LUBOCHINSKY Catherine

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Whether they are managers, employees, business partners, lenders, or investors, default prediction is a topic of paramount importance for all actors inside or outside the company. The first chapter of this thesis proposes a model for predicting the default of French SMEs based on their financial statements. Its discriminating power, measured by an accuracy ratio of 93.46%, gives it a real potential usefulness for an internal rating system by creditors. In the same vein, the second chapter looks at the predictive value of certain so-called "unconventional" data for anticipating default. It appears that the use of a chartered accountant to validate the forecast of SMEs is a guarantee of solvency, associated with a significantly lower default rate. The last two chapters focus on modeling the default of large international firms. On such portfolios with so few defaults, specific methodologies must be used. We then present a Shadow Rating model in the third chapter. With a replication rate close to 90%, we explain and predict the external ratings of large firms based on their financial statements and their sector. Finally, the last chapter focuses on the optimization of an internal model using machine learning. Combining artificial intelligence and human judgment, the proposed approach allows us to overcome their drawbacks, respectively lack of interpretability and subjectivity, to obtain an optimized model that is understandable, explainable, and compliant with banking regulations.

We assess transmission mechanisms and the macroeconomic impact of unconventional monetary policy (UMP) in the Euro Area. We estimate a FAVAR model and use a shadow rate to measure the stance of the monetary policy. The ECB's UMP measures adopted at the zero lower bound (ZLB) have sustained the real economy. For instance, in 2016, without UMP, investment would have been lower by 9%, consumption lower by 2% and the unemployment rate higher by 0.9%. However, the impact of unconventional monetary shocks is weaker and less persistent than those emanating from conventional monetary policy. Furthermore, the difference in the transmission of monetary policies between countries of the Euro Area was more pronounced during the period 2009-2016. This suggests that the ZLB has decreased the efficiency of monetary policy and accentuated the heterogeneity of the Euro Area.

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Following the financial crisis of 2007, a set of regulations was put in place at the global level, including EMIR in Europe. Among the obligations generated by this text, there is the obligation to declare to the supervisory authority all derivative transactions traded over-the-counter. This in order to increase the transparency on these markets. The objective of my work is to demonstrate that this is not in fact the case. To do so, I explore two main axes. The first one concerns the actual reporting of transactions and the processing of this information by the regulatory authorities. For this, I exploit public data related to this issue and also the information available to me in the course of my work. The data are relatively well declared but are not or very little exploited by the supervisory authorities. The second axis is more theoretical. Information does not necessarily lead to transparency. What is important for the proper functioning of derivatives markets is the symmetry of information and trust between participants.

In this work, the impact of EMIR agreements and other international guidelines (Principles for Financial Market Infrastructures, Key Attributes of Effective Resolution Regimes for Financial Institutions) on the resilience of financial markets is studied in terms of counterparty and systemic risk. Specifically, the work focuses on the resilience of Clearing Houses (CCPs), which are at the heart of the new financial system architecture. As part of the regulatory movement from derivatives to CCPs, counterparty risk has thus been transferred from bilateral markets to CCPs. It is therefore essential today to assess the systemic risks related to this transformation of the structure of the financial markets. After describing the functioning of CCPs and their regulatory framework, the role of the European cleared repo market as a channel for amplification of systemic risk is analyzed. Repurchase agreements are financial instruments for refinancing banks, accounting for a growing share of liquidity for financial institutions in Europe. A new dataset on haircut rates applied to government bonds by CCPs is presented. Its analysis shows that haircut rates on government bonds from peripheral countries have increased significantly in response to rising sovereign risk. Enfin, the procyclicality of haircut rates and the concentration of secured transactions indicate that the repo market could be a source of systemic risk in the Eurozone. The second part focuses on the financial resilience of CCPs and their members. Since the long-term resilience of a CCP depends on the strength of its member base, the ability of member bases to pay under normal and stressed scenarios is assessed. To protect themselves against participant default, clearinghouses have developed several risk management procedures: margins, mutual guarantee funds (default fund), and recovery tools (replenishment of mutual guarantee funds, taking a fraction of margin earnings, ). The prefinanced resources, recovery tools, and assessment powers of the most important European and American CCPs are studied afin order to assess the possible exposure of their members. Loss allocation rules and the impact of new resolution regimes on contingent liquidity are also considered. The analysis shows that under a stressed scenario (Hedge 2), the quality of the member base erodes significantly, compromising the ability of members to provide contingent liquidity and maintain clearinghouse resilience. Infin, all European CCPs are scrutinized using public data. New tools have been developed . they allow comparison of the activities of European CCPs, their degree of interconnectedness, and the liquidity risk faced by a CCP in its reinvestment activities. These tools make it possible to show that, in the event of a systemic crisis, several CCPs could pose severe problems for the stability of the financial system.

