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

Thursday 25 June 2020 at 10.00am : Fabrice Borel-Mathurin (ACPR) and Julien Vedani (Milliman)

"Market-consistent valuation: a step towards calculation stability"  

Discussant: Areski Cousin (Strasbourg University)

Please note that this seminar will be taking place online.

To receive the invitation to the web platform, (free) registration is compulsory by email at SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr

Abstract :

In this paper we address some of the stability issues raised by the European life insurance regulation valuation scheme. Via an in-depth study of the so-called economic valuation framework, shaped through the market-consistency contract we first point out the practical interest of one of the El Karoui, Loisel, Prigent & Vedani (2017) propositions to enforce the stability of the cut-off dates used as inputs to calibrate actuarial models. This led us to delegitimize the argument of the no-arbitrage opportunity as a regulatory criteria to frame the valuation, and as an opposition to the previously presented approach. Then we display tools to improve the convergence of the economic value estimations be it the VIF or the SCR, using usual variance reduction methods and a specific work on the simulation seeds. Through various implementations on a specific portfolio and valuation model we decrease the variance of the estimators by over 16 times.

 

LASt 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.

Publication Seminars
On the direct and indirect real effects of credit supply shocks

We consider the real effects of bank lending shocks and how they permeate the economy through buyer-supplier linkages. We combine administrative data on all firms in Spain with a matched bank-firm-loan dataset incorporating information on the universe...

  • Published on 12/27/2018
  • FR
  • PDF (897.65 KB)
Publication Seminars
How does currency diversification explain bank leverage procyclicality ?

The amplitude of leverage procyclicality is heterogeneous across banks and across countries. This paper introduces international diversification of bank balance sheet as a factor of this observed heterogeneity, with a special emphasis on currency...

  • Published on 12/03/2018
  • FR
  • PDF (427.31 KB)
Publication Seminars
The Forced Safety Effect : How Higher Capital Requirements Can Increase Bank Lending

Government guarantees generate an implicit subsidy for banks. Even though a capital requirement reduces this subsidy, a bank may optimally respond to a higher capital requirement by increasing lending. This requires that the marginal loan generates...

  • Published on 11/22/2018
  • FR
  • PDF (1.13 MB)
Publication Seminars
Foreign Currency Bank Funding and Global Factors

The literature on the drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit...

  • Published on 10/25/2018
  • FR
  • PDF (573.08 KB)
Publication Seminars
Back to the future: backtesting systemic risk measures during historical bank runs and the great depression

We evaluate the performance of two popular systemic risk measures, CoVaR and SRISK, during eight financial panics in the era before FDIC insurance. Bank stock price and balance sheet data were not readily available for this time period. We rectify this...

  • Published on 05/23/2018
  • FR
  • PDF (2.1 MB)
Publication Seminars
Credit Growth and the Financial Crisis: A New Narrative

A broadly accepted view contends that the 2007-09 nancial crisis in the U.S.was caused by an expansion in the supply of credit to subprime borrowers during the 2001-2006 credit boom, leading to the spike in defaults and foreclosures that sparked the...

  • Published on 05/02/2018
  • FR
  • PDF (1.85 MB)
Publication Seminars
The Impact of Legal Framework on Bank Loan Portfolio: An implementation to the European Stress Test Exercise

The economic crisis put financial and banking sector on the viewfinder of regulators and policymakers across EU and more widely across the world. Indeed, the improvement of the quality of banks' balance sheet has proved crucial for economic...

  • Published on 03/07/2018
  • FR
  • PDF (548.8 KB)
Publication Seminars
How post-crisis regulation has affected bank CEO compensation

This paper assesses whether compensation practices for bank Chief Executive Officers (CEOs) changed after the Financial Stability Board (FSB) issued post-crisis guidelines on sound compensation. Banks in jurisdictions which implemented the FSB’s...

  • Published on 01/25/2018
  • FR
  • PDF (981.25 KB)
Publication Seminars
The impact of the identication of GSIBs on their business model

Most research papers dealing with systemic footprint in the banking system either investigate the definition and the measure of systemic risk, or try to identify systemic banks and to quantify the systemic risk buffers. To the best of our knowledge,...

  • Published on 01/11/2018
  • FR
  • PDF (822.34 KB)
Publication Seminars
Risk-sharing benefits and the capital structure of insurance companies

Providing risk-sharing benefits to risk-averse policy holders is a primary function of insurance companies. We model that policy holders are paying a fee over the present value of indemnifications (i.e., technical provisions) to enjoy these risksharing...

  • Published on 01/10/2018
  • FR
  • PDF (907.97 KB)