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Christophe Perignon

Personal Details

First Name:Christophe
Middle Name:
Last Name:Perignon
Suffix:
RePEc Short-ID:ppe841
http://www.hec.fr/perignon

Affiliation

HEC Paris (École des Hautes Études Commerciales)

Jouy-en-Josas, France
http://www.hec.fr/
RePEc:edi:hecpafr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Christophe Hurlin & Christophe Pérignon, 2020. "Reproducibility Certification in Economics Research," Working Papers hal-02896404, HAL.
  2. Isakov, Dusan & Pérignon, Christophe & Weisskopf, Jean-Philippe, 2019. "What if dividends were tax-exempt? Evidence from a natural experiment," FSES Working Papers 498, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  3. Christophe Hurlin & Christophe Pérignon, 2019. "Machine Learning et nouvelles sources de données pour le scoring de crédit," Working Papers halshs-02377886, HAL.
  4. Kacperczyk, Marcin & Perignon, Christophe & Vuillemey, Guillaume, 2017. "The Private Production of Safe Assets," CEPR Discussion Papers 12086, C.E.P.R. Discussion Papers.
  5. Sylvain Benoît & Christophe Hurlin & Christophe Pérignon, 2017. "Pitfalls in Systemic-Risk Scoring," Working Papers hal-01485644, HAL.
  6. Perignon, Christophe & Thesmar, David & Vuillemey, Guillaume, 2017. "Wholesale Funding Dry-Ups," HEC Research Papers Series 1144, HEC Paris.
  7. Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2015. "Wholesale Funding Runs," Working Papers hal-01993397, HAL.
  8. Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
  9. Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2015. "CoMargin," Working Papers halshs-00979440, HAL.
  10. Sylvain Benoît & Christophe Hurlin & Christophe Pérignon, 2014. "Implied Risk Exposures," Working Papers halshs-00836280, HAL.
  11. Perignon , Christophe & Yeung , Stanley & Hurlin, Christophe & Iseli, Grégoire, 2014. "The Collateral Risk of ETFs," HEC Research Papers Series 1050, HEC Paris.
  12. Christophe Hurlin & Gregoire Iseli & Christophe Pérignon & Stanley Yeung, 2014. "The Counterparty Risk Exposure of ETF Investors," Working Papers halshs-01023807, HAL.
  13. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
  14. Hurlin , Christophe & Perignon, Christophe, 2013. "Systemic Risk Score: A Suggestion," HEC Research Papers Series 1005, HEC Paris.
  15. Christophe Pérignon & Robert A. Jones, 2013. "Derivatives Clearing, Default Risk, and Insurance," Post-Print hal-00829059, HAL.
  16. Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
  17. Emilios C. Galariotis & Christophe Villa & Christophe Pérignon & Konstantinos Zopounidis, 2012. "Representative Yield Curve Shocks and Stress Testing," Post-Print hal-00958362, HAL.
  18. Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
  19. Christophe Hurlin & Christophe Pérignon & Victoria Stodden, 2012. "RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results," Working Papers halshs-00739233, HAL.
