LabEx ReFi Working Paper series – 2016

LabEx ReFi Working Paper series – 2016

Title LabEx ReFi Author Link to paper
WP 2016-1 Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis Affes Zeineb, Rania Hentati-Kaffel TBA
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 TBA
WP 2016-3 Organizational gap and institutional change: the role of meta-organizations in public policymaking . Berkowitz Héloïse, Souchaud Antoine TBA
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 TBA
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 TBA
WP 2016-6 Accounting for Pension Flows and Funds:
A case study for accounting, economics and public finances
Biondi Yuri,
Marion Sierra
TBA
WP 2016-7 The Impact of Securities Transaction Tax:
A Cross-Country Analysis
Capelle-Blancard Gunther TBA
WP 2016-8 Speculative Bubble Burst Cho Hye-jin TBA
WP 2016-9 Board members’ media connections and access to  nancing Di Giuli Alberta,
Paul A. Lauxz
TBA
WP 2016-10 Estimation of time-dependent Hurst exponents with variational smoothing and
application to forecasting foreign…
Garcin Matthieu TBA
WP 2016-11 Investor Horizons and Employee Satisfaction Garel Alexandre
Arthur Petit-Romec
TBA
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 TBA
WP 2016-13 Monitoring vs Competition
in the Banking Industry
Gaspar Sérgio TBA
WP 2016-14 Internal Communication and Performance in Banking Organizations Gaspar Sérgio TBA
WP 2016-15 Adjusting to The Information Environment: News Tangibility and Mutual Fund Performance, by Gaspar Sérgio, Oleg Chuprinin, and Massimo Massa Paper
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 TBA
WP 2016-17 Risk Measures At Risk- Are we missing the point? Guégan Dominique et Bertrand Hassani TBA
WP 2016-18 More Accurate Measurement for Enhanced Controls: VaR vs ES? Guégan Dominique et Bertrand Hassani TBA
WP 2016-19 Three stage estimation method for nonlinear multiple time series Guégan Dominique with Giovanni de Luca and Giorgia Riviecco TBA
WP 2016-20 A robust con dence interval of historical Value-at-Risk for small sample Guégan Dominique, Bertrand Hassani et kehan Li TBA
WP 2016-21 Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure Guégan Dominique, Bertrand Hassani et kehan Li TBA
WP 2016-22 What drives the expansion of the peer-to-peer lending? Havrylchyk Olena, Carlotta Mariotto, Talal Rahim, Marianne Verdier TBA
WP 2016-23 Cheap Talk and Strategic Rounding in LIBOR Submissions Tröge Michael, Hernando-Veciana Angel TBA
WP 2016-24 Stochastic Evolution of Distributions – Applications to
CDS indices
Kornprobst Antoine, with Bernis Guillaume
Nicolas Brunel,
and Simone Scotti
TBA
WP 2016-25 Trading book and credit risk: How fundamental is the Basel review? Laurent Jean-Paul, Michael Sestier, Stéphane Thomas TBA
WP 2016-26 Which Macroeconomic and Financial Factors Affect Real Estate Prices in Paris ? An International Perspective Mellios C. and Sakka E. (2016) TBA
WP 2016-27 CVA Capital Requirements under the new Regulation FRTB Framework: A Comparative Study Mellios C., O. Kettani, et A. Reghai (2016) TBA
WP 2016-28 Exploring Agencies Architecture Poulain Mathilde TBA
WP 2016-29 Rating announcements, CDS spread ad volatility during the European sovereign crisis Raimbourg Philippe,
F. Salvadè
TBA
WP 2016-30 Is Less Information Better Information? Evidence from the Credit Rating Withdrawal Salvadè Federica TBA
WP 2016-31 The event of credit rating withdrawal: what happened? What followed? Salvadè Federica TBA
WP 2016-32 Deus ex machina in the “regulatory space” of lending in France
The recognition of crowdlending faced with the banking monopoly
Souchaud Antoine TBA
WP 2016-33 Credit risk “Beta”: the systematic aspect of bank default risk Zhao Lei TBA

 

 

 

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