User profiles for C. Pérignon
Christophe PERIGNONHEC Paris Verified email at hec.fr Cited by 3958 |
Where the risks lie: A survey on systemic risk
We review the extensive literature on systemic risk and connect it to the current regulatory
debate. While we take stock of the achievements of this rapidly growing field, we identify a gap …
debate. While we take stock of the achievements of this rapidly growing field, we identify a gap …
The level and quality of Value-at-Risk disclosure by commercial banks
C Pérignon, DR Smith - Journal of Banking & Finance, 2010 - Elsevier
In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of
the disclosed VaR figures for a sample of US and international commercial banks. To …
the disclosed VaR figures for a sample of US and international commercial banks. To …
Commonality in liquidity: A global perspective
We conduct a comprehensive study of commonality in liquidity using intraday spread and
depth data from 47 stock exchanges. We find that firm-level changes in liquidity are …
depth data from 47 stock exchanges. We find that firm-level changes in liquidity are …
A theoretical and empirical comparison of systemic risk measures
We derive several popular systemic risk measures in a common framework and show that
they can be expressed as transformations of market risk measures (eg, beta). We also derive …
they can be expressed as transformations of market risk measures (eg, beta). We also derive …
Microencapsulation by interfacial polymerisation: membrane formation and structure
C Perignon, G Ongmayeb, R Neufeld… - Journal of …, 2015 - Taylor & Francis
… C A is the total concentration of diamine in the water phase and K ax is the dissociation … An
acidification is observed already when <50% of the diamine is consumed ( Figure 6 , curve C)…
acidification is observed already when <50% of the diamine is consumed ( Figure 6 , curve C)…
Do banks overstate their Value-at-Risk?
C Pérignon, ZY Deng, ZJ Wang - Journal of Banking & Finance, 2008 - Elsevier
This paper is the first empirical study of banks’ risk management systems based on non-anonymous
daily Value-at-Risk (VaR) and profit-and-loss data. Using actual data from the six …
daily Value-at-Risk (VaR) and profit-and-loss data. Using actual data from the six …
Wholesale funding dry‐ups
… As seen in Table I, Panel C the distribution of issued amounts is highly skewed, with a median
of … Finally, in Panel C we see that the CD market is also much larger than the unsecured …
of … Finally, in Panel C we see that the CD market is also much larger than the unsecured …
Diversification and value-at-risk
C Pérignon, DR Smith - Journal of Banking & Finance, 2010 - Elsevier
… Author links open overlay panel Christophe Pérignon a , Daniel R. Smith b … Given that Ψ
= cV, where c = 1/a is a density-dependent constant, then we can write it as Ψ = cDRD and the …
= cV, where c = 1/a is a density-dependent constant, then we can write it as Ψ = cDRD and the …
The Risk Map: A new tool for validating risk models
… For comparison purposes, we report in Panel C the power of the LR UC test for the 1%, 2%,
and 5% coverage rates. Two conclusions can be drawn from this experiment. First, the …
and 5% coverage rates. Two conclusions can be drawn from this experiment. First, the …
[HTML][HTML] Machine learning et nouvelles sources de données pour le scoring de crédit
C Hurlin, C Pérignon - Revue d'économie financière, 2019 - cairn.info
… Ŷ en comparant la probabilité à un seuil c, typiquement 50 %. Si la probabilité excède ce
seuil, on prévoit la survenue de l’événement, c’est-à-dire Ŷ (c) = 1. Pour un seuil donné, on …
seuil, on prévoit la survenue de l’événement, c’est-à-dire Ŷ (c) = 1. Pour un seuil donné, on …