  20. Boris Vallée & Christophe Pérignon, 2011. "Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities," Working Papers hal-02058243, HAL.
  21. Christophe Pérignon & J.-A. Cruz Lopez & J. H. Harris, 2011. "Clearing house, margin requirements, and systemic risk," Post-Print hal-00578317, HAL.
  22. Christophe Pérignon & Laurent Fresard & Anders Wilhelmsson, 2011. "The Pernicious Effects of Contaminated Data in Risk Management," Post-Print hal-00630301, HAL.
  23. Christophe Pérignon, 2010. "La gestion des risques fait sa révolution," Post-Print hal-00570108, HAL.
  24. Christophe Perignon & Daniel R. Smith, 2010. "Diversification and Value-at-Risk," Post-Print hal-00528390, HAL.
  25. Paul Brockman & Dennis Y. Chung & Christophe Pérignon, 2009. "Commonality in Liquidity: A Global Perspective," Post-Print hal-00461036, HAL.
  26. Christophe Perignon & R. Jones, 2009. "Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data," Post-Print hal-00495589, HAL.
  27. Christophe Perignon & Bertrand Jacquillat & Bruno Solnik, 2009. "Marchés Financiers: Gestion de portefeuille et des risques," Post-Print hal-00494897, HAL.
  28. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
  29. Christophe Pérignon & R.D. Smith, 2008. "A New Approach to Comparing VaR Estimation Methods," Post-Print hal-00854087, HAL.
  30. Christophe Villa & Amit Goyal & Christophe Pérignon, 2008. "How common are common return factors across NYSE and Nasdaq?," Post-Print hal-00796909, HAL.
  31. Christophe Pérignon & Jean Marc Falter & Olivier Vercruysse, 2008. "Impact of Overwhelming Joy on Consumer Demand," Post-Print hal-00461063, HAL.
  32. Christophe Pérignon & Zi Yin Deng & Zhi Jun Wang, 2008. "Do banks overstate their Value-at-Risk?," Post-Print hal-00461046, HAL.
  33. Christophe Pérignon & Daniel R. Smith, 2007. "Yield-factor volatility models," Post-Print hal-00461067, HAL.
  34. Christophe Villa & Christophe Pérignon, 2006. "Sources of time variation in the covariance matrix of interest rates," Post-Print halshs-00114211, HAL.
  35. Dusan ISAKOV & Dennis Y. CHUNG & Christophe PERIGNON, 2005. "Repurchasing Shares on a Second Trading Line," FAME Research Paper Series rp162, International Center for Financial Asset Management and Engineering.
  36. Christophe Villa & C. Pérignon, 2004. "Component Proponents II," Post-Print halshs-00069017, HAL.
  37. Christophe Villa & C. Pérignon, 2002. "Extracting information from options markets : smiles, state-price densities and risk-aversion," Post-Print halshs-00071103, HAL.
  38. Christophe Villa & C. Pérignon, 2002. "Estimation empirique de l'aversion au risque : l'apport des marchés d'options," Post-Print halshs-00076862, HAL.
  39. Isakov, D. & Perignon, C., 1999. "Evolution of Market Uncertainty around Earnings Announcements," Papers 99.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
  40. Isakov, D. & Perignon, C., 1999. "On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective," Papers 99.1, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.

