Christophe Perignon

HEC Paris - Finance Department

Associate Professor

1 rue de la Liberation

Jouy-en-Josas Cedex, 78351

France

SCHOLARLY PAPERS

30

DOWNLOADS
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Top 1,155

in Total Papers Downloads

19,090

CITATIONS
Rank 4,615

SSRN RANKINGS

Top 4,615

in Total Papers Citations

114

Scholarly Papers (30)

1.

A Theoretical and Empirical Comparison of Systemic Risk Measures

HEC Paris Research Paper No. FIN-2014-1030
Number of pages: 47 Posted: 21 Dec 2011 Last Revised: 21 Jan 2014
Université Paris Dauphine - LEDa-SDFi, University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 1,472 (4,332)
Citation 6

Abstract:

Banking Regulation, Systemically Important Financial Firms, Marginal Expected Shortfall, SRISK, CoVaR, Systemic vs. Systematic Risk

2.

A New Approach to Comparing VaR Estimation Methods

Number of pages: 23 Posted: 20 Apr 2007 Last Revised: 14 Mar 2013
Christophe Perignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 1,384 (8,243)
Citation 3

Abstract:

Value-at-Risk, Bank Trading Revenue, Backtesting, Coverage Test

3.

The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

AFA 2008 New Orleans Meetings Paper, Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 49 Posted: 20 Dec 2006 Last Revised: 14 Mar 2013
Christophe Perignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 1,367 (8,889)
Citation 24

Abstract:

Value-at-Risk, Disclosure, Market Risk, Proprietary Risk Management

4.
Downloads 1,338 ( 10,658)
Citation 3

The Risk Map: A New Tool for Validating Risk Models

Number of pages: 40 Posted: 04 May 2011 Last Revised: 14 Mar 2013
Gilbert Colletaz, Christophe Hurlin and Christophe Perignon
University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 1,022 (15,952)
Citation 3

Abstract:

Financial risk management, Tail Risk, Basel III

The Risk Map: A New Tool for Backtesting Value-at-Risk Models

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 29 Posted: 12 May 2011
Gilbert Colletaz, Christophe Hurlin and Christophe Perignon
University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 316 (76,114)
Citation 3

Abstract:

5.

Risk Management Research Report - Spring 2010

Risk Management Research Report, Spring 2010
Number of pages: 16 Posted: 23 Apr 2010
HEC Paris - Finance Department, affiliation not provided to SSRN, University of Massachusetts Amherst - Department of Finance, Brooklyn College - CUNY, Drexel University, Loyola Marymount University - Department of Finance and Computer Information Systems, University of Rochester - Simon Business School, Temple University - Department of Finance, Southern Illinois University at Edwardsville - Department of Economics & Finance, University of California, Santa Barbara - Department of Economics, University of California, San Diego (UCSD) - Rady School of Management, University of Utah - David Eccles School of Business, Purdue University - Krannert School of Management, HEC Paris - Finance Department, Harvard Law School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, New York University (NYU) - Department of Finance, Department of Economics, Texas A&M University, Texas A&M University - Department of Economics, International Food Policy Research Institute (IFPRI), IMD International, University of Georgia - Department of Banking and Finance, Southern Methodist University (SMU) - Edwin L. Cox School of Business, Pennsylvania State University, Smeal College of Business, University of California at Los Angeles - Anderson School of Management, Columbia Business School - Accounting, Business Law & Taxation, University of South Florida - College of Business Administration, Gabelli School of Business, Fordham University, New York University (NYU) - Department of Finance, Gabelli School of Business, Fordham University and Loyola University of Chicago - Department of Finance
Downloads 1,220 (11,411)

Abstract:

Risk, Risk Management, Derivatives, Corporate Governance, Financial Derivatives, Value-At-Risk, VaR, Ethics, Volatility, Variance, Standard Deviation, Systemic, Systematic

6.

Diversification and Value-at-Risk

Number of pages: 29 Posted: 20 Sep 2007 Last Revised: 14 Mar 2013
Christophe Perignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 1,050 (14,239)
Citation 7

Abstract:

Value-at-Risk, Diversification, Correlation, Sources of Risk

7.

Do Banks Overstate Their Value-at-Risk?

Number of pages: 32 Posted: 29 Sep 2006
Christophe Perignon, Zi Yin Deng and Zhi Jun Wang
HEC Paris - Finance Department, Simon Fraser University (SFU) - Beedie School of Business and Simon Fraser University (SFU) - Beedie School of Business
Downloads 808 (21,495)
Citation 12

Abstract:

Value-at-Risk (VaR), Capital Requirement, Backtesting, Disclosure

8.

