Christophe Perignon

HEC Paris - Finance Department

Associate Dean for Research

1 rue de la Liberation

Jouy-en-Josas Cedex, 78351

France

SCHOLARLY PAPERS

31

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CITATIONS
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114

Scholarly Papers (31)

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 2,892 (3,571)
Citation 6

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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 1,711 (8,670)
Citation 3

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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 1,588 (9,804)
Citation 24

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

4.

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 1,544 (10,256)

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

5.
Downloads 1,419 ( 11,744)
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 1,087 (17,425)
Citation 3

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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 332 (84,105)
Citation 3

Abstract:

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6.

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, Columbia Business School - Finance and Economics, 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), Catolica Lisbon School of Business and Economics, University of Georgia - Department of Banking and Finance, Southern Methodist University (SMU) - Finance Department, Pennsylvania State University, Smeal College of Business, University of California at Los Angeles - Anderson School of Management, INSEAD, University of South Florida - College of Business Administration, Fordham University - Gabelli School of Business, New York University (NYU) - Department of Finance, Fordham University - Gabelli School of Business and Loyola University of Chicago - Department of Finance
Downloads 1,325 (13,131)

Abstract:

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

7.

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 1,147 (16,404)
Citation 7

Abstract:

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

8.

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 879 (24,312)
Citation 12

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

9.

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 863 (24,969)

Abstract:

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

10.

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 699 (33,457)

Abstract:

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wholesale funding, market freeze, certificates of deposits

11.

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 685 (34,415)
Citation 2

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Consumer sentiment, demand for sports

12.

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 671 (35,425)
Citation 4

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Derivatives Exchanges, Clearing House, Default Risk, Systemic Risk

13.

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 617 (39,534)

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

14.

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 553 (45,623)
Citation 6

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15.

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 - College of Business & Economics, Simon Fraser University and HEC Paris - Finance Department
Downloads 529 (48,257)
Citation 18

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Liquidity, Commonality, Bid-Ask Spreads, Depths

16.

Pitfalls in Systemic-Risk Scoring

HEC Paris Research Paper No. FIN-2013-1005
Number of pages: 81 Posted: 28 Sep 2013 Last Revised: 09 Feb 2018
Sylvain Benoit, Christophe Hurlin and Christophe Perignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 505 (51,222)

Abstract:

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G-SIFI, regulatory capital, Basel Committee

17.

The Political Economy of Financial Innovation: Evidence from Local Governments

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 30 Jul 2011 Last Revised: 15 Aug 2017
Christophe Perignon and Boris Vallee
HEC Paris - Finance Department and Harvard Business School - Finance Unit
Downloads 501 (51,739)

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Financial innovation, Political cycle, Herding, Structured debt

18.

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 470 (56,053)

Abstract:

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Risk Factors

19.

Margin Backtesting

Number of pages: 19 Posted: 09 Feb 2012
Christophe Hurlin and Christophe Perignon
University of Orleans and HEC Paris - Finance Department
Downloads 451 (58,989)
Citation 1

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Collateral Requirements, Futures Markets, Tail Risk, Derivatives Clearing

20.

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 408 (66,614)
Citation 5

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Share Repurchases, Disclosure Environment, Information Asymmetry, Liquidity

21.

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 404 (67,434)

Abstract:

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

22.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
Bank of Canada, University of Orleans, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 358 (77,641)

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Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

23.

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 Vilhelmsson
University of Lugano, HEC Paris - Finance Department and Lund University - Department of Economics
Downloads 286 (99,880)
Citation 3

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

24.

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 278 (102,852)
Citation 3

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Yields, GARCH, Level Effect, Regime Shifts

25.

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 244 (117,832)
Citation 5

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implied volatility, earnings announcements, leverage effect

26.

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 230 (125,067)

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27.
Downloads 144 (190,515)

The Private Production of Safe Assets

HEC Paris Research Paper No. FIN-2017-1212
Number of pages: 58 Posted: 12 Jun 2017 Last Revised: 22 May 2018
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 143 (192,077)

Abstract:

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Safe assets, Collateral, Short-term debt, Treasuries

The Private Production of Safe Assets

CEPR Discussion Paper No. DP12086
Number of pages: 59 Posted: 13 Jun 2017
Marcin T. Kacperczyk, Christophe Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris
Downloads 1 (639,328)
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Collateral, safe assets, Short-term debt, Treasuries

The Private Production of Safe Assets

CEPR Discussion Paper No. DP12395
Number of pages: 62 Posted: 30 Oct 2017
Marcin T. Kacperczyk, Christophe Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris
Downloads 0
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information sensitivity, safe assets, safety premium

28.

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 130 (206,840)
Citation 2

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29.

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 17 (509,618)
Citation 6
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30.

Clearing House, Margin Requirements, and Systemic Risk

Review of Futures Markets, Vol. 19 (2011)
Number of pages: 17 Posted: 21 Apr 2018
Jorge Cruz Lopez, Jeffrey H. Harris and Christophe Perignon
Bank of Canada, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 14 (526,190)

Abstract:

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derivatives, tail risk, default risk, extreme dependence, copulas

31.

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 (608,508)
Citation 4
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Other Papers (1)

Total Downloads: 11    Citations: 0
1.

What If Dividends Were Tax‐Exempt? Evidence from a Natural Experiment

Number of pages: 42 Posted: 04 Jun 2018 Last Revised: 18 Nov 2018
Dušan Isakov, Christophe Perignon and Jean-Philippe Weisskopf
University of Fribourg - Faculty of Economics and Social Science, HEC Paris - Finance Department and Ecole Hôtelière de Lausanne
Downloads 11

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corporate taxes, dividends, pay-outs, investment, real effects