    repec:fth:geneec:97.03 is not listed on IDEAS
    repec:fth:geneec:00.05 is not listed on IDEAS
    repec:fth:geneec:00.04 is not listed on IDEAS
    repec:fth:geneec:99.06 is not listed on IDEAS
    repec:fth:geneec:99.09 is not listed on IDEAS

Articles

  1. Marcin Kacperczyk & Christophe Pérignon & Guillaume Vuillemey, 2021. "The Private Production of Safe Assets," Journal of Finance, American Finance Association, vol. 76(2), pages 495-535, April.
  2. Hurlin, Christophe & Iseli, Grégoire & Pérignon, Christophe & Yeung, Stanley, 2019. "The counterparty risk exposure of ETF investors," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 215-230.
  3. Christophe Hurlin & Christophe Pérignon, 2019. "Machine learning et nouvelles sources de données pour le scoring de crédit," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 21-50.
  4. Benoit, Sylvain & Hurlin, Christophe & Pérignon, Christophe, 2019. "Pitfalls in systemic-risk scoring," Journal of Financial Intermediation, Elsevier, vol. 38(C), pages 19-44.
  5. Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2018. "Wholesale Funding Dry‐Ups," Journal of Finance, American Finance Association, vol. 73(2), pages 575-617, April.
  6. Cruz Lopez, Jorge A. & Harris, Jeffrey H. & Hurlin, Christophe & Pérignon, Christophe, 2017. "CoMargin," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2183-2215, October.
    • Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2015. "CoMargin," Working Papers halshs-00979440, HAL.
  7. Christophe Pérignon & Boris Vallée, 2017. "The Political Economy of Financial Innovation: Evidence from Local Governments," Review of Financial Studies, Society for Financial Studies, vol. 30(6), pages 1903-1934.
  8. Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
  9. Sylvain Benoit & Christophe Hurlin & Christophe Perignon, 2015. "Implied Risk Exposures," Review of Finance, European Finance Association, vol. 19(6), pages 2183-2222.
  10. Colletaz, Gilbert & Hurlin, Christophe & Pérignon, Christophe, 2013. "The Risk Map: A new tool for validating risk models," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3843-3854.
  11. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
  12. Frésard, Laurent & Pérignon, Christophe & Wilhelmsson, Anders, 2011. "The pernicious effects of contaminated data in risk management," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2569-2583, October.
  13. Pérignon, Christophe & Smith, Daniel R., 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 362-377, February.
  14. Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
  15. Brockman, Paul & Chung, Dennis Y. & Pérignon, Christophe, 2009. "Commonality in Liquidity: A Global Perspective," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 851-882, August.
  16. Pérignon, Christophe & Deng, Zi Yin & Wang, Zhi Jun, 2008. "Do banks overstate their Value-at-Risk?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 783-794, May.
  17. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
  18. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  19. Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 284-304, March.
  20. Christophe Pérignon & Christophe Villa, 2006. "Sources of Time Variation in the Covariance Matrix of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1535-1550, May.
  21. Christophe Pérignon & Christophe Villa, 2002. "Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion," European Financial Management, European Financial Management Association, vol. 8(4), pages 495-513, December.
  22. Isakov, Dusan & Perignon, Christophe, 2001. "Evolution of market uncertainty around earnings announcements," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1769-1788, September.
  23. Dušan Isakov & Christophe Pérignon, 2000. "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), vol. 136(II), pages 123-146, June.
  24. Jean-Marc Falter & Christophe Perignon, 2000. "Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports," Applied Economics, Taylor & Francis Journals, vol. 32(13), pages 1757-1765.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor
  2. Number of Journal Pages, Weighted by Recursive Impact Factor

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 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-RMG: Risk Management (11) 2012-11-11 2012-11-11 2012-11-11 2013-06-30 2013-10-11 2013-12-15 2014-04-29 2014-07-28 2015-02-11 2015-06-13 2015-08-30. Author is listed
  2. NEP-BAN: Banking (8) 2012-11-11 2012-11-11 2013-06-30 2013-10-11 2014-04-29 2015-02-11 2017-05-14 2017-10-29. Author is listed
  3. NEP-FMK: Financial Markets (5) 2006-01-24 2006-09-23 2012-11-11 2012-11-11 2012-11-11. Author is listed
  4. NEP-CBA: Central Banking (4) 2013-10-11 2013-12-15 2015-06-13 2015-08-30
  5. NEP-CFN: Corporate Finance (3) 2013-12-15 2015-06-13 2019-09-09
  6. NEP-EUR: Microeconomic European Issues (3) 2017-06-18 2017-12-03 2019-09-09
  7. NEP-MAC: Macroeconomics (3) 2017-06-18 2017-12-03 2018-04-30
  8. NEP-CMP: Computational Economics (2) 2012-10-20 2019-12-16
  9. NEP-PAY: Payment Systems & Financial Technology (2) 2017-12-03 2019-12-16
  10. NEP-ACC: Accounting & Auditing (1) 2019-09-09
  11. NEP-BIG: Big Data (1) 2019-12-16
  12. NEP-FLE: Financial Literacy & Education (1) 2019-12-16
  13. NEP-FOR: Forecasting (1) 2019-12-16
  14. NEP-GER: German Papers (1) 2015-08-30
  15. NEP-LAW: Law & Economics (1) 2019-09-09
  16. NEP-MST: Market Microstructure (1) 2006-09-23
  17. NEP-PBE: Public Economics (1) 2019-09-09
  18. NEP-SOG: Sociology of Economics (1) 2012-10-20
  19. NEP-UPT: Utility Models & Prospect Theory (1) 2012-11-11

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