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Details about Christophe Perignon

E-mail:
Homepage:http://www.hec.fr/perignon
Workplace:HEC Paris (École des Hautes Études Commerciales) (HEC Business School), (more information at EDIRC)

Access statistics for papers by Christophe Perignon.

Last updated 2019-07-01. Update your information in the RePEc Author Service.

Short-id: ppe841


Jump to Journal Articles

Working Papers

2017

  1. Pitfalls in Systemic-Risk Scoring
    Working Papers, HAL View citations (1)
  2. The Private Production of Safe Assets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in HEC Research Papers Series, HEC Paris (2017) Downloads View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (3)
  3. Where the Risks Lie: A Survey on Systemic Risk
    Post-Print, HAL View citations (47)
    Also in Working Papers, HAL (2015) Downloads View citations (22)
    Working Papers, HAL (2015) View citations (3)
    HEC Research Papers Series, HEC Paris (2015) Downloads View citations (24)

    See also Journal Article in Review of Finance (2017)
  4. Wholesale Funding Dry-Ups
    HEC Research Papers Series, HEC Paris Downloads View citations (16)
    Also in ESRB Working Paper Series, European Systemic Risk Board (2017) Downloads View citations (5)

    See also Journal Article in Journal of Finance (2018)

2015

  1. CoMargin
    Working Papers, HAL Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2017)
  2. Implied Risk Exposures
    Post-Print, HAL View citations (2)
    Also in Working Papers, HAL (2014) Downloads

    See also Journal Article in Review of Finance (2015)
  3. Wholesale Funding Runs
    Working Papers, HAL

2014

  1. The Collateral Risk of ETFs
    HEC Research Papers Series, HEC Paris Downloads View citations (2)
  2. The Counterparty Risk Exposure of ETF Investors
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2019)

2013

  1. A Theoretical and Empirical Comparison of Systemic Risk Measures
    Working Papers, HAL Downloads View citations (62)
  2. Derivatives Clearing, Default Risk, and Insurance
    Post-Print, HAL View citations (12)
    See also Journal Article in Journal of Risk & Insurance (2013)
  3. Systemic Risk Score: A Suggestion
    HEC Research Papers Series, HEC Paris Downloads View citations (3)
    Also in Working Papers, HAL (2013) Downloads View citations (3)
    Working Papers, HAL (2013)

2012

  1. Margin Backtesting
    Working Papers, HAL Downloads View citations (6)
  2. Representative Yield Curve Shocks and Stress Testing
    Post-Print, HAL
    Also in Post-Print, HAL (2008) View citations (2)
  3. RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results
    Working Papers, HAL Downloads
  4. The Risk Map: A New Tool for Validating Risk Models
    Working Papers, HAL Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2013)

2011

  1. Clearing house, margin requirements, and systemic risk
    Post-Print, HAL View citations (3)
    Also in Post-Print, HAL (2011) View citations (2)
  2. Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities
    Working Papers, HAL
  3. The Pernicious Effects of Contaminated Data in Risk Management
    Post-Print, HAL View citations (2)
    Also in Post-Print, HAL (2010)

    See also Journal Article in Journal of Banking & Finance (2011)

2010

  1. Diversification and Value-at-Risk
    Post-Print, HAL View citations (23)
    See also Journal Article in Journal of Banking & Finance (2010)
  2. La gestion des risques fait sa révolution
    Post-Print, HAL
  3. The level and quality of Value-at-Risk disclosure by commercial banks
    Post-Print, HAL View citations (75)
    Also in Post-Print, HAL (2009)

    See also Journal Article in Journal of Banking & Finance (2010)

2009

  1. Commonality in Liquidity: A Global Perspective
    Post-Print, HAL View citations (51)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2009)
  2. Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data
    Post-Print, HAL View citations (3)
  3. Marchés Financiers: Gestion de portefeuille et des risques
    Post-Print, HAL

2008

  1. A New Approach to Comparing VaR Estimation Methods
    Post-Print, HAL View citations (20)
  2. Do banks overstate their Value-at-Risk?
    Post-Print, HAL View citations (18)
    See also Journal Article in Journal of Banking & Finance (2008)
  3. How common are common return factors across NYSE and Nasdaq?
    Post-Print, HAL View citations (4)
    See also Journal Article in Journal of Financial Economics (2008)
  4. Impact of Overwhelming Joy on Consumer Demand
    Post-Print, HAL View citations (1)

2007

  1. Repurchasing Shares on a Second Trading Line
    Post-Print, HAL View citations (6)
    Also in FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland (2005) Downloads
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) Downloads View citations (5)
  2. Yield-factor volatility models
    Post-Print, HAL View citations (5)
    See also Journal Article in Journal of Banking & Finance (2007)

