Details about Christophe Perignon

Access statistics for papers by Christophe Perignon.

Last updated 2021-11-30. Update your information in the RePEc Author Service.

Short-id: ppe841

Working Papers

2021

1. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2020

2. Reproducibility Certification in Economics Research
   Working Papers, HAL
3. What If Dividends Were Tax‐Exempt? Evidence from a Natural Experiment
   Working Papers, HAL
   Also in FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland (2019) View citations (1)

2019

4. A Theoretical and Empirical Comparison of Systemic Risk Measures
   Working Papers, HAL View citations (4)
   Also in Working Papers, HAL (2013) View citations (106)
5. Machine Learning et nouvelles sources de données pour le scoring de crédit
   LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (5)
   Also in Working Papers, HAL (2019) View citations (3)
   See also Journal Article Machine learning et nouvelles sources de données pour le scoring de crédit, Revue d'économie financière, Association d'économie financière (2019) View citations (5) (2019)
6. Pitfalls in systemic-risk scoring
   Post-Print, HAL View citations (24)
   Also in Working Papers, HAL (2017) View citations (3)
   See also Journal Article Pitfalls in systemic-risk scoring, Journal of Financial Intermediation, Elsevier (2019) View citations (24) (2019)

2017

7. The Private Production of Safe Assets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
   Also in HEC Research Papers Series, HEC Paris (2017) View citations (7)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (7)
   See also Journal Article The Private Production of Safe Assets, Journal of Finance, American Finance Association (2021) View citations (9) (2021)
8. Where the Risks Lie: A Survey on Systemic Risk
   Post-Print, HAL View citations (183)
   Also in Working Papers, HAL (2015) View citations (21)
   HEC Research Papers Series, HEC Paris (2015) View citations (30)
   Working Papers, HAL (2015) View citations (30)
   See also Journal Article Where the Risks Lie: A Survey on Systemic Risk, Review of Finance, European Finance Association (2017) View citations (245) (2017)
9. Wholesale Funding Dry-Ups
   HEC Research Papers Series, HEC Paris View citations (19)
   Also in ESRB Working Paper Series, European Systemic Risk Board (2017) View citations (10)
   See also Journal Article Wholesale Funding Dry‐Ups, Journal of Finance, American Finance Association (2018) View citations (43) (2018)

2015

10. CoMargin
    Working Papers, HAL
    See also Journal Article CoMargin, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) (2017)
11. Implied Risk Exposures
    Post-Print, HAL View citations (3)
    Also in Working Papers, HAL (2014)
    See also Journal Article Implied Risk Exposures, Review of Finance, European Finance Association (2015) View citations (3) (2015)
12. Wholesale Funding Runs
    Working Papers, HAL

2014

13. The Collateral Risk of ETFs
    HEC Research Papers Series, HEC Paris View citations (2)
14. The Counterparty Risk Exposure of ETF Investors
    Working Papers, HAL View citations (1)
    See also Journal Article The counterparty risk exposure of ETF investors, Journal of Banking & Finance, Elsevier (2019) View citations (3) (2019)

2013

15. Derivatives Clearing, Default Risk, and Insurance
    Post-Print, HAL View citations (23)
    See also Journal Article Derivatives Clearing, Default Risk, and Insurance, Journal of Risk & Insurance, The American Risk and Insurance Association (2013) View citations (20) (2013)
16. Systemic Risk Score: A Suggestion
    Working Papers, HAL View citations (3)
    Also in Working Papers, HAL (2013) View citations (2)
    HEC Research Papers Series, HEC Paris (2013) View citations (3)

2012

17. Margin Backtesting
    Working Papers, HAL View citations (6)
18. Representative Yield Curve Shocks and Stress Testing
    Post-Print, HAL
    Also in Post-Print, HAL (2008) View citations (2)
19. RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results
    Working Papers, HAL View citations (2)
20. The Risk Map: A New Tool for Validating Risk Models
    Working Papers, HAL View citations (2)
    See also Journal Article The Risk Map: A new tool for validating risk models, Journal of Banking & Finance, Elsevier (2013) View citations (27) (2013)

2011

21. Clearing house, margin requirements, and systemic risk
    Post-Print, HAL View citations (3)
    Also in Post-Print, HAL (2011) View citations (4)
22. Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities
    Working Papers, HAL
23. The Pernicious Effects of Contaminated Data in Risk Management
    Post-Print, HAL View citations (4)
    Also in Post-Print, HAL (2010)
    See also Journal Article The pernicious effects of contaminated data in risk management, Journal of Banking & Finance, Elsevier (2011) View citations (8) (2011)

