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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An empirical analysis of systemic risk in commodity futures markets.

Commodities, Financialization, Financiarisation, Grande dimension, Graph, Graphe, High dimension, Matières premières, Risque systémique, Systemic risk

Three Essays on Systemic Risk.

Banking Regulation, Capital Réglementaire, CoVaR, Divulgation des risqueDisclosures, Institutions financières d’importance systémique, MES, Regulatory Capital, Risk Disclosure, Risque systémique, Régulation bancaire, SRISK, Systemic Risk, Systemically Important Financial Institutions,, VaR

Dynamic Large Financial Networks via Conditional Expected Shortfalls.

Expectile regression, Finance, Financial networks, Portfolio analysis, Systemic risk

Dynamic optimal control for distress large financial networks and Mean field systems with jumps.

BSDEs with jumps, Contagion de défauts, Contrôle optimal, Default contagion, EDSRs à champs moyen avec sauts, Financial networks, Graphes aléatoires, Mean field BSDEs, Optimal control, Random graphs, Risque systémique, Réseaux financiers, Systemic risk

Towards a working crop insurance market : an integrated strategy of systemic risk management.

Agriculture insurance, Assurance agricole, Assurance indicielle, Catastrophe bonds, Crop yield, Gestion du risque, Index insurance, Obligation catastrophe, Rendement, Risk management, Risque systémique, Systemic risk

Multivariate Shortfall Risk Allocation and Systemic Risk.

CCP default fund, Multivariate shortfall risk, Numerical methods, Risk allocation, Sensitivities, Systemic risk

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

Systemic Risk: a Network Approach.

Financial networks, Interconnectedness, Spillover, Systemic risk

Banking risk indicators, machine learning and one-sided concentration inequalities.

Banking Risks, Forêts d'arbres décisionnels, K-means, K-moyennes, Modèle Structurel, Random Forests, Risque systémique, Risques bancaires, Structural Model, Systemic Risk, Unimodality, Unimodalité

Systemic Risk Score: A Suggestion.

G-SIFIs, Score, Systemic risk