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).
Contagion Analysis in the Banking Sector.
Canonical Correlation, Contagion, Credit Default Swaps, Default Dependence, Systemic Risk
Survival of Hedge Funds: Frailty vs Contagion.
Autoregressive Gamma Process, Contagion, Dynamic Count Model, Fonds spéculatifs, Frailty, Funding Liquidity, Hedge Fund, Liquidation Correlation, Liquidation Swap, Liquidité économie politique, Market Liquidity, Risque, Stress-tests, Systemic Risk
Contagion Analysis In The Banking Sector.
Canonical Correlation, Contagion, Credit Default Swaps, Default Dependence, Systemic Risk
Contagion in Emerging Markets.
Contagion, Contagion financière, Emerging Markets, Nouveaux pays industrialisés, Pays en voie de développement
Illiquidity Contagion and Liquidity Crashes.
Contagion, Liquidity Crashes, Liquidity spillovers, Multiple equilibria, Rational expectations
The Pecking Order of Segmentation and Liquidity-Injection Policies in a Model of Contagious Crises.
Contagion, Financial crisis, Financial stability, Fire sales, Liquidity injection, Segmentation
Contagion and financial integration during the interwar period: the example of the Paris Bourse.
Bourse de Paris, Contagion, Crises financières, Financial crises, Financial history, Financial integration, Histoire financière, Intégration financière, Paris stock exchange, Prix des actions, Stock prices
Analysis of the dynamics of the contagion phenomenon between European sovereign bonds during recent episodes of financial crises.
Aversion au risque / app?tit pour le risque, CDS spreads. sovereign bonds, CDS. obligations souveraines, Contagion, Credit risk, Crise souveraine, Default probability, Financial contagion, Probabilit? de d?faut, Risk aversion / risk appetite, Risque souverain, Sovereign crisis
Analysis and measurement of systemic risk.
Contagion, Liquidity, Liquidité, Macroprudential policy, Politique macroprudentielle, Risque systémique, Systemic risk
Tools and models for studying some spatial and networked risks: application to climate extremes and contagion in finance.
Common factor, Contagion, Diversification, Extrêmes spatiaux, Facteur commun, Générateur de précipitations, Maximum de vraisemblance simulée non paramétrique, Mesures de risque, Modèle spatio-temporel, Non parametric maximum simulated likelihood inference, Precipitation generator, Risk measures, Spatial extremes, Spatial-temporal model
Analysis and Measure of Systemic Risk.
Contagion, Liquidity, Liquidité, Macroprudential policy, Politique macroprudentielle, Risque systémique, Systemic risk
Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors.
Contagion, Correlation, Dynamic Contagion Process, Dynamic Policyholders’ Behavior, Hawkes Process, Interest Rates Dynamic, Lapse Risk, Stress Tests, Surrender