Séminaire mensuel de la Chaire ACPR « Régulation et Risques Systémiques »

 

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 1 février 2023, 10h - 11h30 

Peter Tankov (ENSAE) présentera

« Green investment and asset stranding under transition scenario uncertainty »

Abstract: We develop a real-options approach to evaluate energy assets and potential investment projects under transition scenario uncertainty. Dynamic scenario uncertainty is modelled by assuming that the economic agent acquires the information about the scenario progressively by observing a signal. The problem of valuing an investment is formulated as an American option pricing problem, where the optimal exercise time corresponds to the time of entering into a potential investment project or the time of selling a potentially stranded asset. To illustrate our approach, we apply representative scenarios from integrated assessment models to the examples of a coal-fired power plant without Carbon Capture and Storage (CCS) and potential investment into a biomass power plant with CCS.

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

 

DERNIER ÉVÉNEMENT

 

Mercredi 4 Janvier 2022, 15h - 16h30  

Yiming Ma (Columbia Business school) présentera

« Bank Debt, Mutual Fund Equity, and Swing Pricing in Liquidity Provision »

Abstract: Liquidity provision is often attributed to debt-issuing intermediaries like banks. We show that mutual funds issuing demandable equity also provide liquidity by insuring against idiosyncratic liquidity shocks. Quantitatively, the average bond fund provides 5.08 cents of liquidity per dollar, which is economically significant at one-fifth of that of banks. We find that fund liquidity provision is further improved by 6.7% when equity values incorporate the liquidation cost from redemptions, as in swing pricing. This is because swing pricing increases funds' capacity for holding illiquid assets without inducing panic runs.

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

 

Publication Chaire ACPR régulation et risque systèmique
Bank resolution and the structure of global banks

We study the efficient resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, is efficient but may not be implementable. First, when expected transfers...

  • Publié le 15/12/2017
  • FR
  • PDF (430.5 Ko)
Publication Chaire ACPR régulation et risque systèmique
Adverse Selection on maturity : Evidence from online Consumer

Longer loan maturity provides borrowers with insurance against future changes in the price of credit. The present paper examines whether, consistent with theories of insurance markets with private information, maturity choice leads to adverse selection...

  • Publié le 08/11/2017
  • FR
  • PDF (1.44 Mo)
Publication Chaire ACPR régulation et risque systèmique
Lending Standards Over the Credit Cycle

We analyze how rms' segmentation into credit classes a ects the lending standards applied by banks to small and medium enterprises over the cycle. We exploit an institutional feature of the Italian credit market that generates a discontinuity in...

  • Publié le 04/10/2017
  • FR
  • PDF (1 Mo)
Publication Chaire ACPR régulation et risque systèmique
Why risk is so hard to measure ?

This paper analyzes the reliability of standard approaches for Financial risk analysis. We focus on the difference between value–at–risk and expected shortfall, their small sample properties, the scope for underreporting risk and how estimation can be...

  • Publié le 13/09/2017
  • FR
  • PDF (247.23 Ko)
Publication Chaire ACPR régulation et risque systèmique
The Run for Safety : Financial Fragility and Deposit Insurance

We study a run on uninsured deposits in Danish banks triggered by a reform that limited deposit insurance coverage. Using a unique dataset with information about all individual bank accounts, we show that the reform caused a 50% decrease in deposits...

  • Publié le 07/06/2017
  • FR
  • PDF (1.36 Mo)
Publication Chaire ACPR régulation et risque systèmique
Banks' response to negative interest rates : Evidence from the Swiss exemption threshold
  • Publié le 03/05/2017
  • FR
  • PDF (824.9 Ko)
Publication Chaire ACPR régulation et risque systèmique
Winning Connections? Lobbying and the Resolution of Failed Banks

This paper studies how lobbying activities affect the resolution of failed banks during the Great Recession. We show evidence from failed-bank auctions that lobbying increases a bidder’s probability of winning by 26.4 percentage points. The transfer to...

  • Publié le 05/04/2017
  • FR
  • PDF (956.73 Ko)
Publication Chaire ACPR régulation et risque systèmique
Regulatory reform and risk-taking : replacing ratings

We analyze a reform of insurance companies’ capital requirements for mortgage-backed securities. First, credit ratings were replaced as inputs to capital regulation. Second, the redesigned system ensures capital buffers sufficient to withstand expected...

  • Publié le 15/03/2017
  • FR
  • PDF (697.42 Ko)
Publication Chaire ACPR régulation et risque systèmique
The Impact of Supervision on Bank

We introduce a novel instrument to identify exogenous variation in the intensity of supervision across U.S. bank holding companies based on the size rank of a bank within its Federal Reserve district. We demonstrate that supervisors record more hours...

  • Publié le 01/02/2017
  • FR
  • PDF (521.98 Ko)
Publication Chaire ACPR régulation et risque systèmique
What drives the expansion of the peer-to-peer lending ?

Mercredi 4 janvier 2017, 10h à 11h30

  • Publié le 04/01/2017
  • FR
  • PDF (1.52 Mo)