Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Numerical methods and models applied to market risks and financial valuation.

Algorithme glouton, Carnet d'ordres, Equation aux dérivées partielles en grande dimension, Greedy algorithm, High dimensional partial differential equations, Limit order book, Liquidity risk, Market microstructure, Microstructure de marché, Risque de liquidité

The role of financial institutions : limits and perspectives.

Apprentissage, Blockchain, Central clearing, Compensation centrale, Financial institutions, Institutions financières, Learning, Liquidity risk, Payment network, Risque de liquidité, Réseau de paiement

Optimal asset allocation subject to withdrawal risk and solvency constraints.

Asset allocation, Asset-liability management, Liquidity risk, Utility maximization, Withdrawal risk

Gauging Liquidity Risk in Emerging Market Bond Index Funds.

Bond markets, Correlations, Dynamic Correlation, Economic statistics, Emerging Markets, Investment risk, Liquidity, Liquidity Risk Management, Liquidity risk, Liquids, Portfolio diversification, Regime Switching Models Index funds, Sovereign Debt Market

Bivariate integer-autoregressive process with an application to mutual fund flows.

C53, Compound autoregressive process, JEL code C32, Liquidity risk, Memory persis- tence, Memory persistence, Multivariate low event count process, Mutual funds, Mutual funds MSC code 62-15, Non-Linear forecasting, Non-linear forecasting

Financial market failures and public intervention.

Biens publics, Crises financières, Défaillances de marché, Financial crisis, Lender of last resort, Liquidity risk, Market failures, Maturity transformation, Primes de risque, Prêteur en dernier ressort, Public goods, Risk premium, Risque de liquidité, Transformation de maturité

An assessment of CCP resilience under the new regulatory framework using public data.

Actions, Bonds, Counterparty risk, Derivatives products, Liquidity risk, Loss allocation, Obligations, Pensions livrées, Produits dérivées, Repurchase agreement, Risque de contrepartie, Risque de liquidité, Risque systémique, Répartition des pertes, Shares, Systemic risk

Optimal equity infusions in interbank networks.

Financial contagion, Liquidity risk, Markov decision process, Rollover risk, Systemic risk

Essays on bank network characteristics : implications for bank capital and liquidity regulation and for monetary policy.

Basel III, Bâle III, Capital buffer, Interbank network topology, Liquidity risk, Risque de liquidité, Stock de capital, Topologie du réseau interbancaire

Do banks differently set their liquidity ratios based on their network characteristics?

Basel III, Financial Crisis, Interbank network topology, Liquidity risk

Regime switching in bond yield and spread dynamics.

Changements de régime, Compound auto-regressive process, Credit risk, Liquidity risk, Monetary policy, Politique monétaire, Processus composé auto-régressif, Regime switching, Risque de crédit, Risque de liquidité, Structure par terme des taux d’intérêt, Term structure of interest rates, Yield spreads, Écarts de taux d’intérêt

Regime switching in bond yield and spread dynamics.

Changements de régime, Compound auto-regressive process, Credit risk, Liquidity risk, Monetary policy, Politique monétaire, Processus composé auto-régressif, Regime switching, Risque de crédit, Risque de liquidité, Structure par terme des taux d’intérêt, Term structure of interest rates, Yield spreads, Écarts de taux d’intérêt