models by comparing different optimal cut-off score (ROC curve vs theoretical value). The main conclusions are: i) Results vary with cut-off value of score ii) the logistic regression using 0.5 as critical cut-off value outperforms DA model with an average of correct classification equal to 96.22%. However, it produces the highest error type 1 rate 42.67% iii) ROC curve validation improves the quality of the model by minimizing the error of misclassification of bankrupt banks: only 4.42% in average and exhibiting 0% in both 2012 and 2013. Also, it emphasizes better prediction of failure of banks because it delivers in mean the highest error type II 8.43 %.

WP 2016-2

Repurchase agreements and the European sovereign debt crises: the role of European clearinghouses

Armakolla Angela, Raphael Douady, Jean-Paul Laurent, Francesco Molteni

This chapter investigates the European repo market and its role as an amplifier of tensions in the sovereign debt markets. We focus on the centrally cleared segment, representing the majority of European repos. A novel data set on repo and margin haircuts applied to sovereign bonds by central clearing counterparties (CCPs) is gathered, allowing us to assess the haircut methodologies used by the major European CCPs. We document that following increases in sovereign risk, haircuts set by major CCPs on peripheral sovereign bonds increased significantly. The procyclicality of haircuts and the concentration of bilateral repos raise concerns about the CCP-intermediated repo market as a source of systemic risk in the Eurozone. This is however mitigated by the countercyclical monetary policy of the European Central Bank (ECB).

WP 2016-3

Organizational gap and institutional change: the role of meta-organizations in public policymaking .

Berkowitz Héloïse, Souchaud Antoine

This article explores the way legislators and crowdfunding actors in France experienced, analyzed and drew conclusions from the painful setback they suffered when attempting for the first time to co-construct a set of regulations for their industry. The methodology used builds upon a body of legal literature and 31 semi-structured interviews to reconstitute the strategic sequences in this co-construction, as well as the implicit dialogues that took place between this heterogeneous set of actors. Our results show that the presence of a strong, legitimate and credible meta-organization may be necessary for the successful co-construction of industry regulations. This article helps develop the idea of an

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“organizational gap” in policy networks that can be source of institutional change. It shows the value of examining institutional change’s successes and failures at the policy network level.

WP 2016-4

Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone

Billio Monica, Lorenzo Frattarolloy, Hayette Gatfaoui, Philippe de Peretti

In this paper, we analyze the dynamic relationships between ten stock exchanges of the euro zone using Granger causal networks. Considering returns for which we allow the variance to follow a Markov-Switching GARCH or a Changing-Point GARCH process, we …rst show that over di¤erent periods, the topology of the network is highly unstable. In particular dynamic relationships vanish over very recent years. Then, expanding on this idea, we analyze patterns of information transmission within the network. Using rolling windows to study networks’topology in terms of information clustering, we …nd that the nodes’state changes continually. Moreover, the system exhibits periods of ‡ickering in information transmission. During these periods of ‡ickering, the system also exhibits desyn- chronization in the information transmission process. These periods do precede tipping points or phase transitions on the market, especially before the global …nancial crisis, and can thus be used as early warnings. To our knowledge, this is the …rst time that ‡ickering in information transmission is identi…ed on …nancial markets, and that ‡ickering is related to phase transitions.

WP 2016-5

Much ado about making money: The impact of disclosure, news and rumors over the formation of security market prices over time

Biondi Yuri, Simone Righi

This article develops an agent-based model of security market pricing process, capable to capture main stylised facts. It features collective market pricing mechanisms based upon evolving heterogenous expectations that incorporate signals of security issuer fundamental performance over time. Distinctive signaling sources on this performance correspond to institutional mechanisms of information di usion. These sources di er by duration e ect (temporary, persistent, and permanent), con dence, and di usion degree among investors over space and time. Under full and immediate di usion and balanced reaction by all the investors, the value of these sources should be consistently and timely integrated by the market price process, implying e cient pricing. By relaxing these quite heroic conditions, we assess the impact of distinctive information sources over market price dynamics, through nancial systemic properties such as market price volatility, exuberance and errancy, as well as market liquidity. Our simulation

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analysis shows that transient information shocks can have permanent e ects through mismatching reactions and self-reinforcing feedbacks, involving mispricing in both value and timing relative to the e cient market price series. This mispricing depends on both the information di usion process and the ongoing information con - dence mood among investors over space and time. We illustrate our results through paradigmatic cases of stochastic news, before generalising them to autocorrelated news. Our results are further corroborated by robustness checks over the parameter space and across several market trading mechanisms.

WP 2016-6

Accounting for Pension Flows and Funds: A case study for accounting, economics and public finances

Biondi Yuri, Marion Sierra

Accounting for pension obligations has been coevolving with political and financial economic strategies aimed to prompt and promote active financial markets and institutional investors, as well as transnational harmonisation and convergence of accounting standards between private and public sectors. In this context, our article provides a theoretical analysis of accounting for pension obligations, drawing upon a comprehensive review of existing practice and regulation. The latter are still inconsistent with the actuarial representation that has been adopted by the IPSAS 25 (Employee Benefits) and the IAS 19 (Employee Benefits). According to our frame of analysis, a variety of viable modes of pension management exists and shall be acknowledged by accounting and financial regulations. Accounting (and financial economic) concepts and regulatory recommendations are then elaborated in view to clarify and improve on pension protection, that is, the assurance of continued provision of pension payments at their agreed levels under viable alternative modes of pension management.

