1 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Publications du département de Finance du CEB depuis

2003

* = membre du département de Finance du CEB

Livres et parties d'ouvrages collectifs Ayadi R., M. Nieto, and M. Schmit*, Basel II implementation in the midst of turbulence?, Center for European Studies (Ed.), 2008. Ayadi R. and M. Schmit*, The implementation of Basel II: Do the achievements respond to the challenges in the aftermath of the crisis?, Center for European Studies (Ed.), forthcoming. Barrieu P. and O. Scaillet*, "A primer on weather derivatives", Handbook on Uncertainty and Environmental Decision Making, International Series in Operations Research and Management Science, Springer Verlag, forthcoming. Barrieu P. and O. Scaillet*, "Weather derivatives", in Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, forthcoming. Bourghelle D., O. Brandouy, R. Gillet*, and A. Orléan (Eds.), Croyances, représentations collectives et conventions en finance, Economica, collection Recherche en gestion, Paris, 2005. Brière* M., Formation des taux d’intérêt: anomalies et croyances collectives, Economica, collection Recherche en Gestion, Paris, 2005. Brière* M., "Représentations conventionnelles sur les marchés de taux", in L’économie des conventions: méthodes et résultats (tome 2), sous la direction de F. Eymard-Duvernay, La Découverte, Paris, 177-192, 2006. Brière* M., A. Burgues, and O. Signori, "Volatility as an Asset Class for Long Term Investors", in Berkelaar A., J. Coche and K. Nykolm (Eds.), Interest Rate Modelling, Optimisation and Quantitative Techniques for Central Banks and Sovereign Wealth Managers, Palgrave McMillan, 2009. Brière* M. and F. Ielpo, "Yield Curve Reaction to Macroeconomic News in Europe: Disentangling the US Influence", in Stavarek D. et S. Poloucek (Eds.), Consequences of the European Monetary Integration on Financial Markets, Newcastle: Cambridge Scholars Publishing, 2008. Broquet Cl. (†), R. Cobbaut, R. Gillet* et A. Van den Berg, Gestion de portefeuille (4ème édition), Comptabilité, contrôle et finance, De Boeck Université et Larcier, 2004.

2 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Broye G. and L. Weill*, "Measuring Market Structure Characteristics for Accounting Firms: An Application on the French Market", in Advances in Quantitative Finance and Accounting, forthcoming. Chapelle* A., "The Virtues of Operational Risk Management", Selected papers form the International Finance Conference, Tunisia, March 2005, M. Bellalah ed., Wilmott / Whiley, 2006. Chapelle* A., G. Hübner et J.P. Peters, Le risque opérationnel: Implications de l’Accord de Bâle pour le secteur financier, Larcier, Collection Cahiers Financiers, Bruxelles, 2005. Charpentier A., J.-D. Fermanian, and O. Scaillet*, "The estimation of copulas: theory and practice", in Rank J. (Ed.), Copulas: From theory to application in finance, Risk Publications, London, Section 2, 2007. Chrissos J. et R. Gillet*, Décision d’investissement, 2ème Edition, Collection Gestion appliquée, Pearson Ed., Paris, 2008. Colmant B., R. Gillet* et A. Szafarz*, Efficience des marchés: concepts, bulles spéculatives et image comptable, Larcier, collection "Cahiers Financiers", 2003. Colmant B., R. Gillet* et A. Szafarz*, Efficience des marchés: Concepts, bulles spéculatives et image comptable, Bruxelles: Larcier, 2009. Cossin D., H. Lu and H. Pirotte*, Understanding Credit Risk: a Comprehensive Approach, forthcoming. Couderc F., O. Renault, and O. Scaillet*, "Business and financial Indicators: what are the determinants of default probability changes?", in Credit Risk: Models, Derivatives, and Management, Chapman & Hall, Financial Mathematics Series, 235-268, 2008. Dietsch* M., "Consolidation in the banking industry, customer relationships and SME financing in France", in Hasan I. and C. Hunter ed., Research in Banking and Finance, 4, JAI Press, Elsevier, 2003. Dietsch* M., Mondialisation et recomposition du capital des entreprises européennes, rapport pour le CGP, (rapporteurs E. Mathieu et M. Chopra), La Documentation Française, février 2004. Dietsch* M. et J. Petey, Mesure et gestion du risque de crédit dans les institutions financières, Revue Banque Edition, 2003. Dussart J., N. Joukoff, A. Loulit* et A. Szafarz*, Mathématiques appliquées à la gestion, Pearson Education France, Collection "Synthèse de cours et exercices corrigés", 2004. Farber* A., M.-P. Laurent*, K. Oosterlinck* et H. Pirotte*, Finance, Pearson Education France, Collection "Synthèse de cours et exercices corrigés", 2004. Farber* A., M.-P. Laurent*, K. Oosterlinck*, and H. Pirotte*, Finance, Collection Synthex, Pearson Education, Second edition, May 2008.

