Guillaume Vuillemey

HEC Paris - Finance Department

Assistant Professor of Finance

1 rue de la Libération

Paris, Not Applicable 78351

France

http://sites.google.com/site/guillaumevuillemey/home

  • HEC Paris - Finance Department

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    • Tel: +33660204275
SCHOLARLY PAPERS

15

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4,587

SSRN CITATIONS
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Top 2,947

in Total Papers Citations

165

CROSSREF CITATIONS

265

Scholarly Papers (15)

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1.

Risk Management in Financial Institutions

Downloads 1,268 ( 17,289)
Citation 13

Risk Management in Financial Institutions

Journal of Finance, Forthcoming
Number of pages: 68 Posted: 22 Oct 2015 Last Revised: 29 Jul 2019
Adriano A. Rampini, S. Viswanathan and Guillaume Vuillemey
Duke University, Duke University - Fuqua School of Business and HEC Paris - Finance Department
Downloads 1,268 (17,231)
Citation 6

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Risk management, Financial institutions, Interest rate risk, Foreign exchange risk, Financial constraints, Derivatives

2.

Wholesale Funding Dry-Ups

Downloads 764 ( 36,163)
Citation 23

Wholesale Funding Dry-Ups

HEC Paris Research Paper
Number of pages: 66 Posted: 23 Nov 2015 Last Revised: 01 Mar 2017
Christophe Perignon, David Thesmar and Guillaume Vuillemey
HEC Paris - Finance Department, Massachusetts Institute of Technology (MIT) - Sloan School of Management and HEC Paris - Finance Department
Downloads 764 (35,947)
Citation 24

Abstract:

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wholesale funding, market freeze, certificates of deposits

3.

Bank Interest Rate Risk Management

Number of pages: 56 Posted: 16 Aug 2015 Last Revised: 04 Dec 2017
Guillaume Vuillemey
HEC Paris - Finance Department
Downloads 651 (45,301)
Citation 6

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Derivatives, Capital structure, Interest rate risk, Hedging

4.

The Failure of a Clearinghouse: Empirical Evidence

Downloads 371 ( 69,969)
Citation 16

The Failure of a Clearinghouse: Empirical Evidence

Number of pages: 71 Posted: 02 Nov 2016 Last Revised: 28 Aug 2018
Vincent Bignon and Guillaume Vuillemey
Banque de France and HEC Paris - Finance Department
Downloads 371 (89,910)
Citation 10

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Central Clearing; Failure; Risk Management; CCP; Collateral; Derivatives

5.

Central Clearing and Collateral Demand

Downloads 461 ( 70,154)
Citation 90

Central Clearing and Collateral Demand

Rock Center for Corporate Governance at Stanford University Working Paper No. 171
Number of pages: 39 Posted: 01 Feb 2014 Last Revised: 16 Apr 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 296 (115,836)
Citation 2

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Central clearing party, margin, credit default swap, collateral, client clearing

Central Clearing and Collateral Demand

ECB Working Paper No. 1638
Number of pages: 41 Posted: 14 Mar 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 95 (310,591)
Citation 2

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central clearing party, margin, credit default swap, collateral, client clearing

Central Clearing and Collateral Demand

NBER Working Paper No. w19890
Number of pages: 39 Posted: 11 Feb 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 70 (373,923)
Citation 27

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6.

Interest Rate Risk in Banking: A Survey

Number of pages: 50 Posted: 29 Dec 2015 Last Revised: 23 Jul 2016
Guillaume Vuillemey
HEC Paris - Finance Department
Downloads 300 (114,826)

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Interest rate risk, Maturity mismatching, Interest rate, Investment, Consumption, Monetary policy

7.

The Private Production of Safe Assets

Downloads 242 (142,733)
Citation 11

The Private Production of Safe Assets

HEC Paris Research Paper No. FIN-2017-1212
Number of pages: 68 Posted: 12 Jun 2017 Last Revised: 10 Aug 2020
Marcin T. Kacperczyk, Christophe Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 242 (142,785)
Citation 12

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Safe assets, Collateral, Short-term debt, Treasuries

8.

The Value of Central Clearing

HEC Paris Research Paper No. FIN-2018-1307
Number of pages: 88 Posted: 01 Oct 2018 Last Revised: 06 Aug 2019
Guillaume Vuillemey
HEC Paris - Finance Department
Downloads 178 (190,827)
Citation 2

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9.

