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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5,574

SSRN CITATIONS
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Top 3,007

in Total Papers Citations

200

CROSSREF CITATIONS

240

Scholarly Papers (15)

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1.

Risk Management in Financial Institutions

Downloads 1,429 ( 18,271)
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 1,429 (18,755)
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 789 ( 43,394)
Citation 25

Wholesale Funding Dry-Ups

HEC Paris Research Paper
Number of pages: 66 Posted: 23 Nov 2015 Last Revised: 01 Mar 2017
Christophe Pérignon, David Thesmar and Guillaume Vuillemey
HEC Paris - Finance Department, Massachusetts Institute of Technology (MIT) - Sloan School of Management and HEC Paris - Finance Department
Downloads 789 (44,151)
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 719 (50,614)
Citation 8

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Derivatives, Capital structure, Interest rate risk, Hedging

4.

The Failure of a Clearinghouse: Empirical Evidence

Downloads 472 ( 68,726)
Citation 25

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 472 (85,278)
Citation 18

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

5.

The Private Production of Safe Assets

Downloads 536 ( 73,602)
Citation 10

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 Pérignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 536 (72,969)
Citation 10

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Safe assets, Collateral, Short-term debt, Treasuries

6.

Central Clearing and Collateral Demand

Downloads 478 ( 84,773)
Citation 97

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 304 (140,220)
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 101 (363,493)
Citation 1

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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 Last Revised: 08 May 2022
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 73 (443,249)
Citation 32

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7.

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 392 (106,813)

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

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 301 (142,383)
Citation 6

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9.

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 112 (336,715)
Citation 20

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

10.

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 96 (372,708)
Citation 19

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

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, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 93 (380,220)
Citation 19

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

12.

Frictional Unemployment with Stochastic Bubbles

Downloads 57 (495,891)
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 New York University (NYU) - New York University Abu Dhabi
Downloads 49 (539,599)
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 New York University (NYU) - New York University Abu Dhabi
Downloads 8 (843,152)
Citation 2

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unemployment volatility, labor frictions, bubbles

13.

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 48 (534,566)

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

14.

The Structure and Resilience of the European Interbank Market

ESRB: Occasional Paper Series No. 2013/03
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 26 (657,989)
Citation 4

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interbank market, resilience, structure, contagion

15.

Assessing Contagion Risks from the CDS Market

ESRB: Occasional Paper Series No. 2013/04
Number of pages: 46 Posted: 05 Nov 2020
Markus K. Brunnermeier, Laurent Clerc, Yanis El Omari, Silvia Gabrieli, Steffen Kern, Christoph Memmel, Tuomas Peltonen, Natalia Podlich, Martin Scheicher and Guillaume Vuillemey
Princeton University - Department of Economics, 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 26 (657,989)
Citation 3

Abstract:

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CDS, contagion, systemic risk, derivatives