3 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Fermanian J-D. and O. Scaillet*, "Some statistical pitfalls in copula modeling for financial applications", Capital Formation, Governance and Banking, Nova Science Publishers, pp. 57-72, 2005. Galluccio S. and O. Scaillet*, "Swap market models", Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, 2008. Galluccio S. and O. Scaillet*, "CMS spread options", Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, 2008. Gillet* R. et H. de la Bruslerie, "Les conséquences de l'émission d'obligations convertibles: dilution et/ou restructuration financière ?", Actes des journées Internationales de Finance de l'Association Française de Finance (AFFI), Cergy-Pontoise, juin 2004. Gillet* R, J-P Jobard, P. Navatte et Ph. Raimbourg, Finance: finance d'entreprise, finance de marché et diagnostic financier (2ème édition), collection "Précis Gestion", Dalloz, 578 p., 2003. Gillet* R. et M-A. Lapointe, "Information, réputation et équilibre de signalisation", in Recherches récentes en finance (CREFIB), Publications de la Sorbonne, 147-181, 2004. Gillet* R. and A. Szafarz*, "L’efficience informationnelle des marchés. Une hypothèse, et au-delà ?", Croyances, représentations collectives et conventions en finance, Bourghelle D., O. Brandouy, R. Gillet et A. Orléan (Eds.), collection Recherche en gestion, Economica, Paris, 43-58, 2005. Huber P., O. Scaillet*, and M.-P. Victoria-Feser, "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data", in Annals of Applied Statistics, 3, 249-271, 2009. Kaeckenbeeck C., Les Carrousels à la TVA. Etude Economique et Juridique, Editions Larcier, Collection Cahiers Financiers, Bruxelles, 2005. Laurent* M- P. and M. Schmit*, "Estimating "distressed" LGD on defaulted exposures: A portfolio model applied to leasing contracts", LGD RiskBooks, edited by Altman E., A. Resti and A. Sironi, pp. 307-322, 2005. Mills* J., "An Overview of the European Leasing Market", World Leasing Yearbook 2006, Euromoney Yearbooks, 38-43, 2005. Oosterlinck* K. and A. Szafarz*, Obligations souveraines: situation du marché, évaluation du risque-pays et gestion des défauts, Editions Larcier, Collection Cahiers Financiers, Bruxelles, 2005. Pirotte* H., Chap 5, in The Best of Wilmott 1: Including the latest research from Quantitative Finance Review 2003, Ed. by Paul Wilmott, August 2004. Pirotte* H., Co-traducteur français de Corporate Finance, Ross, Westerfield and Jaffe, 7ème édition, McGraw-Hill, 2005.

4 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Vuong* Quan Hoang, The Civilization of Business & Origin of Wealth, National Political Publishing House, 2007. Vuong* Quan Hoang and Pham Minh Chinh, The Vietnamese Economy: Rise, Fall, and Reform, National Political Publishing House, forthcoming. Vuong* Quan Hoang and Pham Minh Chinh, The rise and fall of the Vietnamese economy, National Political Publisher, Hanoi, Vietnam, May 2009. Vuong* Quan Hoang and Tran Tri Dung, "Financial turbulences in Vietnam’s emerging economy: Transformation over 1991-2008 period", in Jagadeesha and Deene (Eds.), Contemporary Issues in Finance, Karnataka State Open University, Excel Books, New Delhi, 43-61, 2009. Vuong* Quan Hoang and N. Van Huu, "On the Martingale Representation Theorem and on Approximate Hedging a Contingent Claim in the Minimum Deviation Square Criterion", in Jeltsch R., T.-T. Li and I. H. Sloan (Eds.), Some Topics in Industrial and Applied Mathematics, Higher Education Press, 2007. Schmit* M., "The new Basel capital accord and the future of the European financial system", Report of a CEPS (Centre for European Policy Studies) Task Force, 47-50, 2004. Schmit* M., "The capital requirement directive and the lease industry in Romania", in About non banking financial services in Romania, Associatia Societatilor Financiare, 214-261, 2008. Schmit* M., "Moving from the capital requirement directive to a risk governance directive", in The Financial Crisis, European Parliament, DG Internal Policies of the Union, Policy Department Economic and Scientific Policy, 39-47, 2008. Van Huu N. and Quan Hoang Vuong*, Methods of Mathematical Finance, Vietnam National University Publisher, 2007.

Revues à comité de lecture Azizieh C., "Some results on positive solutions of equations including the p-Laplacian operator", Nonlinear Analysis, Theory, Methods and Applications, 55/3, 191-207, 2003. Battocchio P., F. Menoncin, and O. Scaillet*, "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases", Annals of Operation Research, 142, 141-165, 2007. Barras L, O. Scaillet*, and R. Wermers, "False discoveries in mutual fund performance: Measuring luck in estimated alphas", Journal of Finance, Swiss Finance Institute / Banque Privée Espirito SantoAward Prize 2008, 65, 179-216, 2010. Beine M. and A. Szafarz*, "Size matters: Central bank interventions on the Yen/Dollar exchange rate", Brussels Economic Review – Cahiers Economiques de Bruxelles, 2006.

