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Economic and financial debates

Working papers calling for a reflection on issues related to the economics of banking and insurance, and their regulation

Publication Economic and financial debates no. 32:
Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views

Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on post-stress solvency ratios. Our contribution is threefold....

  • Published on 12/26/2017
  • FR
  • PDF (1.7 MB)
Publication Economic and financial debates no. 31:
Does ‘Too High’ Profitability Hamper Stability for European Banks?

We investigate how high profitability influences the occurrence of bank distress in Europe. We utilize four indicators for ‘too high’ profitability, defined as the top quantiles of earnings, in logit models to explain bank distress with a hand...

  • Published on 12/26/2017
  • FR
  • PDF (1.33 MB)
Publication Economic and financial debates no. 30:
Intergenerational Risk Sharing in Life Insurance: Evidence from France

We study intergenerational risk sharing in Euro-denominated life insurance contracts. These savings ...

  • Published on 12/22/2017
  • FR
  • PDF (1.8 MB)
Publication Economic and financial debates no. 29:
Household Debt Restructuring : The Re-default Effects of Debt Suspensions

When facing financial distress, French households can file a case to a “households’ over-indebtedness commission” (HDC). The HDC can order an immediate repayment or grant a debt suspension. Exploiting the random assignment of bankruptcy filings to...

  • Published on 09/20/2017
  • FR
  • PDF (1.12 MB)
Publication Economic and financial debates no. 28:
How to reach all Basel requirements at the same time ?

We use confidential bank-level data from the BCBS’s quantitative impact studies between 2011 and 2014 to document how banks have been adjusting to Basel III solvency and liquidity requirements. We first develop a non-linear optimization model to assess...

  • Published on 06/07/2017
  • FR
  • PDF (1.27 MB)
Publication Economic and financial debates no. 27:
Traditional and Shadow Banks during the Crisis
  • Published on 05/10/2017
  • FR
  • PDF (1.39 MB)
Publication Economic and financial debates no. 26:
Back-testing European stress tests

We provide a first evaluation of the quality of banking stress tests in the European Union. We use stress tests scenarios and banks’ estimated losses to recover bank level exposures to macroeconomic factors. Once macro outcomes are realized, we predict...

  • Published on 01/06/2017
  • FR
  • PDF (488.84 KB)