Christophe Perignon : Citation Profile


Are you Christophe Perignon?

HEC Paris (École des Hautes Études Commerciales)

13

H index

18

i10 index

806

Citations

RESEARCH PRODUCTION:

23

Articles

67

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 38
   Journals where Christophe Perignon has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 15 (1.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe841
   Updated: 2021-09-25    RAS profile: 2021-03-06    
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Relations with other researchers


Works with:

Hurlin, Christophe (13)

thesmar, david (3)

Kacperczyk, Marcin (3)

Colliard, Jean-Edouard (2)

Isakov, Dusan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christophe Perignon.

Is cited by:

McAleer, Michael (30)

Jimenez-Martin, Juan (25)

Pérez-Amaral, Teodosio (20)

Maillet, Bertrand (11)

Danielsson, Jon (11)

Chang, Chia-Lin (9)

Hammoudeh, Shawkat (9)

Ruiz, Esther (8)

Christoffersen, Peter (8)

Lucas, Andre (8)

Andersen, Torben (7)

Cites to:

Kupiec, Paul (10)

Hirtle, Beverly (9)

Christoffersen, Peter (8)

Vermaelen, Theo (7)

cotter, john (7)

Engle, Robert (6)

Hall, Maximilian (6)

Campbell, John (6)

Vissing-Jorgensen, Annette (5)

Pelletier, Denis (5)

Smith, Daniel (5)

Main data


Where Christophe Perignon has published?


Journals with more than one article published# docs
Journal of Banking & Finance8
Journal of Financial and Quantitative Analysis2
Review of Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL29
Working Papers / HAL18
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2
FSES Working Papers / Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland2

Recent works citing Christophe Perignon (2021 and 2020)


YearTitle of citing document
2020Sales-based Brand Equity as a Performance Driver in ‘The Country of Soccer. (2020). Savioli, Pedro ; Camargo, Altair ; Oliveira, Denise ; Coelho, Ricardo ; Almeida, Marcos. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:24:y:2020:i:2:1380.

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2020Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors Perception. (2020). Lupu, Iulia ; Ciumara, Tudor ; MICLAUS, Paul Gabriel ; Bobirca, Ana Barbara. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:22:y:2020:i:55:p:707.

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2020Effect of Risk Management Practices on Banks Performance Moderating Role of Managerial Expertise as a Competitive Edge. (2020). Ali, Shujahat ; Mehmood, Shahid. In: IBT Journal of Business Studies (JBS). RePEc:aib:ibtjbs:v:16:y:2020:i:1:p:16-7.

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2020Effect of Risk Management Practices on Banks Performance Moderating Role of Managerial Expertise as a Competitive Edge. (2020). Ali, Shujahat ; Mehmood, Shahid. In: IBT Journal of Business Studies (JBS). RePEc:aib:ibtjbs:v:16:y:2020:i:1:p:88-100.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020How dark is the dark side of diversification?. (2020). Gzyl, Henryk ; Cadenas, Pedro ; Park, Hyun Woong. In: Papers. RePEc:arx:papers:2012.12154.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:488-500.

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2020Sticky Deposit Rates and Allocative Effects of Monetary Policy. (2020). Duquerroy, Anne ; Farzad, Saidi ; Matray, Adrien. In: Working papers. RePEc:bfr:banfra:794.

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2020Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502.

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2020Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318.

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2020Central bank independence and systemic risk. (2020). AndrieÈ™, Alin Marius ; Sprincean, Nicu ; Podpiera, Anca Maria. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_013.

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2020La interconexión en las instituciones de inversión colectiva no alternativas y el riesgo sistémico. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_71es.

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2021Deconstructing systemic risk: A reverse stress testing approach.. (2021). Ojea-Ferreiro, Javier. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_74en.

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2020Private Credit under Political Influence: Evidence from France. (2020). Delatte, Anne-Laure ; Matray, Adrien ; Pinardon-Touati, Noemie. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14409.

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2020The effect of the trading activities of banks on systemic risk: does banking industry concentration matter?. (2020). Kamani, Eric Fina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00798.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020The (unobservable) value of central bank’s refinancing operations. (2020). Burlon, Lorenzo ; Jankauskas, Tomas ; Pavanini, Nicola ; Albertazzi, Ugo. In: Working Paper Series. RePEc:ecb:ecbwps:20202480.

