Articles scientifiques

Pitfalls in Systemic-Risk Scoring

S. BENOIT, C. HURLIN, C. PERIGNON

Journal of Financial Intermediation

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Départements : Finance, GREGHEC (CNRS)

Mots clés : Banking, Macroprudential regulation, Systemically Important Financial Institutions, Financial crises, Financial risk and risk management

https://www.sciencedirect.com/science/article/pii/S1042957318300366


In this paper, we identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these shortcomings and increases incentives for banks to reduce their risk contributions

Shareholder Bargaining Power and the Emergence of Empty Creditors

S. COLONNELLO, M. EFING, F. ZUCCHI

Journal of Financial Economics

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Départements : Finance, GREGHEC (CNRS)

Mots clés : Empty Creditors, Credit Default Swaps, Bargaining Power, Real Effects

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2787062


Credit default swaps (CDSs) can create empty creditors who may push borrowers into inefficient bankruptcy but also reduce shareholders' incentives to default strategically. We show theoretically and empirically that the presence and the effects of empty creditors on firm outcomes depend on the distribution of bargaining power among claimholders. Firms are more likely to have empty creditors if these would face powerful shareholders in debt renegotiation. The empirical evidence confirms that more CDS insurance is written on firms with strong shareholders and that CDSs increase the bankruptcy risk of these same firms. The ensuing effect on firm value is negative

Sticky Expectations and the Profitability Anomaly

J.-P. BOUCHAUD, P. KRUEGER, A. LANDIER, D. THESMAR

The Journal of Finance

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Départements : Finance, GREGHEC (CNRS)

Mots clés : Stock market anomalies, Sticky expectations


We propose a theory of one of the most economically significant stock market anomalies, i.e. the "profitability" anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional predictions of the model: (1) analysts are on average too pessimistic regarding the future profits of high profit firms, (2) the profitability anomaly is stronger for stocks which are followed by stickier analysts, and (3) it is also stronger for stocks with more persistent profits

Strategic Default, Debt Structure, and Stock Returns

P. VALTA

Journal of Financial and Quantitative Analysis

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Départements : Finance

Mots clés : Debt Structure, Debt Renegotiation, Stock Returns

http://dx.doi.org/10.2139/ssrn.1101534


This paper theoretically and empirically investigates how the debt structure and the strategic interaction between shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of publicly traded US firms between 1985 and 2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model's predictions

Strategic Selection of Risk Models and Bank Capital Regulation

J. E. COLLIARD

Management Science

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Départements : Finance, GREGHEC (CNRS)



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