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

13

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3,866

SSRN CITATIONS
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Top 3,573

in Total Papers Citations

41

CROSSREF CITATIONS

244

Scholarly Papers (13)

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1.

Risk Management in Financial Institutions

Downloads 1,003 ( 21,249)
Citation 4

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 1,003 (21,183)
Citation 4

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

2.

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) - Economics, Finance, Accounting (EFA) and HEC Paris - Finance Department
Downloads 742 (32,945)
Citation 10

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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 577 (46,158)
Citation 5

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Derivatives, Capital structure, Interest rate risk, Hedging

4.

Central Clearing and Collateral Demand

Downloads 446 ( 63,817)
Citation 68

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 289 (104,405)
Citation 3

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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 90 (286,013)
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 67 (341,188)
Citation 4

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5.

The Failure of a Clearinghouse: Empirical Evidence

Downloads 319 ( 71,914)
Citation 7

The Failure of a Clearinghouse: Empirical Evidence

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
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 319 (93,643)
Citation 4

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

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 246 (124,208)

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

7.

The Private Production of Safe Assets

Downloads 168 (177,598)
Citation 3

The Private Production of Safe Assets

HEC Paris Research Paper No. FIN-2017-1212
Number of pages: 57 Posted: 12 Jun 2017 Last Revised: 23 Feb 2019
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 168 (178,632)
Citation 3

Abstract:

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Safe assets, Collateral, Short-term debt, Treasuries

8.

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 82 (300,679)
Citation 17

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

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 78 (309,571)
Citation 2

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

10.

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 75 (316,823)

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

11.

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 64 (348,036)
Citation 1

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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 43 (413,021)

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

13.

Frictional Unemployment with Stochastic Bubbles

Downloads 23 (504,445)

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 19 (546,505)

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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 4 (650,433)

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unemployment volatility, labor frictions, bubbles