Over the past six decades, China has undergone a transition from a planned to a market economy. During the same period, a profound change has taken place in the instruments and implementation of monetary policy. However, so far, China's monetary policy differs considerably from that of developed market economies. During the period of the planned economy, China adopted the single bank system and the highly centralized credit management system. These systems allowed the People's Bank of China (the PBOC) to directly control the volume of liquidity issuance and bank transfers through the liquidity plan and credit plan in order to adjust monetary aggregates. During the period of economic transition, China gradually abandoned its one-bank system. Nevertheless, the PBC was not yet a truly independent central bank, because it retained some direct financing operations to support the development of non-financial agents. Although the PRC began to use indirect levers to adjust monetary dynamics, it continued to implement direct adjustment instruments. In 1994, when China began more extensive economic reforms, a truly independent central bank system was established, which was further improved in 1998. The PBOC has exclusively performed the functions of a central bank and has implemented its monetary policy mainly through indirect adjustment instruments. However, the PBC has not completely abandoned the use of direct administrative control over credit aggregates. China's monetary authority has been gradually strengthening the control of shadow banking system activities, centralization of monetary policy and its efficiency since 2014, out of fear of rising leverage and high debt.

Faced with the instability of agricultural prices and its consequences, particularly for developing countries, the first part of this thesis is devoted to the presentation of the determinants of food commodity prices, including recent developments in terms of supply, taking into account the consequences of global warming, and of demand, considering in particular biofuels. It is also a question of presenting the ongoing financialization of economies, and the doubts that hover over the role that speculation on futures markets or the implementation of monetary policies may have on the spot prices observed on the physical markets of agricultural products. Following the reflections and elements of literature put forward, the second part proceeds from two empirical studies. The first focuses on the impact of speculation on financial futures markets on the price of the underlying (agricultural) commodities, while the second questions the role of money markets, approached through the central banker's capacity to stabilize short-term interest rates. On this basis, conclusions are drawn, as well as avenues of research, in view of the ongoing process of financialization of economies.

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The aim of this thesis is to build a model to detect phase changes - from bull to bear and vice versa - in the US listed stock market, using a relatively large number of variables both fundamental (macroeconomic and microeconomic) and derived from technical analysis.The statistical model used is static logistic regression, with a lag for the explanatory variables ranging from zero to three months. The eight most significant variables out of twenty candidates were selected from monthly S&P500 data over the period 1963-2003. The resulting model was tested over the period 2004-2013 and outperformed the Buy & Hold strategy and a univariate model using the variable with the highest detection power - the latter model having been studied in the literature. It was also shown that variables not yet considered in the literature - the six-month moving average of non-farm net job creation, the monetary base and the OECD Composite Leading Indicator - have significant detection power for our problem. On the other hand, the binary variable indicating the position of the S&P500 in relation to its moving average over the last ten months - a technical analysis type variable - has a much higher predictive power than the fundamental variables studied. Finally, the two other most statistically significant variables are macroeconomic: the spread between the 10-year T-bond and 3-month T-bill rates and the moving average of non-farm payrolls.

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The gradual disappearance of inflation fears during the era of the macroeconomic "Great Moderation" is now a thing of the past: the US financial crisis of the "Subprimes", the "Great Recession" as well as the subsequent sovereign debt crisis have led to a new economic order characterized by increased inflation volatility, increased commodity price shocks and mistrust of the creditworthiness of some sovereign issuers, to mention only three characteristics. From the reduction of inflation-indexed sovereign debt issuance to negative real rates and very long maturities, this new situation tends to jeopardize both conventional inflation-hedging strategies and purely nominal directional strategies. This thesis aims to investigate the effects of these events that have changed the macro-financial landscape and to evaluate their consequences in terms of inflation hedging, both in the asset-liability management of institutional investors and in the savings of individuals. Three alternative hedging strategies are proposed to deal with them.

Structural changes in the financial industry are numerous, protean and complex. The analysis of their consequences, particularly in terms of financial stability, is crucial. Our work focuses on one of these transformations, namely the emergence and development of financial conglomeration, which has the singularity of intertwining diversification and globalization, and which, in our opinion, has been relatively little studied. Our objective is therefore to contribute to filling this gap. We have structured our reflection around three axes: the practical understanding of financial conglomeration, its implications in terms of risk, and its implications for prudential arrangements, and more particularly for supervisory architecture. We propose to compensate for the absence of data specifically dedicated to this movement by using data related to M&A transactions. While it is impossible to state unequivocally whether these groups are more or less risky than their individual counterparts and likely to expose the financial sphere to exacerbated and/or new risks, we make explicit the elements likely to generate a higher risk profile, emphasize the importance of adopting a global perspective of the level of risk incurred and demonstrate the pernicious impact of the diversification strategy on the probability of systemic risk. Finally, we show using a Multinomial Probit that financial conglomeration is an explanatory factor along with the traditionally emphasized factors of unification of national supervisors.

