The Laboratory of Excellence for Financial Regulation (LabEx-ReFi) has been created as an initiative of CNAM, ENA, University Paris 1 Panthéon-Sorbonne (CES, PRISM and IRJS) and ESCP Europe (the project leader) in the context of the « Grand Emprunt ». The LabEx-ReFi is a research centre dedicated to the evaluation of regulation policies, with its main objectives being to improve the understanding of financial systems and regulations’ implications, with a view of providing public authorities with independent academic expertise and guidelines for actions. Learn more here


Research Seminar, ReFi – Yannick Malevergne – Université Paris 1 Panthéon-Sorbonne
Mai 5 @ 12 h 00 min – 13 h 30 min




Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).


Yannick Malevergne

Université Paris 1 Panthéon-Sorbonne

(CV & Bio here)


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

79 avenue de la République 75011 Paris
le vendredi 5 mai 2017
12:00 – 1:30pm, Amphi 4310
For security reason, please register before the deadline.


Deadline : 3 mai  2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at

Abstract :

Most existing models of financial bubbles and crashes, in particular the class of rational-expectation bubble models, derive the conditional expected return as being proportional to the contemporaneous crash hazard rate as a consequence of the standard risk-return relationship.  We argue that the condition matching instantaneously return and risk is unrealistic and unlikely to be true in times of exuberant bubbles and of punishing crashes. We propose a class of models in which the hazard rate of jumps is determined by a non-local estimation of mispricing. Specifically, the mispricing is captured by a function of the difference between the present and the past prices over a long time scale, typically one year or more. This specification is rooted in behavioral finance, exploiting in particular the traits of « anchoring » on past price levels and on « probability judgement » about the likelihood of a correction as a function of the amplitude of the self-referential mispricing.
The insights obtained from numerical simulations of the model and estimation on market data are threefold : (i) In addition to the standard stylized facts, rising markets are understood as transient regimes when the risk of negative jumps is under-sampled while the investors expect a sufficiently large remuneration to compensate for the risk they anticipate. This makes quantitative the adage that « markets climb a wall of worry »; (ii) Reciprocally, the model cures a major problem of most crash jump models, which are in general rejected by data because they assume that crashes occur in a single large negative jump, by describing correctly that correction regimes and crashes are also phases with a significant duration, with inter-dependence between the sequences of corrections mediated by the interplay between the price and jump hazard rate dynamics; (iii) As a bonus, the model provides robust estimates of the risk premium, event in bearish markets, which is generally hidden. Our model provides a novel understanding of the risk-return relationship resulting from the entanglement of diffusion and jump risks.
 (Past and coming events)
Research Seminar, FinTech – (Workshop) BIG DATA : ISSUE-STRATEGY-REGULATION
Mai 11 @ 17 h 00 min – 19 h 30 min

Dear firends and colleagues,

We are pleased to invite you to the first workshop organized by the group of LabEx ReFi « Fintech and Financial Regulation » on the subject of BIG DATA





Dominique Guégan (University Paris 1, Labex ReFi) and Bertrand Hassani (University Paris 1 and Santander, Labex ReFi)

MAY 11, 2017

ESCP Europe 

75013 Paris

Amphi Dalsace building 2 or 3 – 1st Floor  5 :00 p.m. – 7 :30 p.m

Bart Baesens,

Université Catholique de Louvain, Belgique

«Credit Risk Analytics: State of the Art»


Sergio Gorjón

Banco de Espana, Madrid, Spain

«Fintech as a regulatory challenge»

Alexis Renaudin

Aon, London, UK

«People Analytics – how big data techniques can be applied to the HR industry»

Round table

Dominique Guégan (University Paris 1, Labex ReFi) and Bertrand Hassani (University Paris 1 and Santander, Labex ReFi)

The Fintech and Financial Regulation group within the LabEx ReFi organizes regular seminars entitled « BIG DATA: ISSUE-STRATEGY-REGULATION » led by  D. GUEGAN (Emeritus Ptrofessor P1) and B. HASSANI (Associate Researcher P1). Three speakers coming from the academic, the regulatory and the industry will have the opportunity to present their views, then a final round table between participants and speakers will take place in order to stimulate and generate discussion around the subject. This seminar is dedicated to researchers, PhD students and financial institutions practitioners, fintechs and regulatory institutions.

Research Seminar, Law & Finance -The New Stock Market: Sense and Nonsense- Merritt Fox, Columbia (law)
Mai 18 @ 18 h 00 min – 19 h 30 min
This event is part of the ETH Zurich – Sorbonne Paris 1 – ESCP Europe
Labex ReFi – Law & Finance Seminar
Organized by Alain Pietrancosta (Sorbonne Law School – University of Paris 1), Franck Bancel (ESCP Europe) and Gerard Hertig (ETH Zurich)

Merritt Fox, Columbia Law School

(CV & Bio here)

Columbia University


The New Stock Market: Sense and Nonsense

(Consult the paper tba)
79 avenue de la République 75011 Paris
May 18, 2017
18:00-19:30, Room Percepied,
For security reason, please register before the deadline.

wednesday, May 17th 

NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at
Past and coming events of the Law & Finance Seminar



International Conference on Public Authority and Finance

Paris, September 1 and 2, 2017

The Laboratory of Excellence on Financial Regulation is pleased to announce a call for papers for its International Conference on Public Authority and Finance, to be held in Paris on September 1 and 2, 2017. This conference is being organised by: Labex ReFI (Paris). It is partnered by the 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).

Laern more here

34th Symposium on Money, Banking and Finance

Paris Ouest Nanterre La Defense, July 5th & 6th, 2017

This conference is being organised by the GdRE in partenership with Labex ReFi. It is coordinated by Jean-Bernard CHATELAIN (CES, Labex ReFi), Alexis DIRER (GDRE Co-Directors), Christophe BOUCHER, and Michel BOUTILLIER (heads of local committee).

Laern more here

Accounting, Economics and Law’ SASE Research Network Conference
University of Lyon 1 Lyon (France),
29 June – 1 July, 2017

This conference is being organised by the research unit FIAR of Labex ReFi

Laern more here


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