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

Lundi 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.

 

Dernier évènement

Jeudi 19 septembre 2019 à 14h30 : Olivier de Bandt (BDF), Sandrine Lecarpentier (ACPR) et Cyril Pouvelle (ACPR)

"Determinants of banks’ liquidity: a French perspective on market and regulatory ratio interactions"

Discutant : Laura Valderrama  (Fonds Monétaire International)

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

Abstract :

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 theoretical model assessing the effects of capital and liquidity constraints on banks’ behaviour, we estimate the joint system of banks’ solvency and liquidity ratios, using for proxy of the latter, the "liquidity coefficient" implemented in France before Basel III. We provide evidence of a positive effect of the solvency ratio on the liquidity coefficient: a high level of solvency enables the liquidity coefficient to improve due to a more stable funding structure. By contrast, we do not find firm evidence of an impact of the liquidity coefficient on the solvency ratio. We also show that financial variables capturing international markets’ risk aversion and tensions in the interbank market have a significant impact during periods of stress only, confirming the evidence of strong interactions between market liquidity and bank funding liquidity during crisis periods.

Publication Séminaires de recherche ACPR
Lower capital requierements 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)