-
Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
International audience -
Financial Crisis and Contagion: A Dynamical Systems Approach
International audience -
Equilibrium Risk Shifting and Interest Rate in an Opaque Financial System
We analyse the risk-taking behaviour of heterogenous intermediaries that are protected by limited liability and choose both their amount of leverage and the risk... -
Systemic risk in energy derivative markets: a graph theory analysis
International audience -
Currency mismatch, systemic risk and growth in emerging Europe
We would like to thank Enrique Alberola, Joshua Aizenman, Erik Berglöf, Guillermo Calvo, Jin Han, Andrea Ichino, Jean Imbs, Maurizio Mazzocco, Joe Ostroy, Amine Ouazad... -
Spin-glass models and interdisciplinary applications
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... -
Contagion Effects in the Aftermath of Lehman's Collapse: Measuring the Collat...
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... -
Fire Sales Forensics: Measuring Endogenous Risk
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... -
An Alternative Model to Basel Regulation
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... -
Liquidity risk in the banking system
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... -
Systemic Risk Score: A Suggestion
We identify a potential bias in the methodology disclosed in July 2013 by the Basel Committee on Banking Supervision (BCBS) for identifying systemically important... -
Stress-Test Exercises and the Pricing of Very Long-Term Bonds
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... -
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Publié in Risks 2, 260-276 (2014). DOI : https://doi.org/10.3390/risks2030260 -
Currency Mismatch and Systemic Risk in Emerging Europe
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... -
Essays on Financial Crises
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... -
Illiquidity, Contagion and Systemic Risk
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),...
