11 datasets found

The main subject of this thesis is the physics of spin glasses. After their introduction in the 70s in order to describe dilute magnetic alloys, spin-glass models have...

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke...

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results...

The post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator...

This thesis examines the different facets of the liquidity risk and aims to analyse their essential role in the stability of the financial system. In the theoretical...

We identify a potential bias in the methodology disclosed in July 2013 by the Basel Committee on Banking Supervision (BCBS) for identifying systemically important...

In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess...

Publié in Risks 2, 260-276 (2014). DOI : https://doi.org/10.3390/risks2030260

We analyze the dual role of currency mismatch: as a vehicle that exposes the economy to systemic risk, but also as an engine of growth. We do so at the macro and the...

Complex financial systems, such as the interbank network, can be naturally captured using a network approach. This allows to calculate contamination of defaults and to...

The aim of this thesis is to improve the management of financial risks through the employment of econometric methods. We focus on liquidity (market and funding),...