WP 2016-7

The Impact of Securities Transaction Tax: A Cross-Country Analysis

Capelle-Blancard Gunther

Stock trading has increased substantially during the last decades. At the world level, since the late 1980s, stock trading has grown five times faster than GDP. This trend is even more pronounced for high-income countries. For instance, in 2013, the value of trading for US equities ($50 trillion) was three times larger than the US GDP ($17 trillion), compared to one third in the late 1980s. Most of the literature in financial economics considers positively such growth of stock trading without questions, however, about its appropriate level or its drivers. This paper aims to fill this gap by seeking to identify some empirical determinants of the stock market activity. Using World Bank’s data for 44 developed countries over the period 1989-2012, I find very few significant factors explaining the total value of shares traded over GDP or market capitalization: it is positively correlated with the level of GDP per capita and with stock market volatility, but not related to any characteristics of the domestic financial system or the legal origin. I also compile data on securities transaction taxes (STT) across the world over the sample period. Contrary to common beliefs, there is no significant correlation

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between STT and trading activity on the long run.

WP 2016-8

Speculative Bubble Burst

Cho Hye-jin Central to market fundamentals are three ideas: (1) Nominal money (2) Dividend (3) Existing stock. In connection with the cumulative dividend stream criterion of fundamental and noise movement, the conception of sequentially stable Markov process is grounded on the theory of bubbles. This paper firstly embodies the origin of speculative bubble burst with overconfidence. Then, unique equilibrium with inertia is re-illuminated by the overconfidence.

WP 2016-9

Board members' media connections and access to nancing

Di Giuli Alberta, Paul A. Lauxz

Boards of directors with linkages to media rms have been found to enhance a rm's news coverage and public relations. We investigate the economic e ects of this enhanced communication by studying issuance of equity and debt securities. Media-linked board members are associated with more outside public equity and debt nancing. For equity, the main e ect is on the quantity of funds raised (i.e., an e ect at the intensive margin). For debt, the main e ect is on the ability and decision to issue bonds (i.e., an e ect at the extensive margin). The size of the e ects we uncover are economically large, with a statistical association up to an extra 15% of additional capital raised as a proportion of asset value. The e ects are strongest for rms with demonstrated needs to access outside capital and that are likely already visible to investors based on their age and size. We also nd associations with pricing, where rms with media-linked board members experience larger announcement day stock returns to equity issues and issue debt at lower yields. Further evidence suggests that the e ects are due to skill and amassed connections, not only direct e ects of current media connections. We provide evidence that these e ects are not the result of endogenous e ects using an instrumental variables method. We subject our results to a set of robustness checks. Our results are evidence that media-linkages positively influence the supply side of public securities markets.

WP 2016-10

Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign…

Garcin Matthieu Hurst exponents depict the long memory of a time series. For human-dependent phe- nomena, as in nance, this feature may vary in the time. It justi es modelling dynamics by multifractional Brownian motions, which are consistent with time-varying Hurst exponents. We improve the existing literature on estimating time-dependent Hurst exponents by propos- ing a smooth estimate obtained by variational calculus. This method is very general and not restricted to the sole Hurst framework. It is globally more accurate and easier than other existing non-parametric estimation techniques. Besides, in the eld of Hurst exponents, it makes it possible to make forecasts based on the

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estimated multifractional Brownian motion. The application to high-frequency foreign exchange markets (GBP, CHF, SEK, USD, CAD, AUD, JPY, CNY and SGD, all against EUR) shows signi cantly good forecasts. When the Hurst exponent is higher than 0.5, what depicts a long-memory feature, the accuracy is higher.

WP 2016-11

Investor Horizons and Employee Satisfaction

Garel Alexandre Arthur Petit-Romec

What determines a firm’s ability to provide a satisfying workplace to its employees? In this paper, we study the effect of the investment horizon of a firm’s investors on employee satisfaction. Since employee satisfaction is an intangible that is not immediately valued by the market but generates value over the long-run, we argue that firms with more long-term investors should be in a better position to foster employee satisfaction. Consistent with our argument, we find that long-term investor ownership is strongly associated with employee satisfaction. The effect of long-term investors on employee satisfaction appears to be causal and not driven by self-selection. In addition, we find that blockholders have a positive impact on employee satisfaction. However, the effect of investor horizons cannot be explained away by investor concentration.

WP 2016-12

Bank capital in the crisis: It’s not just how much you have but who provides it

Garel Alexandre, Arthur Petit-Romec

Bank capital is the cornerstone of bank regulation and is considered a key determinant of a bank’s ability to withstand economic shocks. In the area of bank capital regulation, the general view is that more bank capital is better, irrespective of who provides it. In this paper, we investigate whether the investment horizon of bank capital providers matters for bank performance during the recent financial crisis. We observe that banks with more short-term investor ownership have worse stock returns during the crisis. Further exploration suggests that this is partially because banks with higher short-term investor ownership took more risk prior to the crisis but mainly because they experienced higher selling pressure during the crisis. Our results confirm the economic benefit of bank capital in helping banks to perform better during crises. However, when we decompose bank capital by the nature of its providers, we show that more capital is associated with worse performance when it is provided by short-term institutional investors.

WP 2016-13

Monitoring vs Competition in the Banking Industry

Gaspar Sérgio I study whether competition between banks is a substitute or a complement for within-bank monitoring. I use the introduction of new flights reducing the travel time between a Bank Holding Company (BHC) and one of its bank subsidiaries (bank) as an exogenous shock to monitoring costs. First, I find that a new BHC-to-bank route increases the bank’s ROA performance in 5-to-6 bp (around 5% of ROA). Second, I study how the strength of this effect varies with the intensity of banking competition, as measured by the HHI for bank assets, bank loans and bank deposits, in the bank subsidiary’s state of incorporation. I find that a new BHC-to-bank route’s ROA performance impact increases by 6-to-8 bp for a one standard deviation increase in HHI. This finding is consistent with competition being a substitute for monitoring.

