Research seminar, PhD (MBF)




The seminars Money-Banking-Finance under the Centre d’Economie de la Sorbonne (CES) covers almost all fields of Financial Economics, combining theoretical and empirical works, and focusing on  themes spanning various interrelated fields as Micro and Macro-economics, Monetary economics, Banking economics, Corporate Finance, Market Finance, and Insurance and Econometrics.

The PhD  seminar of the Finance axis (University Paris 1) and Labex ReFi gives the opportunity to PhD and Post-doc students to present their works in a friendly academic environment and benefit from constructive criticism. Each presentation is about 15/20 minutes. At each session, a buffet financed by LabEx ReFi will be provided to students. Covered fields: financial regulation, applied mathematics and computing, financial macroeconomics. If you are interested in presenting your work, or more generally your field of research, please feel free to contact Clément Goulet .

This seminar is organised at Maison des Sciences Economiques, 6th Floor 116 bd de l’hôpital, metro: Campo Formio.

PhD Students: Clément Goulet, Aurélien Goutsmedt.
Professor: Jorgen Vitting Andersen






Wednesday October 14th 12h-13h

1 – Fatma Rostom, University Paris 1, joint work with Gael Giraud (CNRS,AFD) and Olivier Vidal, Université Joseph Fourier

Title: Can the interdependence between energy and matter ressources lead to an economic collapse?


« In his last report to the Club of Rome, Ugo Bardi takes a look at the history of natural resources used by mankind, and concludes that the issue is not about the quantity of resources available, but about how to extract it. This article aims at evaluating the qualitative effects of these issues of flow of resources in a dynamic macroeconomic model in order to test whether this thesis holds water. In order to test this argument, we design a multidisciplinary model using both economic and geoscientific inputs. On the economic side, we develop an extension of the Goodwin-Keen model. This model relies on a re-interpretation of the LotkaVolterra dynamics by Goodwin describing the evolution of the employment rate and the wage ratio, enriched by Keen who added the dynamics of private debt. In this model, the production is represented by a rough Leontieff production function. The extension we propose consists in using an Input-Output approach to model production, in order to catch inter-sectoral frictions. We can therefore underline the role of the interdependence between energy and matter. The model obtained after calculation is a dynamic system of 8 differential equations, describing the evolution of the GDP, wage ratio, employment rate, debt and natural stocks through time. We perform numerical simulations in order to determine the long-run equilibria of the dynamic system, and their basin of attraction. We observe several cases where the production falls, leading to a deep crisis : the employment rate and wage ratio decrease dramatically, and the debt explodes. The Goodwin-Keen model with inter-sectoral frictions is a very interesting tool to prove the importance of considering the issue of resources in flow terms. Under certain conditions, our model confirms the conclusion of the Club of Rome in the 70’s: “if the present growth trends […] continue unchanged, the limits to growth on this planet will be reached sometime within the next one hundred years” . Our predictions are even more alarming regarding the nature of theses limits: the issue is not the lack of stock of natural resources, but LABEX ReFi, 79 Av. de la République, 75011 Paris, France Tél +33 1 49 23 57 38, 1 lies on the fact that we might not have enough resources to extract and transform resources, bringing the threat of these limits closer in time. »

2 – Kehan Lee, University Paris 1, joint work with Dominique Guégan (Université Paris and Bertrand Hassani (Bank Santander)

Title: the Spectral stress VaR?