5 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Bernal O., K. Oosterlinck*, and A. Szafarz*, "Observing bailout expectations during a total eclipse of the sun", Journal of International Money and Finance, forthcoming. Biebuyck T., A. Chapelle* et A. Szafarz*, "Les leviers de contrôle des actionnaires majoritaires", Revue Gouvernance, 1, 2, 52-70, 2004. Brière* M., "L’influence des représentations collectives sur les marchés de taux, le rôle des banques centrales et des experts", Vie et Sciences Economiques, 165, juin 2004. Brière* M., A. Burgues, and O. Signori, "Volatility Exposure for Strategic Asset Allocation", Journal of Portfolio Management, forthcoming. Brière* M. et K. Chancari, "Perception des risques sur les marchés: construction d’un indice élaboré à partir des smiles d’options et test de stratégies", Revue d’Economie Politique, 4, juillet-août 2004. Brière* M. and O. Signori, "Do Inflation-Linked Bonds still Diversify?", European Financial Management, 15, 2, March 2009. Brière* M., O. Signori and K. Topeglo, "Bond Market Conundrum: New Factors to Explain Long-Term Interest Rates", Banque et Marchés, 92, janvier-février 2008. Brière* M. and A. Szafarz*, "Crisis-Robust Bond Portfolios", Journal of Fixed Income, 57-70, Fall 2008. Broye G. and L. Weill*, "Does Leverage Influence Auditor Choice? A Cross-Country Analysis", Applied Financial Economics 18, 9, 1-17, 2008. Chapelle* A., "Book Review: Les obligations – notions financières essentielles" livre de Colmant, Delfosse, et Esch, Ed. Larcier, Revue Bancaire et Financière, 7, 2003. Chapelle* A., "Book review: Too sensational on the choice of exchange rate regime by M. Corden, MIT Press", Revue Bancaire et Financière, March, 2004/2. Chapelle* A., "Book review: Balance of paiements and exchange rate theories by N. Miller (Edwards Elgar Ed.)", Revue Bancaire et Financière, April, 2004/3. Chapelle* A., "Separation between Ownership and Control: where do we stand?" in Corporate Ownership and Control, 2, 2, 91-101, 2004. Chapelle* A., "Block investments and the race for corporate control" in Corporate Ownership and Control, 2, 1, 11-25, 2004. Chapelle* A., "La Liberté perdue de la France", Societal, 55, 70-72, 2007. Chapelle* A., "Gestion des risques opérationnels en microfinance (Operational Risk Management in Microfinance)", Autrepart, édition spéciale « Risques et Microfinance », France, à paraître.

6 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Chapelle* A., Y. Crama, G. Hübner, and J-P. Peters, "Practical Methods for Measuring and Managing Operational Risk in the Financial Sector: A Clinical Study", Journal of Banking and Finance, 32, 1049-1061, 2008. Chapelle* A. and M. Hudon, "Editorial of the "Special Issue: Microfinance", Revue Bancaire et Financière, Sept., 2004/6. Chapelle* A., M.-P. Laurent* et A. Szafarz*: "L'effet de l'âge de l'investisseur sur le niveau de risque de son portefeuille", La Revue du Financier, Paris, 142, 20-32, 2003. Chapelle* A. and A. Szafarz*, "Controlling firms through the majority voting rule", Physica A, 355, 509-529, 2005. Chapelle* A. and A. Szafarz*, "Control consolidation with a threshold: An algorithm", IMA Journal of Management Mathematics, doi:10.1093/imaman/dpl016, 2006. Chapelle* A. and A. Szafarz*, "Control consolidation with a threshold: An algorithm", IMA Journal of Management Mathematics, 18, 3, 235-243, 2007. Cheng P. and O. Scaillet*, "Linear-quadratic jump-diffusion modelling", Mathematical Finance, 17, 575-598, 2007. Cosma A., O. Scaillet*, and R. von Sachs, "Multivariate wavelet-based shape preserving estimation for dependent observations", Bernoulli, 13, 301-329, 2007. Denolin V., C. Azizieh, and T. Metens, "New insights into the Mechanism of Signal Formation in FR-Spoiled Gradient Echo Sequences", Magnetic Resonance in Medicine, 2005. Denuit M., A-C. Goderniaux, and O. Scaillet*,"A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives", Technometrics, 49, 88-99, 2007. De Scheemaekere* X., "The epistemology of modern finance", The Journal of Philosophical Economics, 2, 99-120, 2009. De Scheemaekere* X. and A. Szafarz*, "The Special Status of Mathematical Probability: A Historical Sketch", Epistemologia, 32, 1, 91-110, 2009. Dietsch* M., "Financing small businesses in France", EIB Papers, Revue de la Banque Européenne d'Investissement, 8, 2, 92-119, 2003. Dietsch* M., "Should SME exposures be treated as retail or corporate exposures: A comparative analysis of probabilities of default and assets correlations in French and German SMEs", Journal of Banking and Finance, April 2004. Dietsch* M. et D. Garabiol, "Du caractère pro-cyclique du nouveau ratio de capital: une analyse empirique sur données françaises", Banque et Marchés, mars 2004. Dubreuille S. et R. Gillet*, "Les bourses traditionnelles face à la concurrence des systèmes de transaction alternatifs", Revue Bancaire et Financière, 4, 200-205, 2004.

