Derivatives markets: from bank risk management to financial stability

Les marchés de dérivés: gestion des risques bancaires et stabilité financière

Guillaume Vuillemey ()
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Guillaume Vuillemey: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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Abstract: In its first part, this thesis studies the optimal use of derivatives contracts for risk management by financial intermediaries, focusing especially on interest rate derivative contracts. It models the optimal capital structure policy of a bank and shows how the optimal use of derivatives affects a number of oft-studied decisions in corporate finance: bank lending, maturity mismatching, payout policy or default probabilities. The second part of the thesis, in contrast, studies derivatives market as a system on its own. The second chapter uses a new and unique dataset of bilateral exposures to CDS contracts in order to provide a detailed description of the network structure of exposures. The third chapter focuses on the regulation of derivatives markets. It studies central clearing of standardized derivatives contracts and the collateral demand induced by the reform at a global scale, under a variety of hypotheses regarding the market microstructure.

Keywords: Derivatives; Financial intermediation; Central clearing; Systemic risk; Produits dérivés; Intermédiation financière; Compensation centrale; Risque systémique (search for similar items in EconPapers)
Date: 2015-07-16
Note: View the original document on HAL open archive server: https://theses.hal.science/tel-03507099
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Published in Economics and Finance. Institut d'études politiques de paris - Sciences Po, 2015. English. ⟨NNT : 2015IEPP0007⟩

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