Derivatives Clearing, Default Risk, and Insurance

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 39 Posted: 28 Feb 2008 Last Revised: 14 Mar 2013
Robert A. Jones and Christophe Perignon
Simon Fraser University (SFU) - Department of Economics and HEC Paris - Finance Department
Downloads 654 (31,058)
Citation 4

Abstract:

Derivatives Exchanges, Clearing House, Default Risk, Systemic Risk

9.

Impact of Overwhelming Joy on Consumer Demand: The Case of a Soccer World-Cup Victory

Number of pages: 28 Posted: 28 Mar 2005
Jean-Marc Falter, Christophe Perignon and Olivier Vercruysse
University of Geneva - Department of Economics, HEC Paris - Finance Department and Catholic University of Louvain (UCL) - School of Management
Downloads 651 (30,323)
Citation 2

Abstract:

Consumer sentiment, demand for sports

10.

Common Factors in International Bond Returns Revisited: A Common Principal Component Approach

Number of pages: 41 Posted: 04 Mar 2002
Franck Moraux, Christophe Perignon and Christophe Villa
Université de Rennes I and CREM, HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 588 (34,636)

Abstract:

Term Structure, Interest Rates, Factor Models, Principal Component Analysis, Common Principal Component Analysis

11.

Extracting Information from Options Markets; Smiles, State-Price Densities and Risk-Aversion

EFMA 2001 Lugano Meetings
Number of pages: 46 Posted: 01 Jun 2001
Christophe Perignon and Christophe Villa
HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 530 (39,602)
Citation 6

Abstract:

12.

Commonality in Liquidity: A Global Perspective

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 27 Feb 2007 Last Revised: 29 Sep 2008
Paul Brockman, Dennis Y. Chung and Christophe Perignon
Lehigh University, Simon Fraser University and HEC Paris - Finance Department
Downloads 478 (42,869)
Citation 18

Abstract:

Liquidity, Commonality, Bid-Ask Spreads, Depths

13.

The Political Economy of Financial Innovation: Evidence from Local Governments

HEC Paris Research Paper No. FIN-2013-1017
Number of pages: 61 Posted: 30 Jul 2011 Last Revised: 20 Jan 2017
Christophe Perignon and Boris Vallee
HEC Paris - Finance Department and Harvard Business School - Finance Unit
Downloads 457 (49,467)

Abstract:

Financial innovation, Political cycle, Herding, Structured debt

14.

Where the Risks Lie: A Survey on Systemic Risk

HEC Paris Research Paper No. FIN-2015-1088
Number of pages: 58 Posted: 15 Mar 2015 Last Revised: 09 Feb 2016
Université Paris Dauphine - LEDa-SDFi, HEC Paris - Finance Department, University of Orleans and HEC Paris - Finance Department
Downloads 440 (14,093)

Abstract:

Banking, Macroprudential Regulation, Systemically Important Financial In- stitutions, Financial Crises, Too-Big-To-Fail

15.

How Common are Common Return Factors Across NYSE and NASDAQ?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 27 Sep 2007 Last Revised: 14 Mar 2013
Christophe Perignon, Amit Goyal and Christophe Villa
HEC Paris - Finance Department, University of Lausanne and Audencia Nantes School of Management
Downloads 436 (49,467)

Abstract:

Risk Factors

16.

Repurchasing Shares on a Second Trading Line

FAME Working Paper No. 162
Number of pages: 42 Posted: 04 Jan 2006 Last Revised: 14 Mar 2013
Christophe Perignon, Dennis Y. Chung and Dušan Isakov
HEC Paris - Finance Department, Simon Fraser University and University of Fribourg - Faculty of Economics and Social Science
Downloads 362 (60,957)
Citation 5

Abstract:

Share Repurchases, Disclosure Environment, Information Asymmetry, Liquidity

17.

Margin Backtesting

Number of pages: 19 Posted: 09 Feb 2012
Christophe Hurlin and Christophe Perignon
University of Orleans and HEC Paris - Finance Department
Downloads 357 (55,992)
Citation 1

Abstract:

Collateral Requirements, Futures Markets, Tail Risk, Derivatives Clearing

18.