2006

  1. Sources of time variation in the covariance matrix of interest rates
    Post-Print, HAL View citations (1)
    See also Journal Article in The Journal of Business (2006)

2004

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

2002

  1. Estimation empirique de l'aversion au risque: l'apport des marchés d'options
    Post-Print, HAL
  2. Extracting information from options markets: smiles, state-price densities and risk-aversion
    Post-Print, HAL View citations (4)
    See also Journal Article in European Financial Management (2002)

2000

  1. Evolution of Market Uncertainty around Earnings Announcements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
    Also in Working Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- (1999)

    See also Journal Article in Journal of Banking & Finance (2001)

1999

  1. 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 in Swiss Journal of Economics and Statistics (SJES) (2000)

Journal Articles

2019

  1. The counterparty risk exposure of ETF investors
    Journal of Banking & Finance, 2019, 102, (C), 215-230 Downloads
    See also Working Paper (2014)

2018

  1. Wholesale Funding Dry‐Ups
    Journal of Finance, 2018, 73, (2), 575-617 Downloads View citations (6)
    See also Working Paper (2017)

2017

  1. CoMargin
    Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2183-2215 Downloads
    See also Working Paper (2015)
  2. The Political Economy of Financial Innovation: Evidence from Local Governments
    Review of Financial Studies, 2017, 30, (6), 1903-1934 Downloads View citations (5)
  3. Where the Risks Lie: A Survey on Systemic Risk
    Review of Finance, 2017, 21, (1), 109-152 Downloads View citations (49)
    See also Working Paper (2017)

2015

  1. Implied Risk Exposures
    Review of Finance, 2015, 19, (6), 2183-2222 Downloads View citations (2)
    See also Working Paper (2015)

2013

  1. Derivatives Clearing, Default Risk, and Insurance
    Journal of Risk & Insurance, 2013, 80, (2), 373-400 Downloads View citations (10)
    See also Working Paper (2013)
  2. The Risk Map: A new tool for validating risk models
    Journal of Banking & Finance, 2013, 37, (10), 3843-3854 Downloads View citations (14)
    See also Working Paper (2012)

2011

  1. The pernicious effects of contaminated data in risk management
    Journal of Banking & Finance, 2011, 35, (10), 2569-2583 Downloads View citations (6)
    See also Working Paper (2011)

2010

  1. Diversification and Value-at-Risk
    Journal of Banking & Finance, 2010, 34, (1), 55-66 Downloads View citations (31)
    See also Working Paper (2010)
  2. The level and quality of Value-at-Risk disclosure by commercial banks
    Journal of Banking & Finance, 2010, 34, (2), 362-377 Downloads View citations (101)
    See also Working Paper (2010)

2009

  1. Commonality in Liquidity: A Global Perspective
    Journal of Financial and Quantitative Analysis, 2009, 44, (4), 851-882 Downloads View citations (77)
    See also Working Paper (2009)

2008

  1. Do banks overstate their Value-at-Risk?
    Journal of Banking & Finance, 2008, 32, (5), 783-794 Downloads View citations (56)
    See also Working Paper (2008)
  2. How common are common return factors across the NYSE and Nasdaq?
    Journal of Financial Economics, 2008, 90, (3), 252-271 Downloads View citations (10)
    See also Working Paper (2008)

2007

  1. Why common factors in international bond returns are not so common
    Journal of International Money and Finance, 2007, 26, (2), 284-304 Downloads View citations (19)
  2. Yield-factor volatility models
    Journal of Banking & Finance, 2007, 31, (10), 3125-3144 Downloads View citations (6)
    See also Working Paper (2007)

2006

  1. Sources of Time Variation in the Covariance Matrix of Interest Rates
    The Journal of Business, 2006, 79, (3), 1535-1550 Downloads View citations (9)
    See also Working Paper (2006)

2002

  1. Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion
    European Financial Management, 2002, 8, (4), 495-513 Downloads View citations (8)
    See also Working Paper (2002)

2001

  1. Evolution of market uncertainty around earnings announcements
    Journal of Banking & Finance, 2001, 25, (9), 1769-1788 Downloads View citations (12)
    See also Working Paper (2000)

2000

  1. Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports
    Applied Economics, 2000, 32, (13), 1757-1765 Downloads View citations (32)
  2. On the dynamic interdependence of international stock markets: A Swiss perspective
    Swiss Journal of Economics and Statistics (SJES), 2000, 136, (II), 123-146 Downloads View citations (4)
    See also Working Paper (1999)
 
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