Victor Vaugirard

TEAM-CNRS, University of Paris at Sorbonne

Maison des Sciences Economiques

106-112 Boulevard de l'Hôpital

Paris, F-75013

France

SCHOLARLY PAPERS

11

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32

CITATIONS

2

Scholarly Papers (11)

Beliefs, Bailouts and Spread of Bank Panics

Bulletin of Economic Research, Vol. 57, No. 1, pp. 93-107, January 2005
Number of pages: 15 Posted: 31 Dec 2004
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne
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Abstract:

Beliefs, Bailouts and Spread of Bank Panics

Bulletin of Economic Research, 2004
Posted: 26 Oct 2004
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Bank run, pure contagion, bailout, self-fulfilling expectations, Bayesian reassessment

2.

Hitting Time and Time Change

Applied Mathematical Finance, Vol. 11, No. 1, 2004
Posted: 12 Nov 2007
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Digital option, soft barrier, forward-neutral measure, time change, jump-diffusion process

3.

Financial Instability, Political Crises and Contagion

Louvain Economic Review, Vol. 73, No. 4, pp. 347-367, 2007
Posted: 12 Nov 2007
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Banking liquidity crisis, bailout, political crisis, contagion

4.

Bank Bailouts and Political Instability

European Journal of Political Economy, 2007
Posted: 29 May 2007
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Banking crisis, Bailout, Political distortion, Dynamic game of incomplete information

5.

Informational Contagion of Sudden Stops in a Global Games Framework

Open Economies Review, Vol. 15, No. 2, p. 169-192, 2004
Posted: 29 May 2007
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

pure contagion, coordination game, incomplete information, payoff complementarities, Bayesian learning

6.

Informational Contagion of Bank Runs in a Third-Generation Crisis Model

Journal of International Money and Finance, Forthcoming
Posted: 07 Mar 2006
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Contagion, bank panics, transparency, bailouts

7.

Crony Capitalism and Sovereign Default

Open Economies Review, Vol. 16, No. 1, 2005
Posted: 26 Oct 2004
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Crony capitalism, political distortion, debt service, financial fragility, pure contagion

8.

Valuing Catastrophe Bonds by Monte Carlo Simulations

Applied Mathematical Finance, Vol. 10, No. 1, 2003
Posted: 26 Oct 2004
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Catastrophe bonds, digital options, jump-diffusion process, mean-reverting process, variance reduction

9.

The Pricing of Insurance-Linked Securities under Interest Rate Uncertainty

The Journal of Risk Finance, Vol. 3, No. 3, Spring 2002
Posted: 01 Apr 2002
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

Abstract:

10.

Monte Carlo Applied to Exotic Digital Options

Applied Mathematical Finance, Vol. 8, No. 3, pp. 183-196, 2001
Posted: 07 Jan 2002
Victor Vaugirard
TEAM-CNRS, University of Paris at Sorbonne

Abstract:

mean-reverting process, jump-diffusion process, control variate method, antithetic technique, change of numeraire

11.

The Valuation of Nature-Linked Bonds with Exchange Rate Risk

Journal of Economics and Finance, Vol. 25, No. 3, Fall 2001
Posted: 14 Nov 2001
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Insurance bonds, digital options, outside barrier calls, change of numeraire, currency risk