Séminaires de recherche


Measuring poverty without the mortality paradox

Mardi | 2012-04-10


Under income-differentiated mortality, poverty measures reflect not only the  » true » poverty, but, also, the interferences or noise caused by the survival process at work. Such interferences lead to the Mortality Paradox: the worse the survival conditions of the poor are, the lower the measured poverty is. We examine several solutions to avoid that paradox. We identify conditions under which the extension, by means of a fictitious income, of lifetime income profiles of the prematurely dead neutralizes the noise due to differential mortality. Then, to account not only for the  » missing » poor, but, also, for the  » hidden » poverty (premature death), we use, as a fictitious income, the welfare-neutral income, making indifferent between life continuation and death. The robustness of poverty measures to the extensionn technique is illustrated with regional Belgian data.

Risk Models-at-Risk

Mardi | 2012-04-03

Christophe BOUCHER – Jon DANIELSSON – Bertrand MAILLET – Patrick S. KOUONTCHOU

The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk measures as a tool to quantify extreme downward risks. Risk measures are hence subject to a “model risk” due, e.g., to the specification and estimation uncertainty. Therefore, regulators have proposed that financial institutions assess the “model risk” but, as yet, there is no accepted approach for computing such a risk. We propose a general framework to compute risk measures robust to the model risk, while focusing on the Value-at-Risk (VaR). The proposed procedure aims empirically adjusting the imperfect quantile estimate based on a backtesting framework, assessing the good quality of VaR models such as the frequency, the independence and the magnitude of violations. We also provide a fair comparison between the main risk models using the same metric that corresponds to model risk required corrections.

Problem loans in the MENA countries: bank specific determinants and the role of the business and the institutional environment

Mardi | 2012-03-27


The paper empirically analyses the determinants of problem loans and the potential impact of both business and institutional environ¬ment on credit risk exposure of banks in the MENA region. Looking at a sample of 46 banks in 12 countries over the period 2002-2006, we find that, among bank specific factors, high credit growth, loan loss provisions, and foreign participation coming from developed countries reduce the NPL level. However, highly capitalized banks experience high level of credit exposure. Credit quality of banks is also positively affected by the relevance of the information published by public and private bureaus. Finally, our findings highlight the importance of institutional environ¬ment in enhancing banks credit quality. Specifically, a more control of corruption, a sound regulatory quality, a better enforcement of rule of law, and a free voice and accountability play an important role in reducing nonperforming loans in the MENA countries.

Benefits and limitations of long climate commitments to trigger Investment (article non disponible)

Mardi | 2012-03-20

Audrey LAUDE

Limit climate change requires deep transformations of the energetic system and thereby heavy investments. Nevertheless, long-term climate targets and the means to reach them are still largely undefined, as evidenced by Copenhagen agreement that has failed to impose a binding commitment. More generally, outcomes of negotiation rounds are hardly predictable. This regulatory uncertainty hampers investments because investors can often postponed their decision easily. Our purpose is to analyze how this uncertainty affects investor’s behavior, through notably the role of commitment period length. Negotiations are assumed to be set on a regular basis, e.g. every five years. We model investment decision for a Carbon Capture and Storage (CCS) project on a coal plant, using a real option framework. We show that long periods trigger investment, but the benefits of an additional year are higher for short than for long commitments. 5-years periods have been established has a minimum, but enlarge commitments above 10 years is less relevant, even for very carbon sensitive projects. Results are similar if a long-term target ambiguity is added, which means that the investor does not know if climate policy is going to be highly or moderately stringent.

Employment vulnerability in Europe: is there a migration effect? (Article non disponible)

Mardi | 2012-03-13


One of the most salient evolutions of labour markets in Europe is the increasing number of atypical job contracts and an increase in job turnovers. Therefore, the concept of employment vulnerability may be accurate to describe current evolutions. Moreover, in the context of an increased mobility of workers between European countries, emigration can be seen as a way to escape from employment vulnerability at home. Our objective in this paper is to provide appropriate measurement of employment vulnerability in Europe and to compare individual levels of employment vulnerability between migrants and local workers. We propose new indicators of employment vulnerability for European countries, using European Social Survey data. By using propensity score matching, we can compare level of employment vulnerability between migrants and other workers. We first show that migrants face a higher level of employment vulnerability, all things being equal. But we also show that this level of employment vulnerability is not statistically different from the one of similar individuals working in their origin countries. More precisely, we distinguish two categories of migrants. Low skilled migrants tend to have lower level of employment vulnerability than similar individuals working in their origin countries while we observe the opposite relationship for high-skilled migrants.

A theoretical and Empirical Comparison of Systemic Risk Measures: MES versus Delta CoVaR

Mardi | 2012-02-21

Sylvain BENOIT – Gilbert COLLETAZ – Christophe HURLIN

We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the di¤erent measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) di¤erent systemic risk measures identify di¤erent SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.