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.

Registration by email at seminaire-recherche-acpr@banque-france.fr 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.

 

NEXT EVENT

Tuesday 11 july 2023 at 10.30am: Eric Vansteenberghe (ACPR/DEAR) 

"Insurance Supervision under Climate Change: A Pioneers Detection MethOD"

Discussant: Arthur Charpentier (Université du Québec à Montréal - UQAM)

Please note that this seminar will take place in a hybrid mode: the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris, and will also be streamed online.

(Free) registration (for both in person or online participation) is compulsory by mail at SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr.

If you opt for online participation, the connection details will be sent to you in the following days.

 

Abstract :

This research introduces a novel supervisory tool, the Pioneers Detection Method, aimed at enhancing resilience in insurance markets dealing with the uncertainties of climate change. The paper builds on a theoretical model of an insurance market, where independent experts set premiums based on their individual risk evaluations. The segmented nature of the private insurance market hinders the understanding of the tail parameter of the loss distribution, and there's no direct way to eliminate bias, as extreme events are infrequent. The proposed supervisory tool uses temporal changes to consolidate expert opinions, pinpointing those who rapidly and accurately identify extreme climate-related events. The effectiveness of the Pioneers Detection Method is affirmed through a series of simulations, where it surpasses traditional pooling methods within a Bayesian framework. This supervisory approach also proves to be the most beneficial in improving welfare in a fragmented insurance market comprised of a few private insurance companies.

 

LASt EVENT

Wednesday 23 November 2022 at 11 pm: Théo Nicolas, Stefano Ungaro et Eric Vansteenberghe (ACPR/DEAR) 

"Public Guaranteed Loans and Bank Risk-Taking"

Discussant: Francesco Manaresi (OECD)

Please note that this seminar will take place in a hybrid mode: the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris, and will also be streamed online.

(Free) registration (for both in person or online participation) is compulsory by mail at SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr.

If you opt for online participation, the connection details will be sent to you in the following days.

 

Abstract :

We study the effect of Public Guaranteed Loans (PGLs) on bank risk-taking during the Covid-19 pandemic in France. The presence of guarantee schemes may encourage riskier lending, pushing banks to lend to riskier borrowers or worsening incentives to prevent write-offs of loan applicants.  Investigating the risk-taking channel of PGLs at the extensive margin, we find that smaller and riskier firms had a higher probability of obtaining a PGL. Yet, isolating credit demand from credit supply at the intensive margin,  we find that safer firms had higher amounts of PGLs, while banks that were more exposed to non-performing loans (NPLs) before the crisis made smaller PGLs to risky firms, thereby using the guaranteed loan program to improve their financial position and reduce exposure to NPLs. This result remains valid when looking at the total amount of outstanding credit. By examining the substitution effect of SGLs, we find that banks substituted more PGLs for unsecured loans when firms are sounder. Finally, at the bank level, we find that PGLs have no impact on the overall credit risk of banks credit portfolio.

Publication Seminars
Social media as a Bank Run Catalyst

Social media fueled a bank run on Silicon Valley Bank (SVB), and the effects were felt broadly in the U.S. banking industry. We employ comprehensive Twitter data to show that preexisting exposure to social media predicts bank stock market losses in the...

  • Published on 11/29/2023
  • FR
  • PDF (1.25 MB)
Publication Seminars
The state-dependent impact of changes in bank capital requirements

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In ...

  • Published on 10/12/2023
  • FR
  • PDF (2.74 MB)
Publication Seminars
Assessing the Impact of Basel III on European Bank Lending

The failures of the banking sector to promote sustainable lending and build substantial capital and liquidity buffers prior to the 2008 Financial Crisis addressed the rationale for implementing Basel III. In this paper, we question the fundamental role...

  • Published on 10/12/2023
  • FR
  • PDF (443.88 KB)
Publication Seminars
International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework

Under Basel III, the current international banking regulation, banks must maintain two Tier 1 capital ratios that treat risky assets differently. The Basel Committee uses the critical average risk weight (CARW) framework developed by the Bank of...

  • Published on 09/13/2023
  • FR
  • PDF (665.51 KB)
Publication Seminars
Incomplete supervisory cooperation

Banking supervisors frequently cooperate across countries, but cooperation only imperfectly covers the global operations of large banking groups. We show that this causes significant third-country externalities. Using hand-collected supervisory...

  • Published on 08/22/2023
  • FR
  • PDF (2.7 MB)
Publication Seminars
The Effect of Mandatory ESG Disclosure Around the World

We compile a novel dataset on mandatory environmental, social, and governance (ESG) disclosure around the world to analyze the stock liquidity effects of such disclosure mandates. We document a significant positive effect of ESG disclosure mandates on...

  • Published on 08/22/2023
  • FR
  • PDF (1.86 MB)
Publication Seminars
Financing and Resolving Banking Groups

We study how banks’ resolution regimes affect investment. Banking groups create financing synergies by transferring excess financing capacity across units and lowering bankers’ agency rents from monitoring. Single-point-of entry (SPOE) resolution...

  • Published on 05/16/2023
  • FR
  • PDF (774.54 KB)
Publication Seminars
Don’t Lead Me This Way: Central bank guidance at the age of climate change

Since the adoption of the Paris Agreement in 2015, climate change has been extensively acknowledged worldwide as a cause of perturbations for our economic structure, and a cause of disruption of our financial system. The increasing number of...

  • Published on 04/04/2023
  • FR
  • PDF (269.4 KB)
Publication Seminars
Green investment and asset stranding under transition scenario uncertainty

We develop a real-options approach to evaluate energy assets and potential investment projects under transition scenario uncertainty. Dynamic scenario uncertainty is modelled by assuming that the economic agent acquires the information about the...

  • Published on 02/21/2023
  • FR
  • PDF (1.86 MB)
Publication Seminars
Bank Debt, Mutual Fund Equity, and Swing Pricing in Liquidity Provision

Liquidity provision is often attributed to debt-issuing intermediaries like banks. We show that mutual funds issuing demandable equity also provide liquidity by insuring against idiosyncratic liquidity shocks. Quantitatively, the average bond fund...

  • Published on 01/12/2023
  • FR
  • PDF (873 KB)