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

Tuesday 11 july 2023 at 10.30am: Eric Vansteenberghe (ACPR/DEAR) 

"Insurance Supervision under Climate Change: A Pioneers Detection MethOD"

Discussant: Arthur Charpentier (Université du Québec à Montréal - UQAM)

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 SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr.

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

 

Abstract :

This research introduces a novel supervisory tool, the Pioneers Detection Method, aimed at enhancing resilience in insurance markets dealing with the uncertainties of climate change. The paper builds on a theoretical model of an insurance market, where independent experts set premiums based on their individual risk evaluations. The segmented nature of the private insurance market hinders the understanding of the tail parameter of the loss distribution, and there's no direct way to eliminate bias, as extreme events are infrequent. The proposed supervisory tool uses temporal changes to consolidate expert opinions, pinpointing those who rapidly and accurately identify extreme climate-related events. The effectiveness of the Pioneers Detection Method is affirmed through a series of simulations, where it surpasses traditional pooling methods within a Bayesian framework. This supervisory approach also proves to be the most beneficial in improving welfare in a fragmented insurance market comprised of a few private insurance companies.

 

LASt EVENT

Wednesday 23 November 2022 at 11 pm: Théo Nicolas, Stefano Ungaro et Eric Vansteenberghe (ACPR/DEAR) 

"Public Guaranteed Loans and Bank Risk-Taking"

Discussant: Francesco Manaresi (OECD)

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 SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr.

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

 

Abstract :

We study the effect of Public Guaranteed Loans (PGLs) on bank risk-taking during the Covid-19 pandemic in France. The presence of guarantee schemes may encourage riskier lending, pushing banks to lend to riskier borrowers or worsening incentives to prevent write-offs of loan applicants.  Investigating the risk-taking channel of PGLs at the extensive margin, we find that smaller and riskier firms had a higher probability of obtaining a PGL. Yet, isolating credit demand from credit supply at the intensive margin,  we find that safer firms had higher amounts of PGLs, while banks that were more exposed to non-performing loans (NPLs) before the crisis made smaller PGLs to risky firms, thereby using the guaranteed loan program to improve their financial position and reduce exposure to NPLs. This result remains valid when looking at the total amount of outstanding credit. By examining the substitution effect of SGLs, we find that banks substituted more PGLs for unsecured loans when firms are sounder. Finally, at the bank level, we find that PGLs have no impact on the overall credit risk of banks credit portfolio.

Publication Seminars
Public Guaranteed Loans and Bank Risk-Taking

We study the effect of Public Guaranteed Loans (PGLs) on bank risk-taking during the Covid-19 pandemic in France. The presence of guarantee schemes may encourage riskier lending, pushing banks to lend to riskier borrowers or worsening incentives to...

  • Published on 11/15/2022
  • FR
  • PDF (1.07 MB)
Publication Seminars
Bank Market Power and Interest Rate Setting: Do Consolidated Banking Data Matter?

The literature on the effects of bank market power on access to credit has produced many results that are sometimes contradictory. Yet, this paper draws attention to a problematic aspect of traditional measures of bank market power, which are based on...

  • Published on 11/15/2022
  • FR
  • PDF (506.33 KB)
Publication Seminars
Corporate Overconfidence and Bank Lending

We study how banks lend to overconfident managers. For identification, we exploit variation in pupils' overconfidence across areas in Italy. We find that overconfident borrowers default more, pay higher loan rates and are more likely to be denied...

  • Published on 11/02/2022
  • FR
  • PDF (1.16 MB)
Publication Seminars
Cyber insurance: insurability and accumulation scenarios

With the increasing number of cyber attacks, the development of cyber insurance products are essential to the resilience of the economic fabric, and an opportunity for insurers to develop a new market. On the other hand, risk management of cyber...

  • Published on 09/15/2022
  • FR
  • PDF (907.26 KB)
Publication Seminars
Personal Taxes, Cost of Insurer Equity Capital, and the Case of Offshore Hedge Fund Reinsurers

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...

  • Published on 09/05/2022
  • FR
  • PDF (544.18 KB)
Publication Seminars
Loan Guarantees, Bank Lending and Credit Risk Reallocation

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...

  • Published on 09/05/2022
  • FR
  • PDF (1.03 MB)
Publication Seminars
Measuring Regulatory Complexity

Despite a heated debate on the perceived increasing complexity of financial regulation, a comprehensive framework to study regulatory complexity is lacking. We propose one inspired by the analysis of algorithmic complexity in computer science. We use...

  • Published on 04/26/2022
  • FR
  • PDF (2.74 MB)
Publication Seminars
The Value of “New” and “Old” Intermediation in Online Debt Crowdfunding

We study the welfare effects of the transition of online debt crowdfunding from the older “peer-to-peer” model to the “marketplace” model, where the crowdfunding platform sells diversified loan portfolios to investors. We develop an equilibrium model...

  • Published on 03/25/2022
  • FR
  • PDF (789.9 KB)
Publication Seminars
Auctions for new and undiversifiable risks

This paper explores how insurance companies can coordinate to extend their joint capacity for the coverage of new and undiversifiable risks. The undiversifiable nature of such risks causes a shortage of insurance capacity and their limited knowledge...

  • Published on 03/25/2022
  • FR
  • PDF (808.33 KB)
Publication Seminars
The Fragility of Market Risk Insurance
  • Published on 01/27/2022
  • FR
  • PDF (347.94 KB)