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WP 2016-14

Internal Communication and Performance in Banking Organizations

Gaspar Sérgio I investigate the relationship between internal communication costs and performance in banking organizations. I consider banking organizations with a Bank Holding Company (BHC) and several bank subsidiaries (bank), and study the performance impact of costs of communication between these units. I use the introduction of new airline routes that reduce travel time between two units as an exogenous variation in communication costs between these units. I find that a new BHC-to-bank route has two effects. On the one hand, it increases the subsidiary’s performance, as measured by ROA, by 12.5-to-15.4 basis points (bp) per annum (p.a.) (or 11.3%). On the other hand, it reduces the performance of other subsidiaries by 6.3-to-6.6 bp p.a. (or 5.2%). I also find that a new bank-to-bank route increases both subsidiaries’ performance by 6.4-to-7 bp p.a. (or 5.4%). The performance changes are not offset by changes in bank risk.

WP 2016-15

Adjusting to The Information Environment: News Tangibility and Mutual Fund Performance, by

Gaspar Sérgio, Oleg Chuprinin, and Massimo Massa

We study the relationship between mutual funds’ performance and shocks to the public information environment of their investments. For each stock, we distinguish between quantitative, or tangible, news (expressed with numeric characters) and qualitative news (expressed as verbal content). We find that funds that trade more actively in response to changes in the stocks’ information tangibility earn higher risk-adjusted returns. Funds that are particularly sensitive to such fluctuations have smaller managerial teams and employ managers who are more focused. Overall, our evidence suggests that public signals associated with changes in the type of available information constitute a channel of value creation in asset management.

WP 2016-16

Investigating Linkages between U.S. CDS Spreads and both Equity Market Price and Equity Market Volatility Channels: A Quantile Cointegrating Regression Approach

Gatfaoui Hayette

We investigate the behavior of aggregate U.S. CDS spreads along with the equity market trend and a well-chosen implied volatility index. We describe such robust (to spurious correlation) relationship with the quantile (cointegrating) regression approach. Such powerful econometric approach handles extreme quantiles (i.e. extreme CDS values) and their behavior relative to the equity market’s impact. Moreover, heteroskedastic patterns such as time-varying variance, but also autocorrelation, skewness and leptokurtosis are captured. Being quantiledependent, the sensitivity of aggregate CDS spreads to equity market price and volatility exhibits asymmetric responses to equity market shocks. A complementing sub-period analysis investigates potential regime shifts in estimated quantile cointegrating regressions. Quantile cointegrating coefficients vary over time and quantiles, and exhibit different magnitudes across sub-periods. But, the nature of the full sample-specific impact of equity market on CDS spreads is mostly preserved across sub-periods. As a result, the assessment of credit risk with respect to the impact of market risk and the nature of corresponding linkages differ from one quantile to another. Such methodology

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helps enhance risk management processes, among which value-atrisk (VaR) and expected shortfall. In this light, we propose a scenario analysis and risk signaling application for credit risk management prospects. Under specific risk levels, we describe credit risky situations conditional on the equity market’s impact over time, and compute related expected aggregate CDS spreads. Conditional quantiles act as credit alert triggers.

WP 2016-17

Risk Measures At Risk- Are we missing the point?

Guégan Dominique et Bertrand Hassani

This paper discusses the regulatory requirements (Basel Committee, ECB-SSM and EBA) to measure the major risks of financial institutions, for instance Market, Credit and Operational, regarding the choice of the risk measures, the choice of the distributions used to model them and the level of confidence. We highlight and illustrate the paradoxes and issues observed when implementing one approach over another, the inconsistencies between the methodologies suggested and the goals required to achieve them. We focus on the notion of sub-additivity and alternative risk measures, providing the supervisor with some commendations and risk managers with some tools to assess and manage the risks in a financial institution.

WP 2016-18

More Accurate Measurement for Enhanced Controls: VaR vs ES?

Guégan Dominique et Bertrand Hassani

This paper analyses how risks are measured in financial institutions, for instance Market, Credit, Operational, etc with respect to the choice of the risk measures, the choice of the distributions used to model them and the level of confidence selected. We discuss and illustrate the characteristics, the paradoxes and the issues observed comparing the Value-at-Risk and the Expected Shortfall in practice. This paper is built as a differential diagnosis and aims at discussing the reliability of the risk measures as long as making some recommendations.

WP 2016-19

Three stage estimation method for nonlinear multiple time series

Guégan Dominique with Giovanni de Luca and Giorgia Riviecco

We present the three-stage pseudo maximum likelihood estimation in order to reduce the computational burdens when a copula-based model is applied to multiple time-series in high dimensions. The method is applied to general stationary Markov time series, under some assumptions which include a time-invariant copula as well as marginal distributions, extending the results of Yi and Liao [2010]. We explore, via simulated and real data, the performance of the model compared to the classical vectorial autoregressive model, giving the implications of misspeci ed assumptions for margins and/or joint distribution and providing tail dependence measures of economic variables involved in the analysis.

WP 2016-20

A robust con dence interval of historical Value-at-Risk for small sample


Finiteness of sample, as one major sources of uncertainty, has been ignored by the regulators and risk managers domains such as portfolio management, credit risk modelling and nance (or insurance) regulatory capital calculations. To capture this uncertainty, we provide a robust con dence interval (CI) of historical Value-at-Risk (hV aR) for di erent

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length of sample. We compute this CI from a saddlepoint approximation of the distribution of hV aR using a bisection search approach. We also suggest a Spectral Stress Value-at-Risk measure based on the CI, as an alternative risk measure for both nancial and insurance industries. Finally we perform a stress testing application for the SSVaR.

WP 2016-21

Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure


The nancial industry has extensively used quantile-based risk measures relying on the Value-at-Risk (V aR). They need to be estimated from relevant historical data set. Consequently, they contain uncertainty. We propose an alternative quantile-based risk measure (the Spectral Stress V aR) to capture the uncertainty in the historical V aR approach. This one provides exibility to the risk manager to implement prudential regulatory framework. It can be a V aR based stressed risk measure. In the end we propose a stress testing application for it.

WP 2016-22

What drives the expansion of the peer-to-peer lending?

