Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Contagion Analysis in the Banking Sector.

Canonical Correlation, Contagion, Credit Default Swaps, Default Dependence, Systemic Risk

Survival of Hedge Funds: Frailty vs Contagion.

Autoregressive Gamma Process, Contagion, Dynamic Count Model, Fonds spéculatifs, Frailty, Funding Liquidity, Hedge Fund, Liquidation Correlation, Liquidation Swap, Liquidité économie politique, Market Liquidity, Risque, Stress-tests, Systemic Risk

Contagion Analysis In The Banking Sector.

Canonical Correlation, Contagion, Credit Default Swaps, Default Dependence, Systemic Risk

Contagion in Emerging Markets.

Contagion, Contagion financière, Emerging Markets, Nouveaux pays industrialisés, Pays en voie de développement

Illiquidity Contagion and Liquidity Crashes.

Contagion, Liquidity Crashes, Liquidity spillovers, Multiple equilibria, Rational expectations

The Pecking Order of Segmentation and Liquidity-Injection Policies in a Model of Contagious Crises.

Contagion, Financial crisis, Financial stability, Fire sales, Liquidity injection, Segmentation

Contagion and financial integration during the interwar period: the example of the Paris Bourse.

Bourse de Paris, Contagion, Crises financières, Financial crises, Financial history, Financial integration, Histoire financière, Intégration financière, Paris stock exchange, Prix des actions, Stock prices

Analysis of the dynamics of the contagion phenomenon between European sovereign bonds during recent episodes of financial crises.

Aversion au risque / app?tit pour le risque, CDS spreads. sovereign bonds, CDS. obligations souveraines, Contagion, Credit risk, Crise souveraine, Default probability, Financial contagion, Probabilit? de d?faut, Risk aversion / risk appetite, Risque souverain, Sovereign crisis

Analysis and measurement of systemic risk.

Contagion, Liquidity, Liquidité, Macroprudential policy, Politique macroprudentielle, Risque systémique, Systemic risk

Tools and models for studying some spatial and networked risks: application to climate extremes and contagion in finance.

Common factor, Contagion, Diversification, Extrêmes spatiaux, Facteur commun, Générateur de précipitations, Maximum de vraisemblance simulée non paramétrique, Mesures de risque, Modèle spatio-temporel, Non parametric maximum simulated likelihood inference, Precipitation generator, Risk measures, Spatial extremes, Spatial-temporal model

Analysis and Measure of Systemic Risk.

Contagion, Liquidity, Liquidité, Macroprudential policy, Politique macroprudentielle, Risque systémique, Systemic risk

Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors.

Contagion, Correlation, Dynamic Contagion Process, Dynamic Policyholders’ Behavior, Hawkes Process, Interest Rates Dynamic, Lapse Risk, Stress Tests, Surrender