2010

24. Diversification and Value-at-Risk
    Post-Print, HAL View citations (40)
    See also Journal Article Diversification and Value-at-Risk, Journal of Banking & Finance, Elsevier (2010) View citations (39) (2010)
25. La gestion des risques fait sa révolution
    Post-Print, HAL
26. The level and quality of Value-at-Risk disclosure by commercial banks
    Post-Print, HAL View citations (122)
    Also in Post-Print, HAL (2009) View citations (1)
    See also Journal Article The level and quality of Value-at-Risk disclosure by commercial banks, Journal of Banking & Finance, Elsevier (2010) View citations (140) (2010)

2009

27. Commonality in Liquidity: A Global Perspective
    Post-Print, HAL View citations (86)
    See also Journal Article Commonality in Liquidity: A Global Perspective, Journal of Financial and Quantitative Analysis, Cambridge University Press (2009) View citations (111) (2009)
28. Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data
    Post-Print, HAL View citations (3)
29. Marchés Financiers: Gestion de portefeuille et des risques
    Post-Print, HAL
    Also in Post-Print, HAL (2009)

2008

30. A New Approach to Comparing VaR Estimation Methods
    Post-Print, HAL View citations (30)
31. Do banks overstate their Value-at-Risk?
    Post-Print, HAL View citations (78)
    See also Journal Article Do banks overstate their Value-at-Risk?, Journal of Banking & Finance, Elsevier (2008) View citations (77) (2008)
32. How common are common return factors across NYSE and Nasdaq?
    Post-Print, HAL View citations (15)
    See also Journal Article How common are common return factors across the NYSE and Nasdaq?, Journal of Financial Economics, Elsevier (2008) View citations (15) (2008)
33. Impact of Overwhelming Joy on Consumer Demand
    Post-Print, HAL View citations (13)

2007

34. Repurchasing Shares on a Second Trading Line
    Post-Print, HAL View citations (12)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) View citations (5)
    FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland (2005)
35. Yield-factor volatility models
    Post-Print, HAL View citations (7)
    See also Journal Article Yield-factor volatility models, Journal of Banking & Finance, Elsevier (2007) View citations (7) (2007)

2006

36. Sources of time variation in the covariance matrix of interest rates
    Post-Print, HAL View citations (3)
    See also Journal Article Sources of Time Variation in the Covariance Matrix of Interest Rates, The Journal of Business, University of Chicago Press (2006) View citations (15) (2006)

2004

37. Component Proponents II
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2002) View citations (2)

2002

38. Estimation empirique de l'aversion au risque: l'apport des marchés d'options
    Post-Print, HAL
39. Extracting information from options markets: smiles, state-price densities and risk-aversion
    Post-Print, HAL View citations (10)
    See also Journal Article Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion, European Financial Management, European Financial Management Association (2002) View citations (14) (2002)

2000

40. Evolution of Market Uncertainty around Earnings Announcements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)
    Also in Working Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- (1999)
    See also Journal Article Evolution of market uncertainty around earnings announcements, Journal of Banking & Finance, Elsevier (2001) View citations (14) (2001)

1999

41. On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective
    Working Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- View citations (4)
    See also Journal Article On the dynamic interdependence of international stock markets: A Swiss perspective, Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES) (2000) View citations (6) (2000)

Journal Articles

2021

1. The Private Production of Safe Assets
   Journal of Finance, 2021, 76, (2), 495-535 View citations (9)
   See also Working Paper The Private Production of Safe Assets, CEPR Discussion Papers (2017) View citations (7) (2017)

2019

2. Machine learning et nouvelles sources de données pour le scoring de crédit
   Revue d'économie financière, 2019, N° 135, (3), 21-50 View citations (5)
   See also Working Paper Machine Learning et nouvelles sources de données pour le scoring de crédit, LEO Working Papers / DR LEO (2019) View citations (5) (2019)
3. Pitfalls in systemic-risk scoring
   Journal of Financial Intermediation, 2019, 38, (C), 19-44 View citations (24)
   See also Working Paper Pitfalls in systemic-risk scoring, Post-Print (2019) View citations (24) (2019)
4. The counterparty risk exposure of ETF investors
   Journal of Banking & Finance, 2019, 102, (C), 215-230 View citations (3)
   See also Working Paper The Counterparty Risk Exposure of ETF Investors, Working Papers (2014) View citations (1) (2014)

2018

5. Wholesale Funding Dry‐Ups
   Journal of Finance, 2018, 73, (2), 575-617 View citations (43)
   See also Working Paper Wholesale Funding Dry-Ups, HEC Research Papers Series (2017) View citations (19) (2017)