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2021A risk management perspective on macroprudential policy. (2021). Kremer, Manfred ; Fahr, Stephan ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20212556.

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2020Policy uncertainty and the capital shortfall of global financial firms. (2020). Papachristopoulou, Andromachi ; Panopoulou, Ekaterini ; Matousek, Roman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911992030002x.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2021Time for gift giving: Abnormal share repurchase returns and uncertainty. (2021). Batten, Jonathan ; Anolick, Nina ; Wagner, Niklas ; Kinateder, Harald. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302315.

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2021Short-term debt catering. (2021). Lugo, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302613.

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2020What is the minimal systemic risk in financial exposure networks?. (2020). Pichler, Anton ; Diem, Christian ; Thurner, Stefan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300683.

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2021Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609.

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2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

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2020Measuring systemic risk in the U.S. Banking system. (2020). Sanz, Ivan Pastor ; Lopez-Iturriaga, Felix J ; Kolari, James W. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658.

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2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

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2020Bank systemic risk and CEO overconfidence. (2020). Zhao, Yang ; Lin, James Juichia ; Lee, Jin-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830487x.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2021Systemic financial risk early warning of financial market in China using Attention-LSTM model. (2021). Lai, Yongzeng ; Yang, Xi-Te ; Ouyang, Zi-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082100019x.

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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2020The market rank indicator to detect financial distress. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Figini, Silvia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:63-73.

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2020Systemic risk in European financial and energy sectors: Dynamic factor copula approach. (2020). Nevrla, Matj. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:4:s0939362518304904.

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2021Addressing systemic risk using contingent convertible debt – A network analysis. (2021). Lu, Yueliang ; Wang, Runzu ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:263-277.

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2020The beauty contest between systemic and systematic risk measures: Assessing the empirical performance. (2020). Roggi, Oliviero ; Menchetti, Fiammetta ; Giannozzi, Alessandro ; Cipollini, Fabrizio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:316-332.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

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2020Tail risk of electricity futures. (2020). Rodriguez, Rosa ; Pea, Juan Ignacio ; Mayoral, Silvia. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302267.

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2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

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2020Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320.

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2020Uncovering the time-varying relationship between commonality in liquidity and volatility. (2020). Uribe, Jorge ; Chuliá, Helena ; Koser, Christoph ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301101.

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2020Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283.

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2020Network structures and idiosyncratic contagion in the European sovereign credit default swap market. (2020). Yang, Lu ; Chen, Wang ; Ho, Kung-Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302386.

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2021Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach. (2021). Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000958.

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2020Strategic scope and bank performance. (2020). Schmid, Markus ; Walter, Ingo ; Saunders, Anthony. In: Journal of Financial Stability. RePEc:eee:finsta:v:46:y:2020:i:c:s1572308919306667.

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2020Foreign Strategic Investors, State Ownership, and Non-interest Activities: Evidence from China. (2020). Zhao, Hong ; Cheng, Maoyong ; Zhou, Mingming. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300784.

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2020Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826.

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2020The contribution of shadow insurance to systemic risk. (2020). Urga, Giovanni ; Pellegrini, Carlo Bellavite ; Leong, Soon Heng. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300772.

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2021Fintech: what’s old, what’s new?. (2021). Ratnovski, Lev ; Laeven, Luc ; Hoffmann, Peter ; Boot, Arnoud. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s157230892030139x.

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2020Empirically assessing and modeling spillover effects from operational risk events in the insurance industry. (2020). Heidinger, Dinah ; Gatzert, Nadine ; Eckert, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:72-83.

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2020Market risk-based capital requirements, trading activity, and bank risk. (2020). Torna, Gokhan ; Kitsul, Yuriy ; Holod, Dmytro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302054.

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2020Stock extreme illiquidity and the cost of capital. (2020). Samet, Anis ; Saad, Mohsen ; Belkhir, Mohamed. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618300128.

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2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression. (2020). Kurz, Christopher ; Ghysels, Eric ; Chabot, Ben ; Brownlees, Christian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300030.

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2020On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455.

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2020Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

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2020Does bank opacity affect lending?. (2020). Zheng, YI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301667.