7 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Dubreuille S., R. Gillet* et C. Kharoubi, "Futures sur électricité: analyse du marché français et impact de la structure de dépendance empirique en matière de diversification", Banque & Marchés, 90, 44-51, 2007. Farber* A., R. Gillet*, and A. Szafarz*, "A general formula for the WACC", International Journal of Business, 11, 2, 211-218, 2006. Farber* A., R. Gillet*, and A. Szafarz*, "A general formula for the WACC: A reply", International Journal of Business, 12, 3, 405-411, 2007. Farber* A., Nguyen Van Huu, and Quan Hoang Vuong *, "A proposition on the martingale representation theorem and on the hedging of contingent claim following the mean-variance criterion", Acta Mathematica Vietnamica, 2006. Farber* A. and Quan Hoang Vuong*, "Some new results on anomalies and herd behavior: Vietnam stock market", Economic Studies Review, 44, 9, Vietnam’s Academy for Social Sciences, 2004. Fermanian J-D. and O. Scaillet*, "Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements", Journal of Banking and Finance, 29, 927-958, 2005. Fernandes M., O. Linton, and O. Scaillet*, "Semiparametric methods in econometrics", Journal of Econometrics, 127, 1, 1-4, 2007. Galluccio S., Z. Huang, J.-M. Ly, and O. Scaillet*, "Theory and calibration of Swap Market Models", Mathematical Finance, 2005. Galluccio S., Z. Huang, J.-M. Ly, and O. Scaillet*, "Theory and calibration of Swap Market Models", Mathematical Finance, 17, 111-141, 2007. Gillet* R., G. Hübner, and S. Plunus, "Operational risk and reputation in the financial industry", Journal of Banking and Finance, 34, forthcoming. Gillet* R. et H. de La Bruslerie, "The consequences of issuing convertible bonds: dilution and/or financial restructuring?", European Financial Management, forthcoming. Gillet* R., M-A. Lapointe et P. Raimbourg, "Dividend policy and reputation", Journal of Business, Finance and Accounting, 35, 3 & 4, 516-540, 2008. Gillet* R. et A. Szafarz*, "Marchés financiers et anticipations rationnelles", Reflets et Perspectives de la vie économique, XLIII, 2, 7-17, 2004. Godlewski C. and L. Weill*, "Syndicated Loans in Emerging Markets", Emerging Markets Review, 9, 206-219, 2008. Godlewski C. and L. Weill*, "Collateral and Adverse Selection in Transition Countries", Eastern European Economics, 47, 1, 29-40, 2009.

8 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Gustafsson J., M. Hagmann, P. Nielsen, and O. Scaillet*, "Local transformation kernel density estimation of loss distributions", Journal of Business and Economic Statistics, 27, 161-175, 2009. Hagmann M. and O. Scaillet*, "Local multiplicative bias correction for asymmetric kernel density estimators", Journal of Econometrics, 141, 213-249, 2007. Hamelin* A., "Les limites de l’utilisation du micro crédit dans la lutte contre la pauvreté : le cas du travail des enfants", Autrepart, numéro spécial : Risques et Microfinance, 44, 173-184, 2007/4. Lahiani A. and O. Scaillet*, "Testing for threshold effect in ARFIMA models: Application to US unemeployment rate data", International Journal of Forecasting, forthcoming. Laurent* M.-P., S. Van Belle, and M. Schmit*, "An Empirical Approach to Residual Value Risk Estimation in Automotive Leases", Managerial Finance, 35, 10, 874-884, 2009. Levy* M., "Control in Pyramidal Structures", Corporate Governance: An international Review, 17, 1, 77-89, January 2009. Lorent* B., "Solvency II: Avancées des travaux", Revue Bancaire et financière – Bank-en Financiewezen, 2, 113-122, 2007. Medvedev A. and O. Scaillet*, "Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility", Review of Financial Studies, 20, 427-459, 2007. Medvedev A. and O. Scaillet*, "Pricing American options under stochastic volatility and stochastic interest rates", Journal of Financial Economics, forthcoming. Méon* P.-G., F. Schneider, and L. Weill*, "Does taking the shadow economy into account matter when measuring aggregate efficiency?", Applied Economics, forthcoming. Méon* P.-G., K. Sekkat*, and L. Weill*, "Institutional reforms now and benefits tomorrow: How soon is tomorrow? ", Economics and Politics, 21, 2, 319-357, July 2009. Méon* P.-G. and L. Weill*, "Is corruption an efficient grease? ", World Development, 38, 3, 244-259, 2010. Méon* P.-G. and L. Weill*, "Does financial intermediation matter for macroeconomic performance? ", Economic Modelling, 27, 1, 296-303, January 2010. Nguyen Van Huu, Quan Hoang Vuong *, and Tran Minh Ngoc, "Central limit theorem for functional of jump Markov processes", Vietnam Journal of Mathematics, 3, 4, 443-462, 2005. Oosterlinck K. and A. Szafarz*, "One Asset, Two Prices: The case of the Tsarist Repudiated Bonds", Finance Letters, 2006. Pirotte* H. and C. Vaessen*, "Robust Residual value risk in the leasing industry: A European case", European Journal of Finance, 14, 2, 157–177, 2008.