2017

6. CoMargin
   Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2183-2215
   See also Working Paper CoMargin, Working Papers (2015) (2015)
7. The Political Economy of Financial Innovation: Evidence from Local Governments
   The Review of Financial Studies, 2017, 30, (6), 1903-1934 View citations (7)
8. Where the Risks Lie: A Survey on Systemic Risk
   Review of Finance, 2017, 21, (1), 109-152 View citations (245)
   See also Working Paper Where the Risks Lie: A Survey on Systemic Risk, Post-Print (2017) View citations (183) (2017)

2015

9. Implied Risk Exposures
   Review of Finance, 2015, 19, (6), 2183-2222 View citations (3)
   See also Working Paper Implied Risk Exposures, Post-Print (2015) View citations (3) (2015)

2013

10. Derivatives Clearing, Default Risk, and Insurance
    Journal of Risk & Insurance, 2013, 80, (2), 373-400 View citations (20)
    See also Working Paper Derivatives Clearing, Default Risk, and Insurance, Post-Print (2013) View citations (23) (2013)
11. The Risk Map: A new tool for validating risk models
    Journal of Banking & Finance, 2013, 37, (10), 3843-3854 View citations (27)
    See also Working Paper The Risk Map: A New Tool for Validating Risk Models, Working Papers (2012) View citations (2) (2012)

2011

12. The pernicious effects of contaminated data in risk management
    Journal of Banking & Finance, 2011, 35, (10), 2569-2583 View citations (8)
    See also Working Paper The Pernicious Effects of Contaminated Data in Risk Management, Post-Print (2011) View citations (4) (2011)

2010

13. Diversification and Value-at-Risk
    Journal of Banking & Finance, 2010, 34, (1), 55-66 View citations (39)
    See also Working Paper Diversification and Value-at-Risk, Post-Print (2010) View citations (40) (2010)
14. The level and quality of Value-at-Risk disclosure by commercial banks
    Journal of Banking & Finance, 2010, 34, (2), 362-377 View citations (140)
    See also Working Paper The level and quality of Value-at-Risk disclosure by commercial banks, Post-Print (2010) View citations (122) (2010)

2009

15. Commonality in Liquidity: A Global Perspective
    Journal of Financial and Quantitative Analysis, 2009, 44, (4), 851-882 View citations (111)
    See also Working Paper Commonality in Liquidity: A Global Perspective, Post-Print (2009) View citations (86) (2009)

2008

16. Do banks overstate their Value-at-Risk?
    Journal of Banking & Finance, 2008, 32, (5), 783-794 View citations (77)
    See also Working Paper Do banks overstate their Value-at-Risk?, Post-Print (2008) View citations (78) (2008)
17. How common are common return factors across the NYSE and Nasdaq?
    Journal of Financial Economics, 2008, 90, (3), 252-271 View citations (15)
    See also Working Paper How common are common return factors across NYSE and Nasdaq?, Post-Print (2008) View citations (15) (2008)

2007

18. Why common factors in international bond returns are not so common
    Journal of International Money and Finance, 2007, 26, (2), 284-304 View citations (24)
19. Yield-factor volatility models
    Journal of Banking & Finance, 2007, 31, (10), 3125-3144 View citations (7)
    See also Working Paper Yield-factor volatility models, Post-Print (2007) View citations (7) (2007)

2006

20. Sources of Time Variation in the Covariance Matrix of Interest Rates
    The Journal of Business, 2006, 79, (3), 1535-1550 View citations (15)
    See also Working Paper Sources of time variation in the covariance matrix of interest rates, Post-Print (2006) View citations (3) (2006)

2002

21. Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion
    European Financial Management, 2002, 8, (4), 495-513 View citations (14)
    See also Working Paper Extracting information from options markets: smiles, state-price densities and risk-aversion, Post-Print (2002) View citations (10) (2002)

2001

22. Evolution of market uncertainty around earnings announcements
    Journal of Banking & Finance, 2001, 25, (9), 1769-1788 View citations (14)
    See also Working Paper Evolution of Market Uncertainty around Earnings Announcements, FAME Research Paper Series (2000) View citations (1) (2000)

2000

23. Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports
    Applied Economics, 2000, 32, (13), 1757-1765 View citations (60)
24. On the dynamic interdependence of international stock markets: A Swiss perspective
    Swiss Journal of Economics and Statistics (SJES), 2000, 136, (II), 123-146 View citations (6)
    See also Working Paper On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective, Working Papers (1999) View citations (4) (1999)