Jean-Cyprien Héam
(Jean-Cyprien Heam)

Personal Details

First Name:	Jean-Cyprien
Middle Name:
Last Name:	Heam
Suffix:
RePEc Short-ID:	pha947
	[This author has chosen not to make the email address public]
	http://www.crest.fr/pagesperso.php?user=3281

Affiliation

(50%) Centre de Recherche en Économie et Statistique (CREST)

Palaiseau, France
http://crest.science/
RePEc:edi:crestfr (more details at EDIRC)

(50%) Banque de France

Paris, France
http://www.banque-france.fr/
RePEc:edi:bdfgvfr (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.

   Cited by:

   1. Elizaveta Danilova & Evgeny Rumyantsev & Ivan Shevchuk, 2018. "Review of the Bank of Russia – IMF Workshop 'Recent Developments in Macroprudential Stress Testing'," Russian Journal of Money and Finance, Bank of Russia, vol. 77(4), pages 60-83, December.
   2. G. Hauton & J.-C. Héam, 2014. "How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?," Débats économiques et financiers 15, Banque de France.
   3. Bennani, T. & Després, M. & Dujardin, M. & Duprey, T. & Kelber, A., 2014. "Macroprudential framework:key questions applied to the French case," Occasional papers 9, Banque de France.
   4. S. Gabrieli & D. Salakhova & G. Vuillemey, 2015. "Cross-border interbank contagion in the European banking sector," Working papers 545, Banque de France.
      • Gabrieli, Silvia & Salakhova, Dilyara, 2019. "Cross-border interbank contagion in the European banking sector," International Economics, Elsevier, vol. 157(C), pages 33-54.
      • Silvia Gabrieli & Dilyara Salakhova, 2019. "Cross-border interbank contagion in the European banking sector," International Economics, CEPII research center, issue 157, pages 33-54.
   5. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
   6. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
   7. Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
   8. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank.
      • Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2017. "Credit risk interconnectedness: What does the market really know?," Journal of Financial Stability, Elsevier, vol. 29(C), pages 1-12.
   9. Gabrieli, S. & Salakhova, D. & Vuillemey, G., 2015. "Interconnectedness and contagion risk in the European banking sector," Rue de la Banque, Banque de France, issue 05, April..
   10. Littke, Helge & Ossandon Busch, Matias, 2021. "Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups," Discussion Papers 16/2021, Deutsche Bundesbank.
       • Littke, Helge C.N. & Ossandon Busch, Matias, 2021. "Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups," Journal of International Money and Finance, Elsevier, vol. 119(C).
       • Littke, Helge C. N. & Ossandon Busch, Matias, 2018. "Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups," IWH Discussion Papers 12/2018, Halle Institute for Economic Research (IWH).
   11. Gaël Hauton & Jean-Cyprien Héam, 2015. "Interconnectedness of Financial Conglomerates," Risks, MDPI, vol. 3(2), pages 1-25, May.
   12. Peralta, Gustavo & Crisóstomo, Ricardo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.
   13. Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
   14. Zhang Li & Xiaojun Lin & Borja Peleato-Inarrea & Ilya Pollak, 2014. "Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks," Papers 1410.2570, arXiv.org, revised Dec 2014.

2. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.
   • Gourieroux, C. & Heam, J.C. & Monfort, A., 2013. "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5261-5274.

   Cited by:

   1. Nicolas Houy & Frédéric Jouneau & François Le Grand, 2020. "Defaulting firms and systemic risks in financial networks: a normative approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 503-526, September.
   2. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
   3. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
   4. Roukny, Tarik & Battiston, Stefano & Stiglitz, Joseph E., 2018. "Interconnectedness as a source of uncertainty in systemic risk," Journal of Financial Stability, Elsevier, vol. 35(C), pages 93-106.
   5. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
   6. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
   7. Paul Glasserman & Peyton Young, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
   8. Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
   9. Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Markets," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
   10. Johannes Hain & Tom Fischer, 2015. "Valuation Algorithms for Structural Models of Financial Interconnectedness," Papers 1501.07402, arXiv.org.
   11. Hitoshi Hayakawa, 2020. "Liquidity in Financial Networks," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 253-301, January.
   12. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
   13. Jose Fique, 2017. "Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data," Staff Working Papers 17-30, Bank of Canada.

3. Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
   • C. Gouriéroux & J.‐C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(4), pages 1273-1309, November.
   • C. Gouriéroux & J.-C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics, Canadian Economics Association, vol. 45(4), pages 1273-1309, November.

   Cited by:

   1. Yann Braouezec & Lakshithe Wagalath, 2018. "Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario [Testing macroprudential stress tests: the risk of regulatory risk weights]," Review of Finance, European Finance Association, vol. 22(2), pages 747-782.
   2. Gabrielle Demange, 2015. "Contagion in Financial Networks: A Threat Index," CESifo Working Paper Series 5307, CESifo.
      • Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," PSE-Ecole d'économie de Paris (Postprint) halshs-01630616, HAL.
      • Demange, Gabrielle, 2012. "Contagion in financial networks: A threat index," CEPR Discussion Papers 8793, C.E.P.R. Discussion Papers.
      • Gabrielle Demange, 2016. "Contagion in financial networks: a threat index," Working Papers halshs-00662513, HAL.
      • Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," Post-Print halshs-01630616, HAL.
      • Gabrielle Demange, 2016. "Contagion in financial networks: a threat index," PSE Working Papers halshs-00662513, HAL.
      • Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," Management Science, INFORMS, vol. 64(2), pages 955-970, February.
   3. Jean-Cyprien Héam, 2014. "How to Measure Interconnectedness," EIOPA Financial Stability Report - Thematic Articles 3, EIOPA, Risks and Financial Stability Department.
   4. Tathagata Banerjee & Alex Bernstein & Zachary Feinstein, 2018. "Dynamic Clearing and Contagion in Financial Networks," Papers 1801.02091, arXiv.org, revised Jun 2024.
   5. G. Hauton & J.-C. Héam, 2014. "How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?," Débats économiques et financiers 15, Banque de France.
   6. International Monetary Fund, 2013. "France: Financial Sector Assessment Program—Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2013/185, International Monetary Fund.
   7. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
   8. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT School for Advanced Studies Lucca, revised Mar 2014.
   9. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
   10. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
   11. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.
       • Georgiana-Denisa Banulescu & Elena Ivona Dumitrescu, 2015. "Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk," Post-Print hal-01385923, HAL.
   12. Gagliardini, Patrick & Gouriéroux, Christian, 2017. "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, vol. 201(2), pages 176-197.
   13. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2019. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers hal-02292323, HAL.
       • Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
   14. Carlos León & Javier Miguélez, 2021. "Securities cross-holding in the Colombian financial system: a topological approach," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(4), pages 786-806, February.
       • Carlos León & Javier Miguélez, 2020. "Securities cross-holding in the Colombian financial system: A topological approach," Borradores de Economia 1134, Banco de la Republica de Colombia.
   15. Zachary Feinstein & T. R. Hurd, 2020. "Contingent Convertible Obligations and Financial Stability," Papers 2006.01037, arXiv.org, revised Oct 2022.
   16. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
   17. Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers CWP13/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
       • Susanne M. Schennach, 2018. "Long Memory via Networking," Econometrica, Econometric Society, vol. 86(6), pages 2221-2248, November.
       • Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers 13/13, Institute for Fiscal Studies.
       • Susanne M. Schennach, 2018. "Long memory via networking," CeMMAP working papers CWP49/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
   18. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
   19. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.
       • Gourieroux, C. & Heam, J.C. & Monfort, A., 2013. "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5261-5274.
   20. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
   21. Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
   22. Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
   23. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
   24. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
   25. Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
   26. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
   27. Ivan Alves & Jeroen Brinkhoff & Stanislav Georgiev & Jean-Cyprien Héam & Iulia Moldovan & Marco Scotto di Carlo, 2015. "Network analysis of the EU insurance sector," ESRB Occasional Paper Series 07, European Systemic Risk Board.
   28. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
   29. Maxim Bichuch & Nils Detering, 2022. "Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective," Papers 2201.12731, arXiv.org, revised Mar 2024.
   30. T. Bennani & C. Couaillier & A. Devulder & S. Gabrieli & J. Idier & P. Lopez & T. Piquard & V. Scalone, 2017. "An analytical framework to calibrate macroprudential policy," Working papers 648, Banque de France.
   31. T. R. Hurd, 2018. "Bank Panics And Fire Sales, Insolvency And Illiquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-30, September.
   32. Lei Li & Kun Qin & Desheng Wu, 2023. "A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks," Sustainability, MDPI, vol. 15(7), pages 1-16, April.
   33. Damiano Sandri, 2018. "Dealing with Systemic Sovereign Debt Crises: Fiscal Consolidation, Bail-Ins, or Bail-Outs?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(4), pages 665-693, December.
   34. Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2020. "Measuring CoVaR: An Empirical Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 511-528, February.
   35. Constantin ANGHELACHE & Andreea – Ioana MARINESCU & Maria MIREA, 2017. "Models of Insolvency Risk Analysis in Financial and Banking Institutions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(11), pages 72-78, November.
   36. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: from a global to a local perspective? A network theory approach," Working Papers 9/2014, IMT School for Advanced Studies Lucca, revised Sep 2014.
   37. Chen, Yu & Jin, Shuyue & Wang, Xiasi, 2021. "Solvency contagion risk in the Chinese commercial banks’ network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
   38. Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-3153, October.
   39. Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
   40. T. R. Hurd, 2017. "Bank Panics and Fire Sales, Insolvency and Illiquidity," Papers 1711.05289, arXiv.org.
   41. Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
   42. Hauton, G. & Héam, J.-C., 2015. "How to measure interconnectedness between banks, insurers and financial conglomerates?," Rue de la Banque, Banque de France, issue 04, March..
   43. Gaël Hauton & Jean-Cyprien Héam, 2015. "Interconnectedness of Financial Conglomerates," Risks, MDPI, vol. 3(2), pages 1-25, May.
   44. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
   45. J. Idier & T. Piquard, 2017. "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers 621, Banque de France.
   46. Barauskaite, Kristina & Nguyen, Anh D.M., 2021. "Global intersectoral production network and aggregate fluctuations," Economic Modelling, Elsevier, vol. 102(C).
   47. Feinstein, Zachary & Hałaj, Grzegorz, 2023. "Interbank asset-liability networks with fire sale management," Working Paper Series 2806, European Central Bank.

Articles

1. Gourieroux, C. & Heam, J.C. & Monfort, A., 2013. "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5261-5274.
   • Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.
   See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-BAN: Banking (3) 2013-01-07 2013-04-20 2013-06-04
2. NEP-CFN: Corporate Finance (1) 2013-01-07
3. NEP-NET: Network Economics (1) 2013-04-20
4. NEP-RMG: Risk Management (1) 2013-01-07

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Jean-Cyprien Heam
(Jean-Cyprien Heam) should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

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