Publications des institutions partenaires
Credit default swaps networks and systemic risk
Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be…
Institution partenaire
English / 01/11/2014
Funding decisions and entrepreneurial team diversity: A field study
This study provides experimental evidence, using a large sample of 2894 individuals recruited via business media websites, about the impact of demographic attributes within entrepreneurial teams on funding decisions by external capital providers. In previous work the role of diversity with regard to personal characteristics within entrepreneurial teams, such as education, gender and…
Institution partenaire
English / 01/11/2014
Are Bankers Worth Their Pay? Evidence from a Talent Measure
We empirically test the hypothesis that relatively high returns to talent explain the wage premium for working in finance. We exploit a specificity of the French educational system to build a precise measure of talent that we match with compensation data obtained from an educational elite. Using this measure, we show wage returns to talent to be three times higher in the finance…
Institution partenaire
English / 17/09/2014
Unbanked Households: Evidence of Supply-Side Factors
This paper provides evidence that supply-side factors significantly drive the high share of unbanked households. Using interstate branching deregulation in the U.S. after 1994 as an exogenous shock, we show that an increase in bank competition is associated with a large drop in the share of unbanked households. The effect is even stronger for populations that are more likely to be…
Institution partenaire
English / 15/09/2014
Law-invariant risk measures: extension properties and qualitative robustness
We characterize when a convex risk measure associated to a law-invariant acceptance set in L$^∞$ can be extended to L$^p$, 1≤p<∞, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation…
Institution partenaire
English / 06/09/2014
Beware of black swans: Taking stock of the description-experience gap in decision under uncertainty
Uncertainty pervades most aspects of life. From selecting a new technology to choosing a career, decision makers rarely know in advance the exact outcomes of their decisions. Whereas the consequences of decisions in standard decision theory are explicitly described (the decision from description (DFD) paradigm), the consequences of decisions in the recent decision from experience (…
Institution partenaire
English / 01/09/2014
Fast methods for large-scale non-elliptical portfolio optimization
Simple, fast methods for modeling the portfolio distribution corresponding to a non-elliptical, leptokurtic, asymmetric, and conditionally heteroskedastic set of asset returns are entertained. Portfolio optimization via simulation is demonstrated, and its benefits are discussed. An augmented mixture of normals model is shown to be superior to both standard (no short selling)…
Institution partenaire
English / 01/09/2014
The executive turnover risk premium
CEO compensation has increased substantially over the past 15 years, but so has forced turnover. Motivated by this observation, we investigate whether part of the development of CEO pay can be explained by a premium which compensates CEOs for increased job risk. We find that for the CEOs of the largest US corporations, a one percentage point increase in turnover risk is, on average,…
Institution partenaire
English / 01/08/2014
Experimental comparison between markets on dynamic permit trading and investment in irreversible abatement with and without non-regulated companies
Institution partenaire
English / 01/08/2014
Can system dynamics learn from social network analysis?
This article deals with the analysis of large or complex system dynamics (SD) models, exploring the benefits of a multimethodological approach to model analysis. We compare model analysis results from SD and social network analysis (SNA) by deploying SNA techniques on a pertinent example from the SD literature—the world dynamics model. Although SNA is a clearly distinct method from…
Institution partenaire
English / 24/07/2014
When is a Risky Asset "Urgently Needed"?
The demand for commodities in standard applications typically is increasing in in- come, whereas the demand for the risk free asset in the classic portfolio problem often decreases with income. The latter is shown to occur if and only if the consumer is uncertainty preferences over assets satisfy the condition that the risk free asset is more readily substituted for the risky asset…
Institution partenaire
English / 01/07/2014
Informal ties in organizations : a case study
Network techniques are applied to a case study. The results show that using a joint approach can help in giving further insight into the analysis of informal ties in an organization. Special emphasis is given to centrality. The concept of mutual awareness, both on an individual and a global levels, is introduced and illustrated.
Institution partenaire
English / 01/07/2014
A fast, accurate method for value-at-risk and expected shortfall
A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually…
Institution partenaire
English / 25/06/2014
Expected utility preferences for contingent claims and lotteries
In Arrow’s seminal analysis of optimal risk bearing in which he introduced contingent claim securities, he assumed preferences were representable by a state independent Expected Utility function. Although the classic contingent claim setting assumes agents choose over contingent consumption vectors conditioned on a fixed set of probabilities, later work on information economics…
Institution partenaire
English / 22/06/2014
How moral are the principles of biomedical ethics?
Background: The principles of biomedical ethics – autonomy, non-maleficence, beneficence, and justice – are of paradigmatic importance for framing ethical problems in medicine and for teaching ethics to medical students and professionals. In order to underline this significance, Tom L. Beauchamp and James F. Childress base the principles in the common morality, i.e. they claim that…
Institution partenaire
English / 17/06/2014
Ambiguity aversion in standard and extended Ellsberg frameworks: alpha-maxmin versus maxmin preferences
Institution partenaire
English / 10/06/2014
Liquidity creation in the nineteenth century: The role of the clearing houses
This working paper reports the preliminary results of an effort to analyse under what conditions liquidity can be created in an historic context setting. Starting point is the notion made by Dang, Gorton, and Holmstrom (2012) that symmetric ignorance can create liquidity in money markets under certain circumstances. The authors take as an example the New York clearing house (NYCH)…
Institution partenaire
English / 01/06/2014
The information content of option demand
This paper combines the concept of market sidedness with excess option demand (changes in open interest) to solve the empirical challenge of separating directional from uninformed trading motives in widely available, unsigned options data. Our measure of options market sidedness persistently predicts the sign and strength of stock returns. Trading strategies conditional on the…
Institution partenaire
English / 04/05/2014
Volatility information in index option demand
This paper provides evidence that demand for equity index options has predictive power for
future volatility beyond current and lagged volatility in publicly available data. The predictive power increases prior to macroeconomic announcements and exhibits a positive relation with investor uncertainty about macroeconomic news. Straddle positions that trade on the volatility…
Institution partenaire
English / 03/05/2014
Tail risk, capital requirements and the internal agency problem in banks
This paper shows how to design incentive-based capital requirements that would prevent the bank from manufacturing tail risk. In the model, the senior bank manager may have incentives to engage in tail risk. Bank shareholders can prevent the manager from taking on tail risk via the optimal incentive compensation contract. To induce shareholders to implement this contract, capital…
Institution partenaire
English / 22/04/2014
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