ACPR research seminars
The ACPR Studies Department organizes a series of academic seminars where invited or ACPR-affiliated researchers present their work on regulatory or financial risk issues. The seminars are open to everyone.
The seminar takes place in the premises of the ACPR, 4, place de Budapest, Salle Liège (rez-de-jardin) (see access plan)
Registration by email at email@example.com is free but compulsory in order to attend. If you wish to be informed of upcoming events, please send an email to the same address.
The ACPR also hosts the monthly seminars of the ACPR research Initiative: the page dedicated to the ACPR seminars is available here.
Monday 9 December 2019 – 3.00 pm: Olivier de Bandt (BDF) and George Overton (ACPR)
Discussant: Catherine Bruneau (Université Paris 1)
Venue: ACPR – Auditorium – 4 place de Budapest 75009 Paris
Plantin and Rochet (2007) document how insurers often engage in risk-shifting years before the materialization of a failure. This paper empirically examines this claim by testing the mechanisms of insurance insolvency, using a first-of-its-kind international database assembled by the authors which merges data on balance sheet and income statements together with information on impairments over the last 30 years. Employing different fixed effects logistic specifications and parametric survival models, the paper presents evidence, on top of the role of profitability as a leading indicator of failures, of the intrinsic asymmetries between the life and non-life insurance sectors. In the life sector, asset mix is highly significant in predicting an impairment, while operating efficiency plays no role. In the non-life sector, the opposite proves true.
Thursday 19 september 2019 at 2:30pm : Olivier de Bandt (BDF), Sandrine Lecarpentier (ACPR) and Cyril Pouvelle (ACPR)
Discutant : Laura Valderrama (Fonds Monétaire International)
Lieu : ACPR – Auditorium – 4 place de Budapest 75009 Paris
The objective of the paper is to investigate how banks adjust the structure of their balance sheet as a response to a funding shock and to propose a methodology for projecting banks’ liquidity ratios in a top-down stress test scenario. In line with a theoretical model assessing the effects of capital and liquidity constraints on banks’ behaviour, we estimate the joint system of banks’ solvency and liquidity ratios, using for proxy of the latter, the "liquidity coefficient" implemented in France before Basel III. We provide evidence of a positive effect of the solvency ratio on the liquidity coefficient: a high level of solvency enables the liquidity coefficient to improve due to a more stable funding structure. By contrast, we do not find firm evidence of an impact of the liquidity coefficient on the solvency ratio. We also show that financial variables capturing international markets’ risk aversion and tensions in the interbank market have a significant impact during periods of stress only, confirming the evidence of strong interactions between market liquidity and bank funding liquidity during crisis periods.