9 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Podpiera J. and L. Weill*, "Bad Luck or Bad Management? Emerging Banking Market Experience", Journal of Financial Stability, 4, 135-148, 2008. Pruteanu-Podpiera A., F. Schobert, and L. Weill*, "Banking Competition and Cost Efficiency: A Micro-Data Analysis on the Czech Banking Industry", Comparative Economic Studies, 50, 2, 253-273, 2008. Rémillard B. and O. Scaillet*, "Testing for equality between two copulas", Journal of Multivariate Analysis, 100, 377-386, 2009. Scaillet* O., "Nonparametric estimation of conditional expected shortfall", Revue Assurances et Gestion des Risques/Insurance and Risk Management Journal, 72, 639-660, 2005. Scaillet* O., "A Kolmogorov-Smirnov type test for positive quadrant dependence", Canadian Journal of Statistics, 33, 415-427, 2005. Scaillet* O., "Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters", Journal of Multivariate Analysis, 98, 533-543, 2007. Scaillet* O. and T. Bouezmarni, "Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data", Econometric Theory, 21, 390-412, 2005. Schmit* M., "Credit risk in the leasing industry", Journal of Banking and Finance, 28, 811-833, 2004. Schmit* M., "Is automotive leasing a risky business?", Finance, 26, 35-66, 2005. Sekkat* K. and A. Szafarz*, "Valuing Homeownership", Journal of Real Estate Finance and Economics, DOI 10.1007/s11146-009-9212-0, 2009. Szafarz* A., "An Alternative to Statistical Discrimination", Economics Bulletin, 10, 5, 1-6, 2008. Topaloglou N. and O. Scaillet*, "Testing for stochastic dominance efficiency", Journal of Business and Economic Statistics, 28, 1, pp. 169–180, 2010. Vermorken* M., A. Szafarz*, and H. Pirotte*, "Sector Classification through non-Gaussian Similarity", Applied Financial Economics, forthcoming. Vuong Quan Hoang*, "The Vietnamese economy in 2009 and some thoughts on the epistemology of transition", Communist Review (Vietnam), 81, 1, 49-55, January 2010. Vuong Quan Hoang*, "Review of the Vietnamese economy in 2008 in the context of the world financial crisis" (in Vietnamese), Communist Review (Vietnam), 80, 2, 589-610, February 2009.

10 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Vuong* Quan Hoang, Dao Gia Hung, Nguyen Van Huu and Tran Minh Ngoc, "Statistical methods in building credit-scoring models", Vietnam Journal of Mathematical Applications, 2005. Vuong Quan Hoang* and Tran, Tri Dung, "The cultural dimensions of the Vietnamese private entrepreneurship", The IUP Journal of Entrepreneurship Development, 6, 3 & 4, 54-78, September and December, 2009. Weill* L., "Cost Efficiency of Belgian Banks during the Nineties", Brussels Economic Review - Cahiers Economiques de Bruxelles, 2006. Weill* L., "Is There a Lasting Gap in Bank Efficiency between Western and Eastern European Countries?", Comparative Economic Studies, 49, 101-127, 2007. Weill* L., "On the Inefficiency of European Socialist Economies Relative to Developed and Developing Economies", Journal of Productivity Analysis, 29, 2, 79-89, 2008. Weill* L., "Leverage and Corporate Performance: Does Institutional Environment Matter? ", Small Business Economics, 30, 3, 251-265, 2008. Weill* L., "Protection des Investisseurs et Efficience Macroéconomique", Revue Economique, 60, 1, 203-213, 2009. Weill* L., "Convergence in Banking Efficiency across European Countries", Journal of International Financial Markets, Institutions and Money, 19, 818-833, 2009.

Etude de cas, autres revues et working papers Azizieh C. and W. Breymann, "Estimation of the stylized fact of a stochastic cascade model", WP-CEB: N°04-30. Azizieh C. and W. Breymann, "Estimation of the Stylized Facts of a Stochastic Cascade Model", WP-CEB: N°05-009. Azizieh C., V. Denolin, and T. Metens, "New insights into the mechanisms of signal formation in RF-spoiled gradient echo sequences", WP-CEB: N°05-006. Bajgrowicz P. and O. Scaillet*, "Technical trading revisited: persistence tests, transaction costs, and false discoveries", HEC Genève DP and Swiss Finance Institute DP, 2007. Bajgrowicz P. and O. Scaillet*, "Technical trading revisited: persistence tests, transaction costs, and false discoveries", HEC Genève DP 2008.02 and Swiss Finance Institute DP 2008.5. Barras L., O. Scaillet *, and R. Wermers, "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas", WP-CEB: N°05-014. Baudewyns D., M-P. Laurent*, and A. Szafarz*, "Investir sur les marchés financiers ou dans l'immobilier locatif ?", l'Echo, 24 juin 2005.

11 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Beine M., P-Y. Preumont, and A. Szafarz*, "Sector diversification during crises: A European perspective", 2005. Beine M. and A. Szafarz*, "The Design of effective Central Bank Interventions: the yen/dollar case", WP-CEB: N°03-008. Bernal O., K. Oosterlinck, and A. Szafarz*, "Observing bailout expectations during a total eclipse of the sun", WP-CEB: N°08-015. Biebuyck T., A. Chapelle*, and A. Szafarz*, "Les leviers de contrôle des actionnaires majoritaires", WP-CEB: N°03-001. Blazy R. and L. Weill*, "The Impact of Legal Sanctions on Moral Hazard when Debt Contracts are Renegotiable", WP-CEB: N°07-012. Bossens F., G. Rayée*, N. S. Skantzos, and G. Deelstra, "Vanna-Volga methods applied to FX derivatives: from theory to market practice", WP-CEB: N°09-016. Boulier J-F., M. Brière*, and J.-R. Viala, "Do Leveraged Credit Derivatives Modify Credit Allocation? ", WP-CEB: N°08-014. Brière* M., "Market Reactions to Central Bank Communication Policies: Reading Interest Rate Options Smiles", WP-CEB: N°06-009. Brière* M., "La crise génère aussi des anomalies sur les marchés obligataires", Revue Banque, décembre 2008. Brière* M., "Are Inflation-Linked Bonds good for your portfolio? ", International Investment, August 2008. Brière* M., "Quel pouvoir de diversification offrent les obligations indexées à l’inflation ? ", Revue Banque, juin 2008. Brière* M., "Débouclement des positions de carry trades", Revue Banque, février 2008. Brière* M., "La volatilité, une classe d'actifs pour les investisseurs à long terme", Revue Banque, juin 2009. Brière* M., "Pourquoi les taux longs ne remontent plus", Option Finance, novembre 2009. Brière* M., "Vers Plus de différenciation entre pays européens après la crise", revue Banque, décembre 2009. Brière* M., A. Burgues, and O. Signori, "Volatility Exposure for Strategic Asset Allocation", WP-CEB: N°08-034. Brière* M., A. Chapelle* et A. Szafarz*, "Contagion ou globalisation sur les marchés financiers internationaux ?", WP-CEB: N°06-006.