Havrylchyk Olena, Carlotta Mariotto, Talal Rahim, Marianne Verdier

Peer-to-peer lending platforms are online intermediaries that match lenders with borrowers. We use data from the two leading P2P consumer lending platforms, Prosper and Lending Club, to explore main drivers of their expansion in the United States. We exploit the heterogeneity in local credit markets at the county level to analyze three hypotheses for the penetration of online lenders: 1) crisis-related; 2) competition-related; and 3) innovation-related. Our findings support the crisis-related and competition-related hypothesis, as lending platforms have expended more to counties with overleveraged banks and lower density of branch network. At the same time, lending platforms have difficulty penetrating countries with high bank concentration. We also document that spatial, socio-economic and demographic characteristics determine the expansion of online lenders.

WP 2016-23

Cheap Talk and Strategic Rounding in LIBOR Submissions

Tröge Michael, Hernando-Veciana Angel

This paper constructs a model of directed search in the interbanking market and tests its empirical implications with data from the LIBOR benchmark setting process. Interbanking rates were until recently based on judgmental estimates of borrowing costs published by a panel of banks. We interpret this as a cheap talk game that allowed banks to communicate nonveri able information about their borrowing costs to potential counterparties. Under normal market conditions there is a welfare maximizing equilibrium where banks truthfully disclose their borrowing cost even if misstating cost is not penalized, but, in times of nancial stress, only "coarse" equilibria survive, in which submissions are partially revealing of the bank's true borrowing rate. We take this prediction to the data and show that, indeed, the precision of the panel banks' individual estimates is chosen strategically. Banks round more frequently if the perceived riskiness of the bank increases. Rounding is also more frequent for the more liquid short term rates and for certain benchmark maturities. We discuss the implications of our results for the design of benchmark setting mechanisms and the ongoing LIBOR lawsuits.

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WP 2016-24

Stochastic Evolution of Distributions - Applications to CDS indices

Kornprobst Antoine, with Bernis Guillaume Nicolas Brunel, and Simone Scotti

We use mixture of percentile function to model credit spread evolution, which allows to obtain a flexible description of credit index and their components at the same time. We show regularity results in order to extend mixture percentile to the dynamic case. We characterise the stochastic di erential equation of the ow of cumulative distribution function and we link it with the ordered list of the components of the credit index. The main application is to introduce a functional version of Bollinger bands. The crossing of bands by the spread is associated with a trading signal. Finally, we show the richness of the signals produced by functional Bollinger bands compared with standard one with a practical example.

WP 2016-25

Trading book and credit risk: How fundamental is the Basel review?

Laurent Jean-Paul, Michael Sestier, Stéphane Thomas

Within the new Basel regulatory framework for market risks, non-securitization credit positions in the trading book are subject to a separate default risk charge (formally incremental default risk charge). Banks using the internal model approach are required to use a two-factor model and a 99.9% VaR capital charge. This model prescription is intended to reduce risk-weighted asset variability, a known feature of internal models, and improve their comparability among financial institutions. In this paper, we analyze the theoretical foundations and relevance of these proposals. We investigate the practical implications of the two-factor and correlation calibration constraints through numerical applications. We introduce the Hoeffding decomposition of the aggregate unconditional loss to provide a systematic-idiosyncratic representation. In particular, we examine the impacts of a J -factor correlation structure on risk measures and risk factor contributions for long-only and long-short credit-sensitive portfolios.

WP 2016-26

Which Macroeconomic and Financial Factors Affect Real Estate Prices in Paris ? An International Perspective

Mellios C. and Sakka E. (2016)

WP 2016-27

CVA Capital Requirements under the new Regulation FRTB Framework: A Comparative Study

Mellios C., O. Kettani, et A. Reghai (2016)

WP 2016-28

Exploring Agencies Architecture

Poulain Mathilde This paper offers a general assessment of agencies’ governance practices in order to explain their differences. It explores sectoral and regional variations according to three dimensions: Independence, Accountability and Integrity. While Independence and Accountability have often been investigated, examining Integrity, defined as independence from the interest groups, is innovative and unprecedented. The results show that adding a measure of Integrity does not

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provide more information regarding agencies disparities because there is a generalized lack of Integrity prescriptions. Regulators seem to face challenges in accessing to sufficient industry information and knowledge. When associated with low budgetary independence, the provision of information is done to the detriment of agencies’ Independence vis-a-vis the industry. Independence and Accountability arrangements are to some extent contingent on the regulatory domain. However, the impact of regulatory domains is highly variable from one to another as only extra-national sectors seem to develop a certain harmonization of governance practices. Keywords: Agencies; Regulation; Governance; Technocrats; Regulatory Domain; Administrative Traditions

WP 2016-29

Rating announcements, CDS spread ad volatility during the European sovereign crisis

Raimbourg Philippe, F. Salvadè

This paper aims to study the effects of sovereign rating actions on CDS market from 2008 to the 2013. Is there any information transmission when a rating agency discloses its new ratings? Can a downgrading or a negative credit watch help to stabilize the CDS market? We investigate these questions by looking at the evolution of Sovereign CDS spread and volatility of European countries. For investment grade countries, we find that the downgrading and negative credit watch announcement decrease the spread volatility and stabilize the spread level. On the opposite, the downgrading of a non-investment grade country makes the spread volatility and the spread level jump. We observe the same evolution for the German CDS in case of a rating action involving another country of the Euro area.

WP 2016-30

Is Less Information Better Information? Evidence from the Credit Rating Withdrawal

Salvadè Federica

This paper examines the stock market reaction to two different types of credit rating withdrawals by Moody’s. The first type of withdrawal happens when a firm stops being rated. This happens when, for example, firms choose to no longer pay for a rating. We find that the stock market reaction depends on the information which remains available. The second type of withdrawal is due to Moody’s policy of removing issuer rating and keeping corporate family rating for the same firm. Corporate family rating is usually more favorable than issuer rating. The paper shows that the removal of the issuer rating leads to positive stock market reaction. We conclude that lower disclosure of rating information is not necessarily associated with higher cost of equity. Instead, our findings emphasize the incentive for firms to engage in ratings shopping by publishing only the most favourable ratings.