Endogenous Derivative Networks

Banque de France Working Paper No. 483
Number of pages: 42 Posted: 29 Apr 2014
Guillaume Vuillemey and Regis Breton
HEC Paris - Finance Department and Banque de France
Downloads 90 (319,057)
Citation 18

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Collateral, Credit derivatives, Central Clearing Party (CCP), Rehypothecation, Network formation

10.

The Network Structure of the CDS Market and its Determinants

ECB Working Paper No. 1583
Number of pages: 46 Posted: 12 Sep 2013
Tuomas A. Peltonen, Martin Scheicher and Guillaume Vuillemey
European Central Bank (ECB), European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 86 (328,268)
Citation 16

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Credit Default Swap (CDS), financial networks, network topology, network determinants

11.

Cross-Border Interbank Contagion in the European Banking Sector

Banque de France Working Paper No. 545
Number of pages: 49 Posted: 31 Mar 2015
Silvia Gabrieli, Dilyara Salakhova and Guillaume Vuillemey
Banque de France, Banque de France and HEC Paris - Finance Department
Downloads 83 (335,438)
Citation 17

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Contagion, Interbank market, Stress Testing, Liquidity Hoarding, Counterparty Risk

12.

Disentangling the Bond-CDS Nexus: A Stress Test Model of the CDS Market

ECB Working Paper No. 1599
Number of pages: 33 Posted: 08 Nov 2013
Guillaume Vuillemey and Tuomas A. Peltonen
HEC Paris - Finance Department and European Central Bank (ECB)
Downloads 45 (454,771)

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Credit event, Credit default swap, Contagion, Collateral, Market risk, Liquidity risk, Stress test

13.

Frictional Unemployment with Stochastic Bubbles

Downloads 44 (458,940)
Citation 2

Frictional Unemployment with Stochastic Bubbles

Number of pages: 71 Posted: 02 Oct 2016 Last Revised: 13 Jun 2017
Guillaume Vuillemey and Etienne Wasmer
HEC Paris - Finance Department and Observatoire Français des Conjonctures Economiques (OFCE)
Downloads 37 (500,245)
Citation 1

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Unemployment Volatility, Labor Frictions, Bubbles

Frictional Unemployment with Stochastic Bubbles

IZA Discussion Paper No. 10265
Number of pages: 75 Posted: 10 Oct 2016
Guillaume Vuillemey and Etienne Wasmer
HEC Paris - Finance Department and Observatoire Français des Conjonctures Economiques (OFCE)
Downloads 7 (704,126)
Citation 2

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unemployment volatility, labor frictions, bubbles

14.

Assessing Contagion Risks from the CDS Market

ESRB: Occasional Paper Series (Topic) 201304
Number of pages: 46 Posted: 05 Nov 2020
Markus Brunnermeier, Laurent Clerc, Yanis El Omari, Silvia Gabrieli, Steffen Kern, Christoph Memmel, Tuomas Peltonen, Natalia Podlich, Martin Scheicher and Guillaume Vuillemey
affiliation not provided to SSRN, Banque de France, affiliation not provided to SSRN, Banque de France, European Securities and Markets Authority, Deutsche Bundesbank, European Systemic Risk Board, Deutsche Bundesbank, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 3 (706,127)

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CDS, contagion, systemic risk, derivatives

15.

The Structure and Resilience of the European Interbank Market

ESRB: Occasional Paper Series (Topic) 201303
Number of pages: 44 Posted: 05 Nov 2020
Ivan Alves, Stijn Ferrari, Pietro Franchini, Jean-Cyprien Heam, Pavol Jurca, Sebastiano Laviola, Sam Langfield, Franka Liedorp, Antonio Sánchez, Santiago Tavolaro and Guillaume Vuillemey
affiliation not provided to SSRN, National Bank of Belgium, affiliation not provided to SSRN, Banque de France, affiliation not provided to SSRN, affiliation not provided to SSRN, European Central Bank, affiliation not provided to SSRN, affiliation not provided to SSRN, Independent and HEC Paris - Finance Department
Downloads 1 (728,539)

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interbank market, resilience, structure, contagion