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Du risque des mesures de risque systémique

Author

Listed:
  • Christophe Boucher

    (A.A.Advisors-QCG - ABN AMRO, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine, EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Patrick Kouontchou

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Bertrand Maillet

    (A.A.Advisors-QCG - ABN AMRO, LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres)

Abstract

La mesure du risque systémique des institutions financières est devenue un enjeu essentiel pour la stabilité du système financier. La plupart des mesures actuellement proposées reposent sur l'estimation de quantiles conditionnels, qui ont la caractéristique d'être extrêmement sensibles à la méthode d'estimation et à la spécification des modèles de risque utilisés. Nous proposons de corriger les mesures de risque systémique à partir de procédures de validation statistique. Notre application sur la covar suggère que le risque de modèle est important et que les institutions identifiées comme « systémiques » diffèrent selon que l'on prenne en compte ou non le risque de modèle.

Suggested Citation

  • Christophe Boucher & Patrick Kouontchou & Bertrand Maillet, 2015. "Du risque des mesures de risque systémique," Post-Print hal-01243404, HAL.
    • Handle: RePEc:hal:journl:hal-01243404
    DOI: 10.3917/reco.pr2.0065
    as

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    Keywords

    Revue AERES;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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