WP 2016-31

The event of credit rating withdrawal: what happened? What followed?

Salvadè Federica

WP 2016-32

Deus ex machina in the “regulatory space” of lending in France The recognition

Souchaud Antoine

Regarded by some as a “divine surprise” and others as a “dramatic inconsistency”, the creation of an exception to France’s banking monopoly on lending for all platforms adopting the new crowdfunding intermediary (Intermédiaire en Financement Participatif or IFP) status came like a bolt from the blue. However, no real explanation for this upheaval has yet been

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of crowdlending faced with the banking monopoly

offered. This paper is an attempt to understand how a regulatory breach came to appear in the banking monopoly in such a short space of time. Our main findings are as follows: - The banking monopoly on lending was a regulatory principle that, for the near unanimity of actors in the field, sorely lacked legitimacy from an intellectual point of view. - A professional organization representing crowdlending platforms presented a co-construction approach as part of the solution in the authorities’ battle against the economic crisis. - The director of one crowdlending platform emerged as a powerful institutional entrepreneur, taking on the role of a nomothete in the new regulatory incubator. - Ministerial and presidential cabinets played an unprecedented and extremely active role in this movement. - The banking monopoly’s natural supporters remained divided, ill prepared and undecided as to the positions to adopt during negotiations.

WP 2016-33

Credit risk “Beta”: the systematic aspect of bank default risk

Zhao Lei Using information in US and European bank and sovereign Credit Default Swap (CDS) spreads we study the systematic component of banks’ credit risk that stems from their common exposure to sovereign default risk. Based on a default intensity model, we propose a measure of the “multiplier” of risk transmission from a sovereign to a local bank—credit risk Beta (c-Beta). During our sample period 2008-2014, on average US banks are much less sensitive to sovereign risk than their European counterparts. Across countries within Europe, the systematic component accounts for quite different proportions of the total bank default risk. We also empirically confirm the asset holdings channel of the risk contagion theory by showing that a bank’s c-Beta estimated with our model is positively related to its holdings of sovereign debt. Our findings have policy implications with respect to financial stability.

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Table 22 : List of working papers in 2015


Abstract

WP 2015-1

Accounting for Pension Obligations in the European Union: A case study for EPSAS and transnational budgetary supervision

Biondi Yuri, Marion Boisseau-Sierra

Pension obligations constitute a critical issue for public finances and budgets. This is especially true for the European Union whose institutional mechanism aims to supervise Member States’ spending through centralised budgetary rules based upon financial covenants. In this context, accounting methods of recognition and measurement of pension obligations become an integral and critical aspect of Europe’s transnational budgetary and financial supervision. Drawing upon a comprehensive overview of pension management and regulation, this article aims to analyse the ongoing debate on accounting for pension obligations with a specific attention to the harmonization of European Public Sector Accounting Standards (EPSAS). While the European Commission has been favouring the ‘indisputable reference’ to the International Public Sector Accounting Standards (IPSAS), European Member States’ practices and views remain inconsistent with the normative solution imposed by the IPSAS 25, which favours and facilitates Definite Contribution pension schemes. In this context, we do summarise the IPSAS position mimicking the IFRS, review the pension’s accounting in national statistics and EPSAS debate, and provide some building blocks for a comprehensive model of accounting for pension obligations that admits and enables several viable modes of pension management.

WP 2015-2

Inequality, mobility and the nancial accumulation process: A computational economic analysis


Our computational economic analysis investigates the relationship between inequality, mobility and the nancial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process trough stylised return structures generating alternative evolutions of income and wealth through historical time. First we explore the limited heuristic contribution of one and two factors models comprising one single stock (capital wealth) and one single ow factor (labour) as pure drivers of income and wealth generation and allocation over time. Then we introduce heuristic modes of taxation in line with the baseline approach. Our computational economic analysis corroborates that the nancial accumulation process featuring compound returns plays a signi cant role as source of inequality, while institutional con gurations including taxation play a signi cant role in framing and shaping the aggregate economic process that evolves over socioeconomic space and time.

WP 2015-3

Inequality and the financial accumulation process: A computational economic analysis of income and wealth dynamics


Our computational economic analysis investigates the relationship between inequality and the nancial accumulation process in the study of income and wealth distributions. Extending the baseline model by Levy et al., we characterise the economic

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process trough featured return structures generating alternative stylised evolutions of income and wealth through historical time. First we explore the limited heuristic contribution of one and two factors models comprising one single stock (capital wealth) and one single ow factor (labour) as pure drivers of income and wealth generation and allocation over time. Then we introduce heuristic models of taxation and nancial market pricing in line with the baseline approach. Our computational economic analysis corroborates that the nancial accumulation process featuring compound returns plays a signi cant role as socioeconomic source of inequality, while institutional con gurations play a signi cant role in framing and shaping the aggregate economic process that evolves over socioeconomic space and time.

WP 2015-4

Economic size and debt sustainability against Piketty's "Capital Inequality"

Cho Hye-jin This article presents a methodology designed to facilitate alternative variables measuring economic growth. A capital-labor split of Cobb-Douglas function is adapted for use in the context of economic growth. A capital/income ratio and two fundamental laws of capitalism originated by Thomas Piketty illustrate capital inequality undervalued with respect to labor inequality. In addition, the article includes export and external debt as strong alternatives. Empirical data of the World Bank are analyzed to demonstrate broad differences in economic sizes. The case analysis on Latin America as an example of different sized economy is also discussed.

WP 2015-5

The Bank capital regulation (BCR) model

Cho Hye-jin The motivation of this article is to induce the bank capital management solution for banks and regulation bodies on commercial banks. The goal of the paper is intended to mitigate the risk of a banking area and also provide the right incentive for banks to support the real economy.