The Counterparty Risk Exposure of ETF Investors

HEC Paris Research Paper No. FIN-2014-1050
Number of pages: 45 Posted: 06 Jul 2014 Last Revised: 03 Apr 2017
Christophe Hurlin, Grégoire Iseli, Christophe Perignon and Stanley Yeung
University of Orleans, University of Geneva, HEC Paris - Finance Department and HEC Paris
Downloads 351 (31,641)

Abstract:

Asset management, passive investment, derivatives, optimal collateral portfolio, systemic risk

19.

Implied Risk Exposures

HEC Paris Research Paper No. FIN-2013-1012
Number of pages: 53 Posted: 22 May 2013 Last Revised: 08 Oct 2014
Sylvain Benoit, Christophe Hurlin and Christophe Perignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 304 (63,116)

Abstract:

Herding, Risk Disclosure, (Stressed) Value-at-Risk, Regulatory Capital

20.

Yield-Factor Volatility Models

Number of pages: 31 Posted: 15 Nov 2006
Christophe Perignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 264 (90,249)
Citation 3

Abstract:

Yields, GARCH, Level Effect, Regime Shifts

21.

The Pernicious Effects of Contaminated Data in Risk Management

Number of pages: 43 Posted: 15 Jan 2010 Last Revised: 14 Mar 2013
Laurent Frésard, Christophe Perignon and Anders Wilhelmsson
University of Maryland - Robert H. Smith School of Business, HEC Paris - Finance Department and Lund University - Department of Economics
Downloads 259 (89,150)
Citation 3

Abstract:

Regulatory capital, proprietary trading, backtesting, value-at-risk, profit-and-loss

22.

Evolution of Market Uncertainty around Earnings Announcements

Number of pages: 24 Posted: 07 Jun 2006
Dušan Isakov and Christophe Perignon
University of Fribourg - Faculty of Economics and Social Science and HEC Paris - Finance Department
Downloads 209 (103,867)
Citation 5

Abstract:

implied volatility, earnings announcements, leverage effect

23.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
Bank of Canada, University of Orleans, American University and HEC Paris - Finance Department
Downloads 197 (82,408)

Abstract:

Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

24.

RunMyCode.Org: A Novel Dissemination and Collaboration Platform for Executing Published Computational Results

Number of pages: 8 Posted: 18 Sep 2012
Victoria Stodden, Christophe Hurlin and Christophe Perignon
University of Illinois at Urbana-Champaign - Graduate School of Library and Information Science, University of Orleans and HEC Paris - Finance Department
Downloads 181 (122,126)

Abstract:

25.

Pitfalls in Systemic-Risk Scoring

HEC Paris Research Paper No. FIN-2013-1005
Number of pages: 74 Posted: 28 Sep 2013 Last Revised: 23 Mar 2017
Sylvain Benoit, Christophe Hurlin and Christophe Perignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 140 (70,551)

Abstract:

G-SIFI, regulatory capital, Basel Committee

26.

On the Dynamic Interdependence of International Stock Markets: A Swiss Perspective

Number of pages: 33 Posted: 26 May 2006
Christophe Perignon and Dušan Isakov
HEC Paris - Finance Department and University of Fribourg - Faculty of Economics and Social Science
Downloads 122 (185,541)
Citation 2

Abstract:

27.

Extracting Information from Options Markets: Smiles, State-Price Densities and Risk Aversion

European Financial Management, Vol. 8, pp. 495-513, 2002
Number of pages: 19 Posted: 13 Feb 2003
Christophe Perignon and Christophe Villa
HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 16 (453,391)
Citation 6
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Abstract:

28.

Derivatives Clearing, Default Risk, and Insurance

Journal of Risk and Insurance, Vol. 80, Issue 2, pp. 373-400, 2013
Number of pages: 28 Posted: 22 May 2013
Robert A. Jones and Christophe Perignon
Simon Fraser University (SFU) - Department of Economics and HEC Paris - Finance Department
Downloads 1 (535,951)
Citation 4
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Abstract:

29.

Systemic-Risk Scoring

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 05 Jun 2016 Last Revised: 02 Feb 2017
Sylvain Benoit, Christophe Hurlin and Christophe Perignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 0 (394,190)

Abstract:

Banking, Macroprudential Regulation, Systemically Important Financial Institutions, Financial Crises, Financial Risk and Risk Management.

30.

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, MIT Sloan and HEC Paris - Finance Department
Downloads 0 (40,533)

Abstract:

wholesale funding, market freeze, certificates of deposits