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, 1st June 2022, 2.00 pm – 3.30 pm

Greg Niehaus (Darla Moore School of Business University of South Carolina) will present

“Personal Taxes, Cost of Insurer Equity Capital, and the Case of Offshore Hedge Fund Reinsurers”

Abstract : Insurance companies have large holdings of financial securities that generate returns that are taxed at both the corporate and personal levels in the U.S. If the same securities were held by a pass-through entity such as a mutual or hedge fund, the returns would be taxed only at the personal level, which implies a corporate tax disadvantage of holding assets in an insurer. There is, however, a personal tax advantage of holding some securities with an insurer. This paper examines the implications of personal taxes for an insurer’s tax cost on equity capital and how the tax costs have varied over time under different tax regimes and how they vary with different asset portfolios. The paper also discusses offshore hedge fund reinsurers, which provide an interesting case study illustrating the relevance of personal taxes.

Please note that this seminar will take place online.

To receive the invitation to the web platform, (free) registration is compulsory by mail at chaireACPR@acpr.banque-france.fr

TO CONTACT US 

Article

 

PREVIOUS EVENT

 

Wednesday, 4th May 2022, 14 pm – 15.30 pm

Andrew Ellul (Indiana university)  will present

“Loan Guarantees, Bank Lending and Credit Risk Reallocation”

Abstract : We investigate whether government credit guarantee schemes, extensively used after the onset of the Covid-19 pandemic, led to substitution of non-guaranteed with guaranteed credit rather than fully adding to the supply of lending. We study this issue using a unique euro-area credit register data, matched with supervisory bank data and establish two main findings. First, guaranteed loans were mostly extended to small but comparatively creditworthy firms in sectors severely affected by the pandemic, borrowing from large, liquid and well-capitalized banks. Second, guaranteed loans partially substitute pre-existing non-guaranteed debt. For firms borrowing from multiple banks, the substitution arises from the lending behavior of the bank extending guaranteed loans, whose drop in non-guaranteed lending is about 9 times larger than for other banks that lend to the same firm. Substitution was highest for funding granted to riskier and smaller firms in sectors more affected by the pandemic, and borrowing from larger and stronger banks. Overall, the evidence indicates that government guarantees contributed to the continued extension of credit to relatively creditworthy firms hit by the pandemic, but also benefited banks’ balance sheets to some extent.

Please note that this seminar will take place online.

To receive the invitation to the web platform, (free) registration is compulsory by mail at chaireACPR@acpr.banque-france.fr

TO CONTACT US 

Article

 

 

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)