WP 2015-6

Economics of Regulation: Credit Rationing and Excess Liquidity

Cho Hye-jin In examining prudence of collateral, the argument is how a regulator figures out whether commercial banks want to hold excess liquidity for the precautionary aim or expect to cross the redline before debt overhang. Risky behavior in the fixed investment scale (Holmstrom and Tirole, 2013) is representable as inside liquidity in the market. This paper introduces a credit rationing model in uncertainty where the demand deposit-required reserves argument comes from. We also conduct a stylistic analysis of excess liquidity in Jordan and Lebanon from 1993 to 2015. As such, the proposed model exemplifies the combination of credit, liquidity and regulation.

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WP 2015-7

Macro Micro Model with a Post-Keynesian Perspective in the banking industry

Cho Hye-jin

WP 2015-8

Analysis of Systemic Liquidity Risk for the Banking Sector in Bosnia and Herzegovina (BH)

Cho Hye-jin, Almir Alihodžić

The purpose of this paper is to relate the Danish concept of the “Balance Principle” to test the hypotheses of systemic liquidity risk in the banking sector. In the paper, the major econometric method is to gauge the general applicability of theories of liquidity and to test the applicable validity of Bosnia and Herzegovina (BH). A prime example for this study is taken from the first quarter of 2004 to the second quarter of 2014. Our intention here is to consider the identification of macroeconomic parameters that positively affect the growth of the banking sector. The parameter liquidity, i.e. liquid assets / total assets will be observed as a dependent variable, and nonperforming loans / total loans, average profitability on equity capital, non-interest expenses / total revenue, the average required reserve, total loans, the money supply in the wider sense, net capital / risk weighted assets and net performing assets / total assets will be used as independent variables. The purpose of the paper is to determine whether there is interdependence in the movement between the independent and dependent variables through a multiple linear regression.

WP 2015-9

Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model

Guégan Dominique, Papa Ousmane Cisse et Abdou Ka Diongue

In this paper we introduce a new model called Fractionally Integrated Separable Spatial Autoregressive processes with Seasonality and denoted Seasonal FISSAR for two-dimensional spatial data. We focus our attention on the class of separable spatial models whose correlation structure can be expressed as a product of correlations. This new modelling allows taking into account the seasonality patterns observed in spatial data. We investigate the properties of this new model providing stationary conditions, some explicit expressions form of the autocovariance function and the spectral density function. We establish the asymptotic behaviour of the spectral density function near the seasonal frequencies and perform some simulations to illustrate the behaviour of the model.

WP 2015-10

Delegated Portfolio Management under Loss Aversion

Mellios C. and Lai A.

WP 2015-11

How Legislation, REIT System and Taxes Influence REITs Returns Sensitivity to Macroeconomic and Financial Factors? An International Perspective

Mellios C. and Sakka E.

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WP 2015-12

Cross-Sectional Expected European REITs Returns: Does Volatility Matter ?

Mellios C. and Sakka E.

WP 2015-13

A Sensitivity-Based Approach for CVA Valuation

Mellios C., O. Kettani, et A. Reghai

WP 2015-14

Norwegian Rhapsody? The Political Economy Benefits of Regional Integration

Moretti Luigi with Nauro F. Campos Fabrizio Coricelli

This paper investigates whether joint economic and political integration leads to larger economic benefits than just economic integration. The identification strategy rests on the fact that Norway, at the time of the 1995 Enlargement of the European Union (EU), had successfully completed negotiations and fulfilled all accession requirements, taken membership in the European Economic Area (with full access to the Single Market), but decided in a referendum to reject full-fledged EU membership. Using the differences-indifferences and synthetic control methods with regional data, we find substantial politically driven economic benefits from EU membership: if Norway had joined the EU in 1995, productivity levels between 1995 and 2001 would have been 6% higher on average.

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LabEx Research Seminar, ReFi series (2015 – 2018)

Table 23. LabEx Research Seminar, ReFi series, Fall 2017 – Spring 2018

Year Date Speaker Affiliated Institution of Guest Speaker


2018 June 1, 2018

Chendi Zhang

University of Warwick

TBA

2018 May 17 Sarah Qian Wang

University of Warwick

Credit Default Swaps and Corporate Debt Structure

2018 March 23, 2018

Guillaume Plantin

Sciences Po Paris Monetary Easing, Investment and Financial Instability

2018 March 15, 2018

Mario Bellia Goethe-Universität Frankfurt am Main

High-Frequency Market Making: Liquidity Provision, Adverse Selection, and Competition

2018 March 9, 2018

Laurent Weill University Of Strasbourg

Does High Profitability Hamper Stability for European Banks?

2018 February 9, 2018

Ariell Reshef Paris School of Economics

Wages and Human Capital in Finance: International Evidence, 1970–2011

2018 January 18, 2018

Anthony Casey

University of Chicago

The New Corporate Web: Tailored Entity Partitions and Creditors’ Selective Enforcement

2018 January 16, 2018

Jeffry Frieden

Harvard University Currency Politics: The political economy of exchange rate policy

2018 January 12, 2018

Gino Loyola Fuentes

Universidad de Chile

Optimal financing of highly innovative projects under double moral hazard

2017 December 15, 2017

Ryan Williams

University of Arizona

CEO Mobility, Performance-Turnover Sensitivity, and Compensation: Evidence from Non-Compete Contracts.

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2017 October 19, 2017

Thomas Renault

Université Paris I Panthéon-Sorbonne - Laboratoire PRISM; Catholic University of Lille - IESEG School of Management

Market Manipulation and Suspicious Stock Recommendations on Social Media

2017 September 26, 2017

Jacquelyn Humphrey

University of Queensland

Do environmental ratings capture climate limits?




2017 June 8, 2017

Mark Roe Harvard Law School

Corporate short-termism

2017 May 23, 2017

Ruediger Fahlenbrach

EPFL Swiss Finance Institute

Why does fast loan growth predict poor performance for banks?

