Séminaires de recherche ACPR

La Direction d'Études et d'Analyse des Risques de l’ACPR organise une série de séminaires académiques où des chercheurs invités ou membres de l’ACPR présentent leurs derniers travaux, sur des thématiques de régulation ou de risque financier. Ces séminaires sont ouverts à tous.

Le séminaire a lieu dans les locaux de l’ACPR, 4, place de Budapest, Salle Liège (rez-de-jardin) (voir plan d'accès)

L’inscription par mail à seminaire-recherche-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.

L’ACPR héberge également les séminaires mensuels de la Chaire ACPR : la page dédiée aux séminaires de la Chaire ACPR est accessible ici.

 

PROchain évènement

Mercredi 15 janvier 2020 à 10h30 : Agostino Capponi, Paul Glasserman et Marko Weber (Columbia University)

"Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions"  

 

Lieu : ACPR – Auditorium – 4 place de Budapest 75009 Paris

 

Abstract:

We develop a model of the feedback between mutual fund outflows and asset illiquidity. Following a market shock, alert investors anticipate the impact on a fund's net asset value (NAV) of other investors' redemptions and exit
first at favorable prices. This first-mover advantage may lead to fund failure through a cycle of falling prices and increasing redemptions. Our analysis shows that (i) the first-mover advantage introduces a nonlinear dependence between a market shock and the aggregate impact of redemptions on the fund's NAV; (ii) as a consequence, there is a critical magnitude of the shock beyond which redemptions brings down the fund; (iii) properly designed swing pricing transfers liquidation costs from the fund to redeeming investors and, by removing the nonlinearity stemming from the first-mover advantage, it reduces these costs and prevents fund failure. Achieving these objectives requires a larger swing factor at larger levels of outflows. The swing factor for one fund may also depend on policies followed by other funds.

Dernier évènement

Mardi 9 décembre 2019 à 15h00 : Olivier de Bandt (BDF) et George Overton (ACPR)

"Why do insurers fail? A comparison of life and non-life insolvencies using a new international database"  

Discutant : Catherine Bruneau (Université Paris 1)

Lieu : ACPR – Auditorium – 4 place de Budapest 75009 Paris

Abstract :

Plantin and Rochet (2007) document how insurers often engage in risk-shifting years before the materialization of a failure. This paper empirically examines this claim by testing the mechanisms of insurance insolvency, using a first-of-its-kind international database assembled by the authors which merges data on balance sheet and income statements together with information on impairments over the last 30 years. Employing different fixed effects logistic specifications and parametric survival models, the paper presents evidence, on top of the role of profitability as a leading indicator of failures, of the intrinsic asymmetries between the life and non-life insurance sectors. In the life sector, asset mix is highly significant in predicting an impairment, while operating efficiency plays no role. In the non-life sector, the opposite proves true.

Publication Séminaires de recherche ACPR
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...

  • Publié le 17/12/2019
  • FR
  • PDF (566.08 Ko)
Publication Séminaires de recherche ACPR
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...

  • Publié le 14/11/2019
  • FR
  • PDF (465.26 Ko)