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).
Extra-Financial Risk Factors and the Cost of Debt.
Bond Market, Corporate Bonds, Corporate Social Irresponsibility, Corporate Social Responsibility, Default Risk, Dette en Devise Etrangère, Dette en Devise Locale, Défault Souverains, Foreign Currency Debt, International Bonds, Irresponsabilité d'Entreprise, Local Currency Debt, Marché de Dette, Obligations Internationales, Obligations Souveraines, Obligations d'Entreprise, Responsabilité Sociale de l’Entreprise, Risque de Défault, Sovereign Bonds, Sovereign Default
Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach.
Bayesian filtering, Corporate bonds, Mid-price discovery, Requests for quotes, Sequential Monte Carlo
The Behavior of Dealers and Clients on the European Corporate Bond Market: The Case of Multi-Dealer-to-Client Platforms.
Competition among dealers, Corporate bonds, Latent reservation price, Market making, Request for quotes
Coporate Bond Valuation and Credit Spreads : Lessons from the Finacial Crisis.
Corporate bonds, Credit spread, Modélisation des risques, Obligations d'entreprise, Risk modeling, Spread de crédit