12 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Brière* M., A. Chapelle*, and A. Szafarz*, "Diversifier en temps de crise", La Libre Belgique, 8 septembre 2008. Brière* M., A. Chapelle*, and A. Szafarz*, "No contagion, only globalization and flight to quality", WP-CEB: N°08-018. Brière* M. and A. Cohen, "A quoi réagit le marché des obligations privées?", WP-CEB: N°06-003. Brière* M., B. Drut*, and H. Dänner, "Währungsstrategien in Krisenzeiten", Absolut Report, 50, Jul-Aug 2009. Brière* M. and B. Drut*, "The Revenge of Purchasing Power Parity on Carry Trades during Crises", WP-CEB: N°09-013. Brière* M. and F. Ielpo, "Yield Curve Reaction to Macroeconomic News in Europe: Disentangling the US influence", WP-CEB: N°07-038. Brière* M. and O. Signori, "Do Inflation-Linked Bonds Still Diversify?", WP-CEB: N°07-029. Brière* M. and O. Signori, "Inflation-hedging portfolios in Different Regimes", WP-CEB: N°09-047. Brière* M., O. Signori, and K. Topeglo, "Contagion Bond Market “Conundrum”: New Factors Explaining Long-term Interest Rates?", WP-CEB: N°06-024. Brière* M. and A. Szafarz*, "Crisis-Robust Bond Portfolios", WP-CEB: N°07-030. Brière* M. and A. Szafarz*, "Optimizing Bond Portfolios through the cycle of financial crises", Global Pensions, March 2008. Chapelle* A. and A. Szafarz*, "Ownership and control: Dissecting the Pyramid", WP-CEB: N°3-002. Chapelle* A. and A. Szafarz*, "Control consolidation with a threshold: An algorithm", 2005. Chapelle* A. and A. Szafarz*, "Controlling firms through the Majority Voting Rule", WP-CEB: N°05-004. Chernozhukov V., P. Gagliardini, and O. Scaillet*, "Nonparametric instrumental variable estimators of quantile structural effects", HEC Genève DP and Swiss Finance Institute DP, 2007. Chernozhukov V., P. Gagliardini, and O. Scaillet*, "Nonparametric instrumental variable estimators of quantile structural effects", HEC Genève DP 2008.05 and Swiss Finance Institute DP 2008.3.

13 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Cosma A., O. Scaillet*, and R. von Sachs, "Multivariate wavelet-based shape preserving estimation for dependent observations", HEC Genève DP and FAME DP 144, April 2005. Dehon C., B. Dewaele*, L. Gheeraert*, and H. Pirotte*, "The Cross-section of Stock Returns through Quantile Regression", Working paper in progress. Denuit M., A.-C. Goderniaux, and O. Scaillet*, "A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives", FAME DP 143 and HEC Genève DP, March 2005. De Scheemaekere* X., "The epistemology of modern finance", WP-CEB: N°06-017. De Scheemaekere* X., "Risk indifference pricing and backward stochastic differential equations", WP-CEB: N°08-027. De Scheemaekere* X., "Dynamic pricing and hedging in incomplete markets", Aenorm, University of Amsterdam and Free University, 64, June 2009. De Scheemaekere* X., "Finance, mathématiques et probabilités", Finance & the Common Good/Bien Commun, La revue de l’Observatoire de la Finance, 31-32, 2009. De Scheemaekere* X. and A. Szafarz*, "The Special Status of Mathematical Probability: A Historical Sketch", WP-CEB: N°08-017. De Scheemaekere* X. and A. Szafarz*, “Inverting Bernoulli’s Theorem: The Original Sin”, WP-CEB: N°08-029. Dherbecourt J.-B. and B. Drut*, "Who will go down this year? The Determinants of Promotion and Relegation in European Soccer Leagues", WP-CEB: N°09-038. Drut* B., "Sovereign Bonds and Socially Responsible Investment", WP-CEB: N°09-014. Drut* B., "Nice guys with cold feet: The cost of responsible investing in the bond markets", WP-CEB: N°09-034. Duchemin S., M-P. Laurent*, and M. Schmit*, "To what extent are automotive leasing portfolios sensitive to systematic risk ?", WP-CEB: N°03-007. Farber* A., "Taking Stock", Vietnam Economic Times, pp. 30-31, May 2004. Farber* A., R. Gillet*, and A. Szafarz*, "A general formula for the WACC", WP-CEB: N°05/012. Farber* A., Nguyen Huu Tu, Tran Tri Dung, and Quan Hoang Vuong*, "The financial storms in Vietnam’s transition economy: A reasoning on the 1991-2008 period", WP-CEB: N°08-023. Farber* A. and Quan Hoang Vuong*, "New empirical results on anomalies and herd behavior: Vietnam stock market 2000-2004", Nghiên cui Kinh tê sô 316, Thang 9/2004.