 » One of the key lessons of the crisis which began in 2007 has been the need to strengthen the risk coverage of the capital framework. In response, the Basel Committee in July 2009 completed a number of critical reforms to the Basel II framework which will raise capital requirements for the trading book and complex securitisation exposures, a major source of losses for many international active banks. One of the reforms is to introduce a stressed value-at-risk (VaR) capital requirement based on a continuous 12-month period of significant financial stress (Basel III (2011). However the Basel framework does not specify a model to calculate the stressed VaR and leaves it up to the banks to develop an appropriate internal model to capture material risks they face. Consequently we propose a forward stress risk measure “spectral stress VaR » (SSVaR) as an implementation model of stressed VaR, by exploiting the asymptotic normality property of the distribution of estimator of V aRp. In particular to allow SSVaR incorporating the tail structure information we perform the spectral analysis to build it. Using a data set composed of operational risk factors we fit a panel of distributions to construct the SSVaR in order to stress it. Additionally we show how the SSVaR can be an indicator regarding the inner model robustness for the bank. »


Wednesday November 18th 12h-13h

1 – Mathilde Poulain, Université Paris 1, Labex REFI

Title: «The Governance of Independent Regulatory Agencies: A New Grid and a New Dataset »


« The goal of this paper is to assess the governance practices of IRAs across the world and across sectors. First, I propose a new nomenclature that describes sound governance feature according to four dimensions : independence, accountability, integrity and cooperation. I then apply this grid to 49 IRAs selected among 8 countries and 7 sectors. I formulate a set of hypotheses to test whether administrative traditions or sectoral features tend to shape IRAs’ architecture. My results show that IRAs fulfill on average half of the criteria selected as indicators of good governance practices and arrangements for integrity are the worst met. In addition, I find that both administrative traditions and sectoral features explain the variety of architecture among IRAs. Hence, IRAs belonging to Anglo-american countries or that supervise Energy, Finance and Competition better fulfill the criteria of sound governance practices than the others. »

2 – Hassan Omidi Firouzi, Labex REFI

Title «On the Estimation Methods for Risk Measurement »


« Banks can use either the internal models-based approach or the standardized approach to assess the market risk related to the trading book for future periods and report it to regulators . In this talk, we examine relevant estimation methods for computing Value at Risk (VaR) and Expected Shortfall (ES) for banks at desk level. We provide a benchmark method for estimation and study financial and statistical properties of the method. We provide numerical results for different hypothetical portfolios. »


Wednesday December 16h 12h-13h

1 –  Xiaoying Huang, University Paris 1, Labex REFI

Title : Does the impact of index flows on commodities prices involve stockpiling as a signature? An empirical investigation 


« A number of prominent authors have recently argued that any abnormal impact of speculators on commodities prices should involve stockpiling as a signature. Others contend by contrast that, due to the price inelasticity of supply and demand in commodity markets, speculation could distort commodity prices without any change in inventories. Motivated by this debate, this paper examines the impact of commodity index funds flows on commodities’ term structure for 12 US agricultural commodities, which are included in the two major commodity indexes. By using an autoregressive-lag model, we show that commodity index funds flows do not in most cases have significant impacts on commodities’ term structure. By contrast, we retrieve the short-term impacts of index flows on certain agricultural commodities’ prices already evidenced in the literature. Different robustness tests, using more exogenous index flows variables, spot and long-term futures prices, bi-monthly and monthly data, different term structure indicators, USDA inventory projections, and non-agricultural commodities, confirm our conclusions. Hence, our results suggest that stockpiling is not a necessary ‘signature’ of an abnormal impact of speculators on commodities prices.»

2 – Jose Martin Flores, ESCP Europe, Labex REFI

Title: The impact of corporate income taxes on bank capital structure: The Italian Allowance for Corporate Equity


« Using a tax reform introduced in Italy in 2011, I test whether the design of the corporate income tax system has an effect on the level of equity that banks hold. This reform that grants an additional tax deduction on the net equity increase from one year to the other implies a tax reduction rewarding companies that increase their equity. Using a difference-indifferences approach, I show that banks are reactive to this tax allowance on equity which is consistent with the findings of the developing literature on the impact of taxation on bank capital structure. »


Wednesday, January 13th , 12h-13h

1 – Antoine Kornprobst Université Paris 1

Title: TBA



2 – Papa Ousmane Cisse, Université Paris 1

Title: Statistical properties of the Seasonal Fractionally Integrated Separable Spatial Autoregressive Model




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