Monthly seminars "chaire ACPR"

 

The ACPR Research Initiative seminar highlights high-quality research addressing issues of regulation and systemic risk for both banks and insurance firms. 

The seminar takes place on the first Wednesday of the month from 10.00 to 11.30 in the premises of the ACPR: 4, place de Budapest, Salle Liège (rez-de-jardin) -  See access plan.  

The seminar is open to everybody. Registration by email at chaireACPR@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 Studies Department organizes independent seminars as well: the page dedicated to the ACPR research seminars is available here.

 

NEXT EVENT

Wednesday, 7th December 2022, 10.00 am – 11.30 am

Antoine Mandel (PSE-CES, Université Paris 1)  will present

“ A climate credit risk model: a structural approach ”

Abstract: We introduce a structural model to assess the climate transition risk associated to portfolios of corporate bonds and equity shares, conditioned to climate scenarios, such as those developed by the Network for Greening the Financial System (NGFS).We translate forward-looking economic trajectories developed by process-based Integrated Assessment Models into adjustments in the valuation of financial securities issued by counterparties in economic sectors that are relevant for transition risk. Importantly, we consider the composition of firm’s revenues from high and low-carbon activities and how they will be affected would specific orderly or disorderly transition scenarios materialize. The adjustment in equity share value, default probabilities, loss-given-default and expected value of the bond depends thus on the interplay between the scenario and the technological profile of the issuer. We illustrate the outcome of the methodology on a sample portfolio of securities. Our approach is science-based, transparent and replicable. It contributes to fill an existing gap in the financial literature, thus contributing to strengthen climate credit risk modelling. This, in turn, is crucial for central banks and financial supervisors, being credit ratings a relevant part of the information set for both monetary policy implementation and reserve management purposes.

Attention, the seminar will take place at 10 a.m. instead of the usual 10:30 a.m.

Please note that this seminar will take place in a hybrid mode(the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris , and will also be streamed online).

(Free) registration (for both in person or online participation) is compulsory by mail at chaireACPR@acpr.banque-france.fr

If you opt for online participation, the connection details will be sent to you in the following days

TO CONTACT US 

 

PREVIOUS EVENT

 

Wednesday, 9th November 2022, 10.30 am – 12.00 pm

Simon Mayer (HEC Paris) will present

“ The Risk of Safe Asset Creation ”

Abstract: Many financial intermediaries issue money-like, safe liabilities against risky asset holdings, effectively engaging in safe asset creation and earning convenience and safety premia. In this paper, we model safe asset creation by an intermediary with risky asset holdings, whereby the risk and safety of an intermediary's liabilities endogenously vary with its net worth. The intermediary controls safety creation both on the extensive and intensive margin, in that it can either issue few, relatively safe assets or more assets that are comparatively less safe. When net worth is high, intermediary liabilities are safe and the intermediary earns high safety premium to further grow its net worth and improve safety of its liabilities, causing a virtuous cycle. When net worth is low, intermediary liabilities become risky and their value fluctuates with shocks to assets, which reduces the intermediary's earnings and its balance sheet risk. Their riskiness reduces the safety premium of intermediary liabilities, curbs net worth growth, and dynamically reduces safety further, causing a vicious cycle. The stationary distribution of net worth is bi-modal, and features a persistent instability trap for intermediary liabilities in states of low net worth. A volatility paradox arises: The safety of intermediary liabilities might increase with the volatility of asset holdings. We then evaluate how regulation (e.g., capital requirement) affects intermediaries' safe asset creation. Our model can be used to study and to assess the risks of different types of financial intermediaries, including banks, shadow banks, or stablecoin issuers.

 

Please note that this seminar will take place in a hybrid mode(the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris , and will also be streamed online).

(Free) registration (for both in person or online participation) is compulsory by mail at chaireACPR@acpr.banque-france.fr

If you opt for online participation, the connection details will be sent to you in the following days

TO CONTACT US 

Article

 

 

 

 

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