333 records from EconBiz based on author Name

1. Disastrous defaults

Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul;
2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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2. The Risk of Random Sets with Applications to Basket Derivatives

abstract

This paper analyzes the risks in random sets and their implications for basket derivatives. Based on an extension of integration by parts for random set, we define stochastic dominance of order 1 and 2 for random sets. Since the ordering of sets, that is the inclusion, is a partial order, we have to distinguish left and right notions of stochastic dominance. The observed sets are in a one-to-one relationship with observed multivariate dichotomous variables, each component of which indicating high or low risk for a given type of risk. This relationship is used to define basket derivatives and to develop statistical inference. We consider the special cases of exchangeability, of Law of Determinantal Point Process (LDPP) and of block models for illustration

Gourieroux, Christian; Lu, Yang; Monfort, Alain;
2023
Availability: Link Link

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3. Affine modeling of credit risk, pricing of credit events and contagion

Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; Roussellet, Guillaume;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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4. Ultra Long Run Term Structure Models

abstract

The ultra long run (ULR) discount rates are key inputs for valuing pension funds, life annuities, or firms with long run investments due to low carbon transition. However the corresponding zero-coupon bonds are only actively traded up to a last liquid point (LLP) such as 20 years, say. This leads to “extrapolating” the term structures beyond this LLP. The current extrapo- lation approaches have at least two drawbacks: i) they are not compatible with the theoretical literature, in particular not arbitrage free; ii) they fix a deterministic ultimate forward rate, that is they set to zero the risk on the ULR rate.This paper proposes a solution to these issues by considering sequences of arbitrage free markets. It explains how such sequences can be justified in a context effect and how to implement them. This fills the gap between the current practice in Solvency II and the theoretical literature

Gourieroux, Christian; Lu, Yang; Monfort, Alain;
2022
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

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5. Required Capital for Long-run Risks

abstract

One of the objectives of the recent prudential regulation is to separate the computation of required capital for short- and long-run risks. This paper provides a coherent framework to define, compute, and update these components. We provide different examples, among which is the transition to low carbon economies

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul;
2021
Availability: Link Link

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6. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

abstract

In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and probit (Amemiya, Schmidt) and multi-market macroeconomic disequilibrium (Gourieroux, Laffont and Nonfort)

Gourieroux, Christian; Laffont, Jean-Jacques; Monfort, Alain;
2021
Availability: Link

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7. Disastrous defaults

Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul;
2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 3 (based on OpenCitations) Cited By

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8. Affine modeling of credit risk, pricing of credit events, and contagion

Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; Roussellet, Guillaume;
2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 5 (based on OpenCitations) Cited By

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9. Disastrous Defaults

abstract

We define a disastrous default as the default of a systemic entity, which has a negative effect on the economy and is contagious. Bringing macroeconomic structure to a no-arbitrage asset pricing framework, we exploit prices of disaster-exposed assets (credit and equity derivatives) to extract information on the expected (i) influence of a disastrous default on consumption and (ii) probability of a financial meltdown. Using European data, we find that the returns of disaster-exposed assets are consistent with a systemic default being followed by a 2% decrease in consumption. The recessionary influence of disastrous defaults implies that financial instruments whose payoffs are exposed to such credit events carry substantial risk premiums. We also produce systemic risk indicators based on the probability of observing a certain number of systemic defaults or a sharp drop of consumption

Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul;
2020
Availability: Link Link

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10. Disastrous Defaults

abstract

We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a noarbitrage asset-pricing framework, we exploit prices of disaster-exposed assets (credit and equity derivatives) to extract information on the expected (i) influence of a disastrous default on consumption and (ii) probability of a financial meltdown. We find that the returns of disaster-exposed assets are consistent with a systemic default being followed by a 3% decrease in consumption. The recessionary influence of disastrous defaults implies that financial instruments whose payoffs are exposed to such credit events carry substantial risk premiums. We also produce systemic risk indicators based on the probability of observing a certain number of systemic defaults or a sharp drop of consumption

Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul;
2020
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

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