14 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Farber* A., N. Van Huu, and Quan Hoang Vuong*, "A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion", WP-CEB: N°06-004. Farber* A., N. Van Nam, and Quan Hoang Vuong*, "Policy Impacts on Vietnam Stock Markets: A Case of Anomalies and Disequilibria 2000-2006", WP-CEB: N°06-005. Gagliardini P. and O. Scaillet*, "A specification test for nonparametric instrumental variable regression", HEC Genève DP 2007.06 and Swiss Finance Institute DP 2007.13, 2007. Gheeraert* L., "Emerging Stock Market Returns: The CAPM Challenge", WP-CEB: N°06-025. Gheeraert* L., "The Influence of Culture on Economic Outcomes: An Exploration of Islamic Finance as a New Transmission Channel", WP-CEB: N°08-042. Gheeraert* L. and J. Malek Mansour, "On the Impact of Private Capital Flows on Economic Growth and Development", WP-CEB: N°05-003. Gheeraert* L. and R. Sukadi Mata, "How remittances impact national accounts – A macro analysis", WP-CEB: N°07-039. Gillet* R. et H. de La Bruslerie, "The consequences of issuing convertible bonds: dilution and/or financial restructuring", Cahiers de Recherche PRISM-Sorbonne, 2, 2008. Gillet* R., R. Goffin, I. Nagot, and A. Szafarz*, "Stratégies d'investissement en actions et fonds à capital garanti", WP-CEB: N°06-008. Gillet* R., G. Hübner, and S. Plunus, "Operational Risk and Reputation in the Financial Industry", Cahiers de Recherche PRISM-Sorbonne, CR-09-01-01. Gillet* R. et H. Pirotte*, "Gestion financière: au-delà des mathématiques ? ", Revue Echanges, 60-61, Mars 2009. Hainz C., C. Godlewski, and L. Weill*, "Bank Competition and Collateral: Theory and Evidence", Bank of Finland Research Discussion Paper 27/2008. Hallin M., C. Mathias, H. Pirotte*, and D. Veredas, "Market Liquidity as Dynamic Factors". Hamelin* A., "Do small family businesses have a peculiar attitude toward growth? Evidence from French SMEs", WP-CEB: N°09-032. Hamelin* A., "Is there tunneling in small business groups? Evidence from French SMEs", WP-SSRN: N°1342491. Hamelin* A. and J. Trojman, "Family ownership and growth: The case of French SMEs", WP-CEB: N°07-024.

15 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Huber P., O. Scaillet*, and M.-P. Victoria-Feser, "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements", FAME DP 159 and HEC Genève, December 2005. Karas A., K. Schoors, and L. Weill*, "Are Private Banks More Efficient than Public Banks? Evidence from Russia", BOFIT Discussion Papers 3/2008, Bank of Finland. Kuhry Y. and L. Weill*, "Financial Intermediation and Macroeconomic Efficiency", WP LARGE 2008-03, Université de Strasbourg. Laurent* M-P., "Indices as diversification instruments in Europe", WP-CEB: N°3-004. Laurent* M-P., "The effect of earnings release for Belgian", WP-CEB: N°3-005. Laurent* M-P., "Non-maturity deposits with a fidelity premium", WP-CEB: N°04-016, 2004. Laurent* M-P., "Asset return correlation in Basel II: Implications for credit risk management", WP-CEB: N°04-017, 2004. Levy* M., "Control in Pyramidal Structures", WP-CEB: N°06-023. Levy* M., "Did the « Pax Electrica » agreements reduce the Suez’ power relationship on Elia, the Belgian electricity grid manager? ", WP-CEB: N°09-035. Lorent* B., "Solvency II: avancées des travaux", WP-CEB: N°06-022. Lorent* B., "Risks and Regulation of Insurance Companies. Is Solvency II the Right Answer? ", WP-CEB: N°08-007. Lorent* B., "Raisons Fondamentales d’une Régulation Prudentielle du Secteur des Assurances", WP-CEB: N°08-020. Loulit* A., "Pricing Barrier Option with Curved Boundary". Loulit* A., "Pricing debt under CEV Model". Loulit* A., "Pricing derivative security under CEV Model". Loulit* A., "Credit risk and yield spreads in the HJM environment". Loulit* A., "Valuation of defaultable bond using an adjustable stochastic default boundary". Loulit* A., "Asymptotic approximation of the hitting-time and evaluation of a risky bond", WP-CEB: N°04-29, 2004. Loulit* A., "Approximating equity volatility", WP-CEB: N°04-28, 2004. Medvedev A. and O. Scaillet*, "Pricing American options under stochastic volatility and stochastic interest rates", Swiss Finance Institute DP 2007.25 and HEC Genève DP 2007.10, 2007.

