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
Determinants of banks’ liquidity: a French perspective on market and regulatory ratio interactions

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...

  • Published on 12/17/2019
  • FR
  • PDF (566.08 KB)
Publication Seminars
Do Distressed Banks Really Gamble for Resurrection?
  • Published on 11/15/2019
  • FR
  • PDF (518.07 KB)
Publication Seminars
Lower capital requirements as a policy tool to support credit to SMEs :Evidence from a policy experiment

Starting in 2014 with the implementation of the European Commission Capital Requirement Directive, banks operating in the Euro area were benefiting from a 25% reduction (the Supporting Factor or "SF" hereafter) in own funds requirements...

  • Published on 11/14/2019
  • FR
  • PDF (465.26 KB)
Publication Seminars
Crisis and contagion in nancial networks: a dynamic approach

We study the dynamics of a connected banking sector where the nancial links between banks are explicitly modelled, including the liquidation procedures in the case of the failure of an individual bank. This model of banking network allows us to...

  • Published on 08/13/2019
  • FR
  • PDF (1.03 MB)
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 08/09/2019
  • FR
  • PDF (427.31 KB)
Publication Seminars
Time matters: how default resolution times impact final loss rates

Using access to a unique bank loss data base, we show positive dependencies of default resolution times (DRTs) of defaulted bank loan contracts and final loan loss rates (losses given default, LGDs). Due to this interconnection, LGD predictions made at...

  • Published on 06/05/2019
  • FR
  • PDF (312.77 KB)
Publication Seminars
Bank Concentration and Product Market Competition

This paper documents that concentration in the banking sector is associated with less competitive product market outcomes in non-financial sectors. We argue that a distinguishing feature of credit concentration is the higher incidence of competing...

  • Published on 03/08/2019
  • FR
  • PDF (501.76 KB)
Publication Seminars
Insurers as Asset Managers and Systemic Risk

Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and...

  • Published on 03/04/2019
  • FR
  • PDF (639.88 KB)
Publication Seminars
The Private Production of Safe Assets

Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CDs) issued in Europe. We find that only very short-term private securities...

  • Published on 01/24/2019
  • FR
  • PDF (1.22 MB)