2017 May 19, 2017

Meritt Fox Columbia Law School

Informed Trading and Its Regulation

2017 May 5, 2017

Yannick Malevergne

Université Paris 1 Panthéon Sorbonne

A model of bubbles and crashes with non-local behavioral self-referencing

2017 March 31, 2017

Clifford Holderness

Boston College “Equity Issuances and Agency Costs: The Telling Story of Shareholder Approval around the World”

2017 March 23, 2017

Takashi Shibata Tokyo University Investment timing, collateral, financing constraints

2017 March 14, 2017

Yukio Muromachi

Tokyo University Initial margin valuation adjustment made simple

2017 March 10, 2017

Christophe Pérignon

HEC Paris Pitfalls in Systemic-Risk Scoring

2017 March 3, 2017

Jennifer Arlen New York University

Does conviction matter? The reputational and collateral effects of corporate crime.

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2017 February 24, 2017

Olivier Guéant Université Paris 1 Panthéon Sorbonne

The Behavior of Dealers and Clients on the European Corporate Bond Market: the Case of Multi-Dealer-to-Client Platforms

2017 February 10, 2017

Alain Coën ESG-UQÀM, University of Quebec in Montreal

Real Estate as a Common Risk Factor in Bank Stocks

2017 February 3, 2017

Marius A. Zoican

Université Paris Dauphine

Smart' Settlement

2017 January 27, 2017

Thomas Lambert

Rotterdam School of Management, Erasmus

Lobbying on Regulatory Enforcement Actions: Evidence from Banking

2017 January 20, 2017

Laetitia Lepetit Université de Limoges

Reducing agency conflict between bank stakeholders: the role of independent-but-related directors

2017 January 13, 2017

Emmanuelle Nègre (Montpellier) et Marie-Anne Verdier (Toulouse)

Université de Montpelier

Disclosure strategies and investor reactions to downsizing announcements: a legitimacy perspective

2016 December 14, 2016

Patrick Bolton Columbia University

“Investment under Uncertainty and Financial Constraints”

2016 November 25, 2016

Eric Barthalon Allianz, Head of Capital Markets

Uncertainty, Expectations and Financial Instability

2016 November 18, 2016

Simone Sepe Arizona University The Value of the Shareholder Right

2016 October 28, 2016

Hideki Kanda Tokyo University Central Banking in Japan

2016 October 6, 2016

Anjan Thakor Washington University

Warehouse Banking

2016 September 27, 2016

Lars Norden Brazilian School of Public and Business Administration

Why banks want to be complex

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2016 May 27, 2016

Alberta Di Giuli Paul A. Laux

ESCP Europe University of Delaware - Alfred Lerner College of Business and Economics

Board Members' Media Connections and Access to Financing

2016 April 15, 2016

Anthony Bellofatto

Université Catholique de Louvain)

Are MiFID tests informative? A look at financial literacy

2016 March 11, 2016

Franklin Allen Imperial College and the Wharton School (University of Pennsylvania)

Moral hazard and Government Guarantees in the Banking Industry

2016 January 14, 2016

Martien Lamers

University of Groningen

Depositor Discipline and Bank Failure in Local Markets during the Financial Crisis

2015 December 4, 2015

Viral Acharya NYU Stern The Real Effects of the Sovereign Debt Crisis in Europe and European Central Bank Actions

2015 November 19, 2015

Oana Peia ESSEC Banking Crises, R&D Investments and Slow Recoveries

2015 October 16, 2015

Sergio Gaspar INSEAD Internal Communication and Performance in Banking Organizations

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LabEx Research Seminar, Law & Finance series (2015 – 2018)

The LabEx ReFi has launched a regular interdisciplinary seminar dedicated to Law and

Finance issues, created and organized by professors Gerard Hertig (ETH Zurich), Christophe

Moussu (ESCP Europe) and Alain Pietrancosta (Sorbonne Law School – University of Paris

1). Professors from prestigious universities are invited to discuss issues related to financial

regulation from different perspectives, namely Law and Finance. This seminar has been

designed for PhD candidates and Masters students to deepen their understanding of major

concepts and challenges related to financial regulation.

Table 26. Research Seminar, Law & Finance series, Fall 2017 – Spring 2018



2018 June 7 Ronald Gilson

Columbia/Stanford (law)

How Investor Can (and Can't) Create Social Value

2018 April 5, 2018

Bruno Frey Basel / CREMA (economics)

Happiness, Money and Law

2018 March 22 Guillaume Plantin

TSE Associate Faculty, Professor Sciences Po Paris

Marking to Market versus Taking to Market

2018 January 11 Anthony Casey

University of Chicago (law)

The New Corporate Web

2017 November 16, 2017

Sophie Vermeille

Droit & Croissance Financial Restructurings

2017 September 28, 2017

Luca Enriques

Oxford University Institutional Investors’ Voting Behavior: A Network Perspective

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March 2, 2017 Jennifer Arlen NYU (law) Corporate Criminal Liability: Theory and Evidence

March 30, 2017

Clifford Holderness

Boston College (finance)

The Allocation of Corporate Power between Shareholders and Managers

May 18, 2017 Merritt Fox Columbia (law) The New Stock Market: Sense and Nonsense

October 6, 2016

Anjan Thakor Washington University in St. Louis

Corporate Culture in Banking

October 27, 2016

Hideki Kanda, Tokyo (law)

Emeritus Professor, University of Tokyo and Professor, Gakushuin University, Japan,

« A Trust for Commercial Use in Japan: An Unexpected Winner in the Race among Organizational Forms »

November 17, 2016

Simone Sepe Arizona and TSE Commitment and Entrenchment in Corporate Governance

December 15, 2016

Patrick Bolton Columbia (finance) The End of the “Modern Corporation”: Deregulation and Ownership of Electric Utilities

http://www.ecgi.org/members_directory/member.php



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2016 May 26, 2016

Jeffrey Gordon, Columbia (law)