16 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Méon* P-G., F. Schneider, and L. Weill*, "Does taking the shadow economy into account matter to measure aggregate efficiency?", WP-CEB: N°07-027 and Working paper DULBEA N°07-18.RS. Méon* P-G. et A. Szafarz*, "Discrimination en entreprise", La Libre Belgique, 30 mai 2008. Méon* P-G. and A. Szafarz*, "Labour market discrimination as an agency cost", WP-CEB: N°08-019. Méon* P-G. and L. Weill*, "Does Financial Intermediation Matter for Macroeconomic efficiency?", WP-CEB: N°07-009. Méon* P-G. and L. Weill*, "Is Corruption an Efficient Grease? ", WP LARGE 2008-06, Université de Strasbourg, BOFIT Discussion Papers 20/2008, Bank of Finland, Institute for Economies in Transition. Méon* P-G. and L. Weill*, "Does Financial Intermediation Matter for Macroeconomic Efficiency ?", WP LARGE 2008-05, Université de Strasbourg. Mills* J. and M. Schmit*, "The EU implementation of Basel II: The Case of Leaseurope". Minne* P., Interview, "La pêche à l’information fiscale n’est pas pour demain", L’Echo, 4-6 avril 2009. Minne* P., "Secret bancaire: comment réagira le contribuable ? ", Chronique Mon Argent, 5 décembre 2009. Peters M. and H. Pirotte*, "Comment on the proposed CRD amendment on significant risk transfer", WP-CEB: N°08-021. Pirotte* H. , M. Schmit* and C. Vaessen*., "Credit risk mitigation evidence in auto leases: LGD and Residual value risk", WP-CEB: N°04-008. Scaillet* O., "Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters", FAME DP 145 and HEC Genève, May 2005. Scaillet* O. and N. Topaloglou, "Testing for stochastic dominance efficiency", FAME DP 154 and HEC Genève, August 2005. Scaillet* O., "Performants, les fonds mutuels? ", La Libre Entreprise, 13 juin 2009. Schmit* M, "Is automotive leasing a risky business?", WP-CEB: N°03-009. Schmit* M., "Leaseurope Statistics", World Leasing Yearbook 2003, Euromoney Publication, pp. 25-27. Schmit* M., "Leaseurope Statistics", World Leasing Yearbook 2004, Euromoney Publication, 29-33, 2004.

17 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Schmit* M., "Leaseurope and Basel II: The challenge for a better assessment of credit risk", Port Technology International, published by Henley Publishing Ltd, Tenty Third Edition, 48-49, 2004. Schmit* M., "Pour un bon sens réglementaire", La Libre Entreprise, 11 avril 2009. Schmit* M. and S. C. Van Belle, "Residual value risk in the automotive lease sector: an empirical approach of residual value losses", Leaseurope, 2004. Schmit* M., "Leaseurope Statistics", World Leasing Yearbook, Euromoney Publication, 42-46, 2005. Sekkat* K. and A. Szafarz*, "Valuing Homeownership", WP-CEB: N°09-006. Szafarz* A., "Entre souci de rentabilité et aide au développement", interview dans La Libre du 14 octobre 2006 Szafarz* A., "Hiring People-like-Yourself: A Representation of Discrimination on the Job Market", WP-CEB: N°07-021 and WP DULBEA N°07-21.RS. Szafarz* A., "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?", WP-CEB: N°09-048. Vermorken* M., A. Szafarz*, and H. Pirotte*, "Sector Classification through non-Gaussian Similarity", WP-CEB: N°08-032. Vuong* Quan Hoang, "Vietnamese Economy in the financial storm of 2008-09", Communist Review (The Oretical and Political Agency of The Communist Party of Vietnam), January 2009. Vuong* Quan Hoang and Nguyen Hong Son, "Inter-connection of real-estate, securities and monetary markets", Communist Review, 7, 151, 56-62, 2008. Vuong* Quan Hoang and Pham Minh Chinh, "Macroeconomic Security in the financial crisis of 2008: big lessons", Public Security Review, 2008. Vuong* Quan Hoang and Pham Minh Chinh, "Vietnam’s financial background in 1997- 1998 and 2007-2008: the Gap and Changes", Economic Studies Review, 7, 362, 3-24, 2008. Vuong* Quan Hoang and Pham Minh Chinh, "Security of Vietnam financial system: seven caution signals", Communist Review, 8, 786, 71-78, 2008. Vuong Quan Hoang* and Tran Tri Dung, "A Note on Studies of Monetary Policy and Implementation in Vietnam", WP-CEB: N°09-024. Vuong Quan Hoang* and Tran Tri Dung, "The Cultural Dimensions of the Vietnamese Private Entrepreneurship", WP-CEB: N°09-027.

18 Publications du département de Finance du Centre Emile Bernheim depuis 2003 

 

Vuong Quan-Hoang*, Tran Tri Dung, and Nguyen Thi Chau Ha, "Mergers and Acquisitions in Vietnam's Emerging Market Economy, 1990-2009", WP-CEB: N°09-045. Weill* L., "Convergence in Banking Efficiency across European Countries", WP LARGE 2008-07, Université de Strasbourg. Weill* L., "How Corruption Affects Bank Lending in Russia", BOFIT Discussion Papers 18/2008, Bank of Finland.

Tous les working-papers sont disponibles en ligne sur le lien suivant: Working-Papers CEB