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 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

Wednesday 15 January 2020 at 10.30am : Agostino Capponi, Paul Glasserman, and Marko Weber (Columbia University)

"Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions"   

 

Venue: ACPR – Auditorium – 4 place de Budapest 75009 Paris

Abstract :

We develop a model of the feedback between mutual fund outflows and asset illiquidity. Following a market shock, alert investors anticipate the impact on a fund's net asset value (NAV) of other investors' redemptions and exit first at favorable prices. This first-mover advantage may lead to fund failure through a cycle of falling prices and increasing redemptions. Our analysis shows that (i) the first-mover advantage introduces a nonlinear dependence between a market shock and the aggregate impact of redemptions on the fund's NAV; (ii) as a consequence, there is a critical magnitude of the shock beyond which redemptions brings down the fund; (iii) properly designed swing pricing transfers liquidation costs from the fund to redeeming investors and, by removing the nonlinearity stemming from the first-mover advantage, it reduces these costs and prevents fund failure. Achieving these objectives requires a larger swing factor at larger levels of outflows. The swing factor for one fund may also depend on policies followed by other funds.

 

LASt EVENT

Monday 9 December 2019 –  3.00 pm: Olivier de Bandt (BDF) and George Overton (ACPR)

"Why do insurers fail? A comparison of life and non-life insolvencies using a new international database"  

Discussant: Catherine Bruneau (Université Paris 1)

Venue: ACPR – Auditorium – 4 place de Budapest 75009 Paris

Abstract :

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.

Publication Seminars
Bank resolution and the structure of global banks

We study the efficient resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, is efficient but may not be implementable. First, when expected transfers...

  • Published on 12/15/2017
  • FR
  • PDF (430.5 KB)
Publication Seminars
Adverse Selection on maturity : Evidence from online Consumer

Longer loan maturity provides borrowers with insurance against future changes in the price of credit. The present paper examines whether, consistent with theories of insurance markets with private information, maturity choice leads to adverse selection...

  • Published on 11/08/2017
  • FR
  • PDF (1.44 MB)
Publication Seminars
Lending Standards Over the Credit Cycle

We analyze how rms' segmentation into credit classes aects the lending standards applied by banks to small and medium enterprises over the cycle. We exploit an institutional feature of the Italian credit market that generates a discontinuity in...

  • Published on 10/04/2017
  • FR
  • PDF (1 MB)
Publication Seminars
Why risk is so hard to measure ?

This paper analyzes the reliability of standard approaches for Financial risk analysis. We focus on the difference between value–at–risk and expected shortfall, their small sample properties, the scope for underreporting risk and how estimation can be...

  • Published on 09/13/2017
  • FR
  • PDF (247.23 KB)
Publication Seminars
The Run for Safety : Financial Fragility and Deposit Insurance

We study a run on uninsured deposits in Danish banks triggered by a reform that limited deposit insurance coverage. Using a unique dataset with information about all individual bank accounts, we show that the reform caused a 50% decrease in deposits...

  • Published on 06/07/2017
  • FR
  • PDF (1.36 MB)
Publication Seminars
Winning Connections? Lobbying and the Resolution of Failed Banks

This paper studies how lobbying activities affect the resolution of failed banks during the Great Recession. We show evidence from failed-bank auctions that lobbying increases a bidder’s probability of winning by 26.4 percentage points. The transfer to...

  • Published on 04/05/2017
  • FR
  • PDF (956.73 KB)
Publication Seminars
Regulatory reform and risk-taking : replacing ratings

We analyze a reform of insurance companies’ capital requirements for mortgage-backed securities. First, credit ratings were replaced as inputs to capital regulation. Second, the redesigned system ensures capital buffers sufficient to withstand expected...

  • Published on 03/15/2017
  • FR
  • PDF (697.42 KB)
Publication Seminars
The Impact of Supervision on Bank Performance

We introduce a novel instrument to identify exogenous variation in the intensity of supervision across U.S. bank holding companies based on the size rank of a firm within its Federal Reserve district. We demonstrate that supervisors record more hours...

  • Published on 02/01/2017
  • FR
  • PDF (665.34 KB)
Publication Seminars
What drives the expansion of the peer-to-peer lending?

Peer-to-peer lending platforms are online intermediaries that match lenders with borrowers. We use data from the two leading online lenders, Prosper and Lending Club, to explore main drivers of their expansion in the United States. We exploit the...

  • Published on 01/04/2017
  • FR
  • PDF (1.52 MB)