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

Wednesday 16 September 2020 at 10.30 am: Hans Degryse, Artashes Karapetyan (ESSEC Business School), and Sudipto Karmakar

"To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization"  

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 :

We exploit the 2011 EBA Capital Exercise, a quasi-natural experiment that required a number of banks to increase their regulatory capital but not others. This experiment makes secured lending for the affected banks more attractive vis-à-vis unsecured lending as secured loans require less regulatory capital. Using loan-level data covering the universe of bank loans in Portugal, we identify a collateral channel of capital requirements: relative to the control group, treated banks require loans to be collateralized more often after the shock. We find that the affected banks partially shield their relationship borrowers. The collateral channel also has economically relevant real effects. Treated banks reallocate funds towards sectors with greater asset tangibility. Firms and sectors borrowing to a greater degree from treated banks exhibit lower growth and tilt their investments towards tangible assets.

 

LASt 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.

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)