test_moissonnage_selune
type: Agent

Essays on Financial Crises
type: Dataset
contact point: Organization
  fn: CCSD
keyword: pricing
keyword: bulles
keyword: bubbles
keyword: shsgestionhumanities-and-social-sciencesbusiness-administration
keyword: capital
keyword: financial-network
keyword: ratios-prudentiels
keyword: theses
keyword: prudential-ratios
keyword: valorisation
keyword: contagion
keyword: interest-rates
keyword: infoeu-reposemanticsdoctoralthesis
keyword: investissement-stochastique
keyword: equity
keyword: stochastic-investment
keyword: collateral
keyword: taux-dinteret
keyword: systemic-risk
keyword: reseau-financier
keyword: risque-systemique
landing page: https://theses.hal.science/tel-00969039
description: 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 model systemic risk. Our network is composed of identically capitalized agents. The effect of a capitalization ratio is determined depending on the maximization horizon of the agents: short-term, myopic or long-term. When agents optimize their payoffs in the long-run, the capitalization ratio is fully effective and prevents systemic risk. However, when agents adopt a myopic behavior, the capitalization ratio may trade systemic risk for liquidity scarcity. Starting from a production economy, in which firms face stochastic investment opportunities, we study the impact of the interest rates on bubbles in firms' prices. Capital of firms is exclusively made of equity, but when facing an investment opportunity, firms may borrow. Precisely, firms access short-term debts, and the amount of the debt is limited to a fraction of the price of their equities. This model seems to recreate bubbles on firms' prices. Unfortunately, interest rates do not affect prices to a large extent, and we may question whether prices of firms include a bubble component, with respect to the standard definition of bubbles: the discounted sum of the incoming cash flows. This previous model is extended by allowing firms to have a permanent debt. Actually, capital of firms is composed of equity and debt. In this case, firms' prices are very sensitive to interest rates, and may be discontinuous when interest rate shocks last over the periods. This model also exhibits a purely bubbly state: prices of firms only represent capitals profits generated by debts, there is no equity.
identifier: NNT: 2013ENSL0867
issued: 2026-05-05T19:06:27.361989
language: en
modified: 2026-05-05T19:06:27.361993

Essays on Financial Crises
type: Distribution
access URL: https://theses.hal.science/tel-00969039
format: HTML
issued: 2026-05-05T19:06:27.374002
modified: 2026-05-05T19:06:27.334895