Séminaire mensuel de la Chaire ACPR « Régulation et Risque Systémique »

 

Le séminaire de la Chaire ACPR, organisé mensuellement, se concentre sur les questions de régulation et de risque systémique pour les banques et les organismes d’assurance. Cette page présente les éléments relatifs aux événements, passés ou à venir, ainsi que les modalités de participation.

Le séminaire de la Chaire ACPR se déroule habituellement le premier mercredi de chaque mois de 10h00 à 11h30 à l’ACPR : 4 rue de Budapest, Salle Liège (rez-de-jardin) - Voir plan d'accès.  

Le séminaire est ouvert à tous. L’inscription par mail à chaireACPR@acpr.banque-france.fr est gratuite mais obligatoire pour y assister. Si vous souhaitez être informés des prochains évènements, merci d’envoyer un mail à la même adresse.

La Direction des Études de l’ACPR organise également des séminaires indépendants : la page dédiée aux séminaires de recherche organisés par l’ACPR est accessible ici.

 

PROCHAIN ÉVÉNEMENT

 

Mercredi 7 Décembre 2022, 10h00 - 11h30  

Antoine Mandel (PSE-CES, Université Paris 1) présentera :

“ 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, ce séminaire aura lieu à 10h00 au lieu des 10h30 habituelles.

Le séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel).

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement.

- Pour nous contacter

 

 

DERNIER ÉVÉNEMENT

 

Mercredi 9 novembre 2022, 10h30 - 12h00  

Simon Mayer (HEC Paris) présentera :

“ 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.

Attention, ce séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel)

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement

- Pour nous contacter

- Article

- Compte-rendu

 

Publication Chaire ACPR régulation et risque systèmique
The Risk of Safe Asset Creation

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...

  • Publié le 28/11/2022
  • FR
  • PDF (97.96 Ko)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 02/11/2022
  • FR
  • PDF (1.16 Mo)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 15/09/2022
  • FR
  • PDF (907.26 Ko)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 05/09/2022
  • FR
  • PDF (544.18 Ko)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 20/05/2022
  • FR
  • PDF (1.03 Mo)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 26/04/2022
  • FR
  • PDF (2.74 Mo)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 25/03/2022
  • FR
  • PDF (789.9 Ko)
Publication Chaire ACPR régulation et risque systèmique
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...

  • Publié le 25/03/2022
  • FR
  • PDF (808.33 Ko)
Publication Chaire ACPR régulation et risque systèmique
Stress Testing Banks' Digital Capabilities: Evidence From the COVID-19 Pandemic

Banks' IT capabilities affect their ability to serve customers during the demand shock for digital banking services generated by the COVID-19 pandemic. Amid mobility restrictions, banks with better IT experience larger reductions in physical...

  • Publié le 10/02/2022
  • FR
  • PDF (374.11 Ko)
Publication Chaire ACPR régulation et risque systèmique
The Fragility of Market Risk Insurance
  • Publié le 27/01/2022
  • FR
  • PDF (347.94 Ko)