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2020Does uniqueness in banking matter?. (2020). Norden, Lars ; Spargoli, Fabrizio ; Liu, Frank Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s037842662030203x.

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2020Collectivism and commonality in liquidity. (2020). Samet, Anis ; Saad, Mohsen. In: Journal of Business Research. RePEc:eee:jbrese:v:116:y:2020:i:c:p:137-162.

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2020The redistributive effects of bank capital regulation. (2020). Marquez, Robert ; Carletti, Elena ; Petriconi, Silvio. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:743-759.

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2020Private money creation with safe assets and term premia. (2020). Infante, Sebastian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:828-856.

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2021Politicizing consumer credit. (2021). Lewellen, Stefan ; Heimer, Rawley Z ; Akey, Pat . In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:627-655.

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2020Regulatory arbitrage and the efficiency of banking regulation. (2020). Boyer, Pierre ; Kempf, Hubert. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:41:y:2020:i:c:s1042957317300566.

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2020Fintech and banking: What do we know?. (2020). Thakor, Anjan V. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:41:y:2020:i:c:s104295731930049x.

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2020Did TARP reduce or increase systemic risk? The effects of government aid on financial system stability. (2020). Sedunov, John ; Roman, Raluca A ; Berger, Allen N. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:43:y:2020:i:c:s1042957319300129.

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2021Sources of Liquidity and Liquidity Shortages. (2021). Wagner, Wolf ; Kahn, Charles M. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:46:y:2021:i:c:s1042957320300231.

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2021Corporate Governance and Banking Systemic Risk: A Test of the Bundling Hypothesis. (2021). Hussain, Nazim ; Addo, Kwabena Aboah ; Iqbal, Jamshed. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560620302837.

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2021Investor sentiment and sovereign bonds. (2021). Li, Yulin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000371.

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2021The link between the federal funds rate and banking system distress: An empirical investigation. (2021). Elyasiani, Elyas ; Akcay, Mustafa. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:67:y:2021:i:c:s0164070420301890.

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2020Futures commission merchants, customer funds and capital requirements: An organizational analysis of the futures industry. (2020). Shen, MO ; Gay, Gerald D ; Emm, Ekaterina E. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s240585131930008x.

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2021How should governments create liquidity?. (2021). Pennacchi, George ; Jackson, Timothy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:118:y:2021:i:c:p:281-295.

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2020Is bank creditworthiness associated with risk disclosure behavior? Evidence from Islamic and conventional banks in emerging countries. (2020). Moumen, Nejia ; Grassa, Rihab ; Hussainey, Khaled. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18306176.

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2021A study of systemic risk of global stock markets under COVID-19 based on complex financial networks. (2021). Hu, Yibo ; Lai, Yujie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309110.

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2021Systemic risk measures and distribution forecasting of macroeconomic shocks. (2021). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:178-196.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2020Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk. (2020). Dissem, Sonia ; Lobez, Frederic. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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2021Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model. (2021). Maecka, Marta. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162.

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2020Investor Demands for Safety, Bank Capital, and Liquidity Measurement. (2020). Temesvary, Judit ; Passmore, Wayne. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-79.

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2020Adverse Selection Dynamics in Privately-Produced Safe Debt Markets. (2020). Verani, Stephane ; Foley-Fisher, Nathan ; Gorton, Gary. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-88.

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2021Arbitrage Capital of Global Banks. (2021). Schlusche, Bernd ; Du, Wenxin ; Anderson, Alyssa G. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-32.

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2021Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets. (2021). Noman, Abdullah ; Naka, Atsuyuki ; Alhassan, Abdulrahman. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:372-:d:613755.

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2021An Equilibrium-Based Measure of Systemic Risk. (2021). Tseng, Kevin ; Tian, Weidong ; Schulte, James ; Ivanov, Katerina. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:414-:d:627481.

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2020The Leaders, the Laggers, and the “Vulnerables”. (2020). Arakelian, Veni ; Hashem, Shatha Qamhieh. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:26-:d:331532.

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2020A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector. (2020). Wanat, Stanisław ; Denkowska, Anna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:39-:d:348740.

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2020Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions. (2020). Rahman, Sanzidur ; Sriboonchitta, Songsak ; Qi, Yang ; Song, Quanrui ; Liu, Jianxu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4000-:d:357862.