Columbia University Benefit-Cost Analysis in Financial Regulation

2016 March 10, 2016

Franklin Allen

Imperial College and the Wharton School (University of Pennsylvania)

Financial Connections and Systemic Risk

2015 December 3, 2015

Viral Acharya

NYU Stern Infrastructure Financing

2015 November 19, 2015

Kathryn Judge

Columbia University Shadow Banking

2015 September 17, 2015

John C. Coffee

Columbia University Hedge Fund Activism

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LabEx Research Seminar, PhD series (2015 – 2018)

Table 29. Research Seminar, PhD series, 2016 –2017



2017 May, 24 Antoine Kornbprost

Labex ReFi, Sorbonne university Paris1

Building successful systematic trading strategies based on financial crisis forecasts

2017 May, 24 Thomas Barrau


Speculative Bubble Diagnosis And Financial Crisis Prediction Using Polymodels Theory

2017 April, 26 Jose Martin Flores

Labex ReFi, ESCP Europe

Stock Market Listing and The Persistence of Bank Performance Across Crises

2017 April, 26 Clément Goulet


Intra-Industry Volatility Spillovers around Earning Announcements

2017 March, 22 Olivier Greusard

Labex ReFi, ESCP Europe

The quality of accounting information in bribe-paying firms

2017 March, 1 Shohruh Miryusupov


Particle methods in the case of free boundary problem

2017 March, 1 Aurélien Goudsmet

Sorbonne university Paris1

Explaining the Stagflation in 1978 and 2008: On the Road Followed by Macroeconomics

2017 January, 11

Angela Armakola


The European CCP ecosystem

2017 January, 11

Pierre Lescoat

Accounting and the marketization of performance, A Journey into the Lives of London’s financial-markets professionals

2016 December, 7

Fatma Rostom

UP1/ Université de Grenoble

tbc

2016 November 9

Julien Pinter UP1/ Amsterdam University

The eurozone deposit rates's puzzle : choosing the right benchmark

2016 November 9

Antoine Kornbprost


tbc

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2016 October 12

Clément Goulet


Modelling the Lead-Lag Effect through Variational Regression

2016 October 12

Shohruh Miryusupov


CVA Computation through Monte Carlo Particle

Table 30. Research Seminar, PhD series, 2015 –2016


Topic

jeudi 19 novembre 2015

Oana Peia ESSEC Banking crises, R&D investment and slow recoveries

jeudi 19 novembre 2015

Talis J. Putnins University of Sydney

Welfare Costs of Informed Trade

mercredi 12 octobre 2016

Shohruh Miryusupov LabEx RefI/ UP1 CVA Computation through Monte Carlo Particle

mercredi 12 octobre 2016

Clément Goulet LabEx ReFi/UP1 Modelling the Lead-Lag Effect through Variational Regression

mercredi 9 novembre 2016

Antoine Kornbprost LabEx ReFi/UP1 Winning Investment Strategies Based on Financial Crisis Indicators

mercredi 9 novembre 2016

Julien Pinter UP1/ Amsterdam University

The eurozone deposit rates's puzzle : choosing the right benchmark

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8. Table index

Table 1. Number of LabEx ReFi researchers (Senior and junior) ........................................................... 5

Table 2. International Advisory Board .................................................................................................... 6

Table 3. Synthetic table of publications and other research studies by LabEx ReFi Members (2011 – 2017) .................................................................................................................................... 7

Table 4. Number of publications in peer reviewed journals by rank according to HCERES list ............. 7

Table 5. Summary statistics on Research Seminar ................................................................................ 9

Table 6. Major academic conferences in the period 2015-2018 ........................................................... 10

Table 7. Major academic workshops in the period 2015-2018 ............................................................. 11

Table 8. Phd students: an overview ..................................................................................................... 12

Table 9. List of PhD students who defended their thesis in 2017 ......................................................... 12

Table 10. List of PhD students who defended their thesis in 2016 ....................................................... 13

Table 11. List of PhD students who defended their thesis in 2015 ....................................................... 14

Table 12. List of current PhD students ................................................................................................. 15

Table 13 : List of postdoctoral fellows at LabEx ReFi fro the period 2012-2017 ................................... 17

Table 14. Dissemination conferences .................................................................................................. 26

Table 17. Dissemination workshops ..................................................................................................... 27

Table 16. Breakfast debate LabEx & EIFR, Fall 2017 – Spring 2018 ................................................... 28

Table 17. Breakfast debate LabEx & EIFR, Fall 2016 – Spring 2017 ................................................... 30

Table 18. Breakfast debate LabEx & EIFR, Spring 2016...................................................................... 31

Table 19. List of publications in the peer reviewed journals listed by HCERES ................................... 34

Table 20. List of working papers in 2017 .............................................................................................. 52

Table 21 : List of working papers in 2016 ............................................................................................. 68

Table 22 : List of working papers in 2015 ............................................................................................. 79

Table 23. LabEx Research Seminar, ReFi series, Fall 2017 – Spring 2018 ......................................... 83



Table 26. Research Seminar, Law & Finance series, Fall 2017 – Spring 2018 .................................... 87



Table 29. Research Seminar, PhD series, 2016 –2017 ....................................................................... 90

Table 30. Research Seminar, PhD series, 2015 –2016 ....................................................................... 91

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This report was coordinated by

Fahmi Ben Abdelkader, Scientific coordinator of LabEx ReFi

Contact: [email protected]

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The LabEx ReFi is an excellence research laboratory dedicated to the study of regulation policies. It aims to improve the understanding of financial systems and regulations’

implications, and to provide public authorities with independent academic expertise and guidelines for action

www.labex-refi.com

Founding members of LabEx ReFi

labex refi scientific output 2015 - 2018 · finance, economics, accounting, law, management,...

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