In this thesis, we analyze the contribution of the options market to the informational efficiency and stability of the French equity market listed on Euronext-LIFFE for the period 1996-2006, and we propose to define to what extent the merger of Euronext with Liffe in 2002 and the macroeconomic conditions of 1996-2006 influence this contribution.The study of the introduction of options on the characteristics of stocks reveals (i) the absence of impact on both volatility and systematic risk of stocks measured by beta, (ii) a negative price effect that remains statistically insignificant in the majority of sessions, (iii) a significant increase in volume, (iv) a decrease in the price range The VAR modeling shows that the introduction of the option strengthens the adjustment of volume to stock volatility significantly only at the 10% threshold. Furthermore, the proportion of informed agents in the stock market is not higher following the introduction of options.The Log-ACD (Autoregressive Conditionnal Duration) modeling augmented by the introduction of liquidity as an explanatory variable does not detect any effect of the introduction of the option on the informational reinforcement of stocks.Furthermore, our study highlights that the objective of the options market is hedging (respectively speculation and/or arbitrage) in periods of high (respectively low) volatility. The merger of Euronext with Liffe in 2002 does not introduce any significant change in the improvement of the process of price adjustment to news. The overall result of the lack of effect of the introduction of the stock option is explained by the current volatility-based trading in France. This reduces the predictive power of options.

The research conducted proposes a contribution to the analysis of hedge fund performance in a context of financial market instability. This thesis work revolves around two axes of reflection. The first axis examines the dependence structure between alternative measures of absolute performance, highlighting the impact of the change of database and analysis period on the ranking of indices. In this context, we propose to compare the performance of five strategy indices from three different databases. The analysis is carried out over three periods: a pre-crisis period, a crisis period and an overall period. We have been able to show that the evaluation of performance and the dependence between the indicators are elements that are highly sensitive to the analysis period. Moreover, this analysis confirms that there is no "universal" index that can represent the hedge fund universe. The second line of inquiry is related to the analysis of the stability of hedge fund performance over three time horizons: the short term, the medium term and the long term. Our study shows that the persistence of hedge fund performance is not a long-term phenomenon and that the level of persistence is highly dependent on the investment strategy and the performance indicator used.

This thesis aims at highlighting the cost of carbon constraints for the power sector. First, the theoretical principles of carbon regulation are presented, as well as their application in Europe. The analysis of existing models and empirical studies highlight the preponderant role of the electricity sector in the carbon market. An original approach testing the influence of the emissions of the electricity sector on carbon prices confirms the importance of the way in which electricity producers charge for the cost of their emissions for the formation of prices. In the second part, the formation of prices specific to the electricity sector is analyzed, and in particular the principles of peak pricing. A model of resource allocation within the electricity sector is developed by integrating a constraint on emissions. This model allows for the analytical determination of the value of carbon and the parameters that determine the allocation of costs. This is followed by a discussion of the model's domain of validity, and of the central assumptions for comparison with market prices. In the third part, the model is calibrated with French and German data and the results of the model are compared with market data. The model allows the revelation of the implicit cost assumptions within the forward prices and the influence of carbon prices. The analysis of the carbon values from the simulations then allows us to understand the conditions for achieving a partial equilibrium on the two markets and to answer the question of whether it is appropriate for France to include the electricity sector in the carbon tax system.

This thesis indirectly examines the predictions of prospect theory regarding investor behavior in financial markets by treating the "disposition effect" in a dynamic framework: this "disposition effect" indicates the propensity of investors to sell winning stocks too quickly and to hold losing stocks in their portfolios too long. The reflection is organized in four steps. First, we deduce analytically and graphically the disposition effect from the prospect theory, showing that it results simultaneously from the effects of the reference point (or price) and of reflection. Second, given that the market is in constant motion, we believe that a dynamic reference price better matches the expectations of investors subject to the disposition effect. In this perspective, we develop a conceptual framework that allows for the adjustment of the reference price over time, assuming a differential perception of risk on the part of investors. Third, the notion of the mental account is introduced into the analysis in order to assess how investors evaluate their gains and losses with respect to the dynamic reference price. Finally, from a theoretical point of view, the literature suggests a close link between movements in trading volume and market volatility. By proposing different local models, we hope to have contributed to a better understanding of the determinants of volume movements in financial assets. From a practical point of view, our results could constitute an interesting avenue for investors, especially fund managers.

The issue of the efficiency of rating and the methods of regulation of this industry is only gradually established because of the multiple interactions existing between these two research axes. The reliability of rating as a whole is addressed by examining its definition, its determination process, its methodologies and its criteria, through the prism of the three dominant rating agencies. The factors that explain default risk and recovery rates are investigated from this perspective (part 1). Then, since rating has become a tool for regulating financial systems, particularly in the United States with the "NRSRO" qualification, it is appropriate to question the consequences of this movement, likely to generate adverse effects on the rating industry. Indeed, the nature of rating would be modified and barriers to entry into the rating market created, due to this employment and inadequate qualification, which does not necessarily favour the distinction of reliable and credible agencies (Part II). The lessons learned, essentially from the American experience, allow us to appreciate the problems posed by Basel II. The two proposed approaches to credit risk offer distinct characteristics in terms of predictive capacity for default. The ECAI qualification does not appear efficient. In this perspective, a regulatory scheme is put forward, intended to contribute to the reflections conducted by the supervisory authorities, based on the objective evaluation of the reliability and credibility of the rating agencies (part III).

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