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2021Match Experience at the Danish Women’s Soccer National A-Team Matches: An Explorative Study. (2021). Schelde, Nikolaj ; Storm, Rasmus K ; Jakobsen, Tor Georg ; Olsen, Tor-Eirik ; Kringstad, Morten. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2642-:d:508644.

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2021A fistful of dollars:Transmission of global funding shocks to EMs. (2020). Mathur, Aakriti ; Kumar, Shekhar Hari. In: IHEID Working Papers. RePEc:gii:giihei:heidwp04-2020.

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2021Machine Learning or Econometrics for Credit Scoring: Lets Get the Best of Both Worlds *. (2020). Hurlin, Christophe ; Tokpavi, Sessi ; Hue, Sullivan ; Dumitrescu, Elena . In: Working Papers. RePEc:hal:wpaper:hal-02507499.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: Working Papers. RePEc:hal:wpaper:halshs-02893780.

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2021Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699.

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2020THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS. (2020). Koesrindartoto, Deddy Priatmodjo ; Aini, Mutiara. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:23:y:2020:i:1e:p:101-120.

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2021Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. (2021). David, Alberto Gallegos ; Trejo, Barbara Ruth. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:a:9.

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2021Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. (2021). David, Alberto Gallegos ; Trejo, Barbara Ruth . In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:p:1-26.

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2021The Effect of Monetary Policy on Bank Wholesale Funding. (2021). Choi, Hyun-Soo. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:1:p:388-416.

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2020The triple (T3) dimension of systemic risk: identifying systemically important banks in Eurozone Abstract: The systemic importance of a financial institution is generally assessed by the effect on the. (2020). Lamouchi, Ali ; Derbali, Abdelkader. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2020:v:11:p:87-122.

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More than 100 citations found, this list is not complete...

Works by Christophe Perignon:


YearTitleTypeCited
2002Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion In: European Financial Management.
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2002Extracting information from options markets : smiles, state-price densities and risk-aversion.(2002) In: Post-Print.
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This paper has another version. Agregated cites: 11
paper
2018Wholesale Funding Dry?Ups In: Journal of Finance.
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article31
2017Wholesale Funding Dry-Ups.(2017) In: HEC Research Papers Series.
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2017Wholesale funding dry-ups.(2017) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 31
paper
2013Derivatives Clearing, Default Risk, and Insurance In: Journal of Risk & Insurance.
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article16
2013Derivatives Clearing, Default Risk, and Insurance.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 16
paper
2019Machine learning et nouvelles sources de données pour le scoring de crédit In: Revue d'économie financière.
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article1
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: LEO Working Papers / DR LEO.
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This paper has another version. Agregated cites: 1
paper
2017The Private Production of Safe Assets In: CEPR Discussion Papers.
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2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2017The Private Production of Safe Assets.(2017) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 6
paper
2009Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis.
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article89
2009Commonality in Liquidity: A Global Perspective.(2009) In: Post-Print.
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This paper has another version. Agregated cites: 89
paper
2017CoMargin In: Journal of Financial and Quantitative Analysis.
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2015CoMargin.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2013Systemic Risk Score: A Suggestion In: HEC Research Papers Series.
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2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2014The Collateral Risk of ETFs In: HEC Research Papers Series.
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paper2
2015Where the Risks Lie: A Survey on Systemic Risk In: HEC Research Papers Series.
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paper129
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 129
paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 129
paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 129
paper
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Review of Finance.
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This paper has another version. Agregated cites: 129
article
2019The counterparty risk exposure of ETF investors In: Journal of Banking & Finance.
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article2
2014The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2001Evolution of market uncertainty around earnings announcements In: Journal of Banking & Finance.
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article13
2000Evolution of Market Uncertainty around Earnings Announcements.(2000) In: FAME Research Paper Series.
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This paper has another version. Agregated cites: 13
paper
1999Evolution of Market Uncertainty around Earnings Announcements..(1999) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]
This paper has another version. Agregated cites: 13
paper
2007Yield-factor volatility models In: Journal of Banking & Finance.
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article6
2007Yield-factor volatility models.(2007) In: Post-Print.
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This paper has another version. Agregated cites: 6
paper
2008Do banks overstate their Value-at-Risk? In: Journal of Banking & Finance.
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article60
2008Do banks overstate their Value-at-Risk?.(2008) In: Post-Print.
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This paper has another version. Agregated cites: 60
paper
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
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article36
2010Diversification and Value-at-Risk.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 36
paper
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
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article115
2009The Level and Quality of Value-at-Risk Disclosure by Commercial Banks.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 115
paper
2010The level and quality of Value-at-Risk disclosure by commercial banks.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 115
paper
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
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article4
2010The pernicious effects of contaminated data in risk management.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 4
paper
2011The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2013The Risk Map: A new tool for validating risk models In: Journal of Banking & Finance.
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article22
2012The Risk Map: A New Tool for Validating Risk Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2008How common are common return factors across the NYSE and Nasdaq? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article10
2008How common are common return factors across NYSE and Nasdaq?.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2019Pitfalls in systemic-risk scoring In: Journal of Financial Intermediation.
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article10
2019Pitfalls in systemic-risk scoring.(2019) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2019Pitfalls in systemic-risk scoring.(2019) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2017Pitfalls in Systemic-Risk Scoring.(2017) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
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article21
2005Repurchasing Shares on a Second Trading Line In: FAME Research Paper Series.
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paper11
2005Repurchasing Shares on a Second Trading Line.(2005) In: FSES Working Papers.
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This paper has another version. Agregated cites: 11
paper
2007Repurchasing Shares on a Second Trading Line.(2007) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2019What if dividends were tax-exempt? Evidence from a natural experiment In: FSES Working Papers.
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paper1
2020What If Dividends Were Tax?Exempt? Evidence from a Natural Experiment.(2020) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1999On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective. In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]
paper7
2000On the dynamic interdependence of international stock markets: A Swiss perspective.(2000) In: Swiss Journal of Economics and Statistics (SJES).
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This paper has another version. Agregated cites: 7
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[Citation analysis]
paper0
2008Impact of Overwhelming Joy on Consumer Demand In: Post-Print.
[Citation analysis]
paper1
2009Marchés Financiers: Gestion de portefeuille et des risques In: Post-Print.
[Citation analysis]
paper0
2009Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data In: Post-Print.
[Citation analysis]
paper3
2010La gestion des risques fait sa révolution In: Post-Print.
[Citation analysis]
paper0
2011Clearing house, margin requirements, and systemic risk In: Post-Print.
[Citation analysis]
paper3
2011Clearing house, margin requirements, and systemic risk.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2008Representative yield curve shocks and stress testing In: Post-Print.
[Citation analysis]
paper2
2012Representative Yield Curve Shocks and Stress Testing.(2012) In: Post-Print.
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This paper has another version. Agregated cites: 2
paper
2008A New Approach to Comparing VaR Estimation Methods In: Post-Print.
[Citation analysis]
paper23
2015Implied Risk Exposures In: Post-Print.
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paper1
2014Implied Risk Exposures.(2014) In: Working Papers.
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paper
2015Implied Risk Exposures.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 1
article
2004Component Proponents II In: Post-Print.
[Citation analysis]
paper3
2002Component Proponents.(2002) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2002Estimation empirique de laversion au risque : lapport des marchés doptions In: Post-Print.
[Citation analysis]
paper0
2006Sources of time variation in the covariance matrix of interest rates In: Post-Print.
[Citation analysis]
paper7
2006Sources of Time Variation in the Covariance Matrix of Interest Rates.(2006) In: The Journal of Business.
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This paper has another version. Agregated cites: 7
article
2015Wholesale Funding Runs In: Working Papers.
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paper0
2011Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities In: Working Papers.
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paper0
2019A Theoretical and Empirical Comparison of Systemic Risk Measures In: Working Papers.
[Citation analysis]
paper79
2013A Theoretical and Empirical Comparison of Systemic Risk Measures.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 79
paper
2020Reproducibility Certification in Economics Research In: Working Papers.
[Citation analysis]
paper0
2012RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results In: Working Papers.
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paper0
2012Margin Backtesting In: Working Papers.
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paper5
2017The Political Economy of Financial Innovation: Evidence from Local Governments In: Review of Financial Studies.
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article6
2000Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team