Simon Dubecq

affiliation not provided to SSRN

SCHOLARLY PAPERS

8

DOWNLOADS

806

SSRN CITATIONS
Rank 11,043

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Top 11,043

in Total Papers Citations

2

CROSSREF CITATIONS

96

Scholarly Papers (8)

1.

Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy

Banque de France Working Paper No. 254
Number of pages: 40 Posted: 27 Jun 2010
Simon Dubecq, Benoit Mojon and Xavier Ragot
affiliation not provided to SSRN, Banque de France and Paris School of Economics (PSE)
Downloads 191 (171,830)
Citation 41

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Capital requirements, Imperfect Information, Risk-taking Channel of monetary policy

2.

Contagion Analysis in the Banking Sector

Number of pages: 37 Posted: 19 Jun 2014
Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 158 (202,799)
Citation 2

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Contagion, Systemic Risk, Default Dependence, Credit Default Swaps, Canonical Correlation

3.

Credit and Liquidity in Interbank Rates: A Quadratic Approach

Number of pages: 57 Posted: 28 Sep 2013 Last Revised: 19 Mar 2016
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 154 (207,203)
Citation 15

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Quadratic term-structure model, liquidity risk, credit risk, interbank market, unconventional monetary policy

4.

An Analysis of the Ultra Long-Term Yields

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 13 Oct 2011
Simon Dubecq and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 81 (327,145)
Citation 3

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Long Term Interest Rates, Affine Term Structure Model, Nelson-Siegel, STRIPS market

5.

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Banque de France Working Paper No. 368
Number of pages: 52 Posted: 07 Mar 2012 Last Revised: 15 Mar 2012
Simon Dubecq and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 78 (334,447)
Citation 8

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Shock, Copula, Extreme Risk, Stress-Test, Factor Model, Systemic Risk, Portfolio Management, Sovereign Bonds

6.

A Term Structure Model with Level Factor Cannot Be Realistic and Arbitrage Free

Banque de France Working Paper No. 359
Number of pages: 36 Posted: 27 Jan 2012
Simon Dubecq and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 63 (375,679)
Citation 12

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Interest Rate, Term Structure, Affine Model, No Arbitrage, Level Factor, Slope Factor

7.

Risk-Shifting, Fuzzy Capital Constraint, and the Risk-Taking Channel of Monetary Policy

Number of pages: 49 Posted: 20 Feb 2012
Simon Dubecq, Benoit Mojon and Xavier Ragot
affiliation not provided to SSRN, Banque de France and Paris School of Economics (PSE)
Downloads 41 (453,603)
Citation 2

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capital requirements, imperfect information, risk-taking channel of monetary policy

8.

Consumption-Wealth Ratio and Housing Prices

Banque de France Working Paper No. 264
Number of pages: 51 Posted: 27 Jun 2010
Simon Dubecq and Imen Ghattassi
affiliation not provided to SSRN and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 40 (457,843)
Citation 21

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Consumption-wealth ratio, Structural break, Cointegration, Cointegrated VAR, Trends and cycles, Housing returns, Asset prices, Long-run predictability