IDEAS home Printed from https://ideas.repec.org/a/cai/recosp/reco_693_0443.html
   My bibliography  Save this article

Du MEDAF avec risque systémique à la détermination des institutions financières d’importance systémique

Author

Listed:
  • Jean-Charles Garibal
  • Patrick Kouontchou
  • Bertrand Maillet

Abstract

We propose herein to test an extension of the traditional capital asset pricing model (CAPM), in which is added a factor of systemic risk, build thanks to a sparse principal component analysis (SPCA) of a large set of systemic risk measures, as recently proposed by several authors. Empirical tests show that, on the American equities market, the new systemic risk factor is highly significant when pricing assets. At the end, we propose an original application in order to detect and rank systemically important financial institutions (SIFI).

Suggested Citation

  • Jean-Charles Garibal & Patrick Kouontchou & Bertrand Maillet, 2018. "Du MEDAF avec risque systémique à la détermination des institutions financières d’importance systémique," Revue économique, Presses de Sciences-Po, vol. 69(3), pages 443-475.
    • Handle: RePEc:cai:recosp:reco_693_0443
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=RECO_693_0443
    Download Restriction: free
    File URL: http://www.cairn.info/revue-economique-2018-3-page-443.htm
    Download Restriction: free
    ---><---

    More about this item

    Keywords

    CAPM; systemic risk; SIFI;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:recosp:reco_693_0443. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-economique.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.