Symmetric vs. Downside Risk Measures in Portfolio Decisions [extrait BMI 114]

Symmetric vs. Downside Risk Measures in Portfolio Decisions [extrait BMI 114]

Version numérique PDFDownside risk measures are more intuitive but mathematically more complex to use, comparing to the more classical concept of variance. The relevant literature has grown rapidly in the recent years which this paper maps in the context of portfolio selection theory. Although the concept of risk is at the core of finance theory in...
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Corporate Governance and Performance of French Listed Companies [extrait BMI 114]

Corporate Governance and Performance of French Listed Companies [extrait BMI...

Version numérique PDFWe analyze the link between corporate governance quality and performance in French listed firms. Using a Carhart four-factor analysis, we show that firms with higher levels of corporate governance quality underperform those with lower levels of quality by an average of 1.5% per year in 2005 ? 2007. We capture corporate governance...
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The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds [extrait BMI 114]

The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds [extrait...

Version numérique PDFThis paper combines the use of portfolio holdings data and Principal Component Analysis to create synthetic fund indexes. Synthetic funds are funds portfolios which aim to duplicate a fund market in order to represent alternative benchmarks to compare the performance of investment funds. Our weight-based measure has several...
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Credit Risk Evaluation: The Econometric vs the Structural Approach [extrait BMI 114]

Credit Risk Evaluation: The Econometric vs the Structural Approach [extrait...

Version numérique PDFThis paper reviews the credit risk evaluation approaches that were largely discussed during the debate on banks? capacity to handle risk exposure and the effectiveness of the techniques they use. We propose a sector-bysector analysis of credit risk levels in the French market using the econometric approach of CreditPortfolioView...
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Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP Standards [extrait BMI 114]

Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP...

Version numérique PDFThe aim of this paper is to present a comparative analysis of the value relevance of the book value and earnings on a sample of companies belonging to the financial sector, made up largely of banks. The sample originates from several European markets in IFRS, namely the Benelux countries, France, Spain, the United Kingdom and the US...
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Why do Firms go private? Motivations, Performance and International Issues [extrait BMI 113]

Why do Firms go private? Motivations, Performance and International Issues...

Version numérique PDFThis article deals with the motivations and the different sources of value from Public to Private Operations. These operations were still some years ago little known in French landscape. These tend to develop more and more even if some statutory obstacles always remain present and slow down their expansion. First of all we examine the...
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Risk Management of CPPI Funds in Switching Regime Markets [extrait BMI 113]

Risk Management of CPPI Funds in Switching Regime Markets [extrait BMI 113]

Version numérique PDFThe constant proportion portfolio insurance is a dynamic strategy of investment protecting a fund against a fall of its market value below a predetermined floor. In this work, we revisit the CPPI under the assumption that the risky asset is a stochastic process whose the average return and volatility Jump from one set of values to...
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Diversification Portfolio Strategies and Financial Integration: Toward a European Capital Market? [extrait BMI 113]

Diversification Portfolio Strategies and Financial Integration: Toward a...

Version numérique PDFThe goal of this paper is to revisit the effects of the implemntation of the Euro system on the level of European stock market integration over the last fifteen years. In this context, two fundamental questions can be raised: Does the asset management industry attain acceptable levels of diversification in their portfolios? Can the...
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How Many Banks does it Take to Lend? Empirical Evidence from Europe [extrait BMI 113]

How Many Banks does it Take to Lend? Empirical Evidence from Europe [extrait...

Version numérique PDFWe provide empirical evidence on the determinants of the number of bank lenders using a sample of more than 3000 loans to firms from 24 European countries. Our testable hypotheses are built upon different theoretical frameworks drawn from the existing financial intermediation literature relative to the determinants of the optimal...
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Stress Testing with a Credit Risk Model [extrait BMI 113]

Stress Testing with a Credit Risk Model [extrait BMI 113]

Version numérique PDFThe aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson?s CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic scenarios. We implement two simulation...
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A New Classifi cation of Exotic Options [extrait BMI 112]

A New Classifi cation of Exotic Options [extrait BMI 112]

Version numérique PDFTailor-made to fit investors? specific needs, exotic options are more efficient than traditional ones to the extent that they allow a better risk reallocation between economic agents. However, due to the increasing complexity of exotic options, it is necessary to have a well specified classification structure for these products for...
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Hedge Fund Returns and Factor Models: A Cross Section Approach [extrait BMI 112]

Hedge Fund Returns and Factor Models: A Cross Section Approach [extrait BMI 112]

Version numérique PDFThis paper develops a dynamic approach for assessing hedge fund risk exposures. First, we focus on an approximate factor model framework to deal with the factor selection issue. Instead of keeping the number of factors unchanged, we apply Bai and Ng (2002) and Bai and Ng (2006) to select the appropriate factors at each date. Second,...
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