Christophe Hurlin

University of Orleans

Université d'Orléans

Rue de Blois B.P. 6739 45

France

SCHOLARLY PAPERS

32

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188

CROSSREF CITATIONS

90

Scholarly Papers (32)

1.
Downloads 15,961 ( 454)
Citation 6

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 15 May 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 15,961 (481)
Citation 12

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nonstandard errors, multi-analyst study, liquidity

2.

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 4,224 (4,782)
Citation 56

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

3.

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 2,385 (11,999)
Citation 144

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

4.
Downloads 1,745 (19,654)
Citation 10

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 Pérignon
University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 1,291 (30,454)
Citation 7

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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 Pérignon
University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 454 (122,112)
Citation 3

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5.

The Fairness of Credit Scoring Models

HEC Paris Research Paper No. FIN-2021-1411
Number of pages: 69 Posted: 18 Feb 2021 Last Revised: 11 Feb 2024
Christophe Hurlin, Christophe Pérignon and Sébastien Saurin
University of Orleans, HEC Paris - Finance Department and University of Orleans, Laboratoire d'économie d'Orléans, Students
Downloads 1,439 (26,403)
Citation 4

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Fairness; Credit scoring models; Discrimination; Machine Learning; Artificial Intelligence

6.

The Counterparty Risk Exposure of ETF Investors

HEC Paris Research Paper No. FIN-2014-1050
Number of pages: 49 Posted: 06 Jul 2014 Last Revised: 16 Mar 2019
University of Orleans, University of Geneva, HEC Paris - Finance Department and HEC Paris
Downloads 1,426 (26,719)
Citation 7

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

7.

Computational Reproducibility in Finance: Evidence from 1,000 Tests

HEC Paris Research Paper No. FIN-2022-1467
Number of pages: 61 Posted: 06 Apr 2022 Last Revised: 08 Feb 2024
HEC Paris - Finance Department, CNRS, University of Orleans, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, Vrije Universiteit Amsterdam, University of Innsbruck and VU University Amsterdam
Downloads 1,076 (40,191)
Citation 3

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computational reproducibility, open science, credibility of research, multi-analyst study, data-availability policy, scientific publishing

8.

Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations

Number of pages: 43 Posted: 25 Jun 2023 Last Revised: 07 Dec 2023
Christophe Hurlin and Christophe Pérignon
University of Orleans and HEC Paris - Finance Department
Downloads 884 (52,895)

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Banking; Machine Learning, Artificial Intelligence, Internal models, Prudential regulation, Regulatory capital

9.

Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds

Number of pages: 42 Posted: 07 Apr 2020 Last Revised: 15 Jan 2021
CEROS, Paris Nanterre University, Aix-Marseille University - Aix-Marseille School of Economics, University of Orleans and affiliation not provided to SSRN
Downloads 855 (55,385)
Citation 9

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Risk management; Credit scoring; Machine Learning; Interpretability; Econometrics

10.

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 Pérignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 660 (77,790)
Citation 6

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G-SIFI, regulatory capital, Basel Committee

11.

Margin Backtesting

Number of pages: 19 Posted: 09 Feb 2012
Christophe Hurlin and Christophe Pérignon
University of Orleans and HEC Paris - Finance Department
Downloads 558 (96,108)
Citation 2

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Collateral Requirements, Futures Markets, Tail Risk, Derivatives Clearing

12.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48 (2019)
Number of pages: 64 Posted: 19 Sep 2019 Last Revised: 08 Apr 2020
University of Orleans, University of Orleans, University of Orleans and Swiss Finance Institute - University of Geneva
Downloads 493 (111,970)
Citation 9

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13.

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 Pérignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 451 (124,413)
Citation 2

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

14.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
University of Western Ontario, University of Orleans, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 437 (129,152)
Citation 2

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Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

15.

Measuring the Driving Forces of Predictive Performance: Application to Credit Scoring

HEC Paris Research Paper No. FIN-2022-1463
Number of pages: 73 Posted: 22 Nov 2022 Last Revised: 27 Jun 2023
Aix-Marseille University - Aix-Marseille School of Economics, University of Orleans, HEC Paris - Finance Department and University of Orleans, Laboratoire d'économie d'Orléans, Students
Downloads 391 (146,763)

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Machine learning, Explainability, Performance metric, Shapley value

16.
Downloads 312 (187,418)
Citation 1

The Economics of Computational Reproducibility

HEC Paris Research Paper No. FIN-2019-1345
Number of pages: 56 Posted: 12 Jul 2019 Last Revised: 23 Dec 2023
HEC Paris - Finance Department, University of Orleans and HEC Paris - Finance Department
Downloads 291 (200,501)
Citation 1

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research reproducibility, trust in science, peer-review process, confidential data

The Economics of Computational Reproducibility

Number of pages: 60 Posted: 29 Apr 2024
University of Orleans, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 21 (1,004,218)

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research reproducibility, trust in science, peer-review process, confidential data

17.

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 Pérignon
University of Illinois at Urbana-Champaign - Graduate School of Library and Information Science, University of Orleans and HEC Paris - Finance Department
Downloads 266 (221,138)
Citation 5

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18.

Network Effects of the Productivity of Infrastructure in Developing Countries

World Bank Policy Research Working Paper No. 3808
Number of pages: 26 Posted: 17 Jan 2006
Christophe Hurlin
University of Orleans
Downloads 253 (232,427)

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Infrastructure, Threshold Panel Regression Models

19.

Granular Borrowers

Université Paris-Dauphine Research Paper No. 3391768
Number of pages: 54 Posted: 07 Jun 2019
Paul Beaumont, Thibault Libert and Christophe Hurlin
Paris Dauphine University, Banque de France and University of Orleans
Downloads 218 (268,249)
Citation 2

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granularity, bank concentration, cyclicality of credit, liquidity risk

20.

Risk Measure Inference

Number of pages: 37 Posted: 26 Oct 2013 Last Revised: 16 Mar 2015
University of Orleans, AMSE, European Central Bank (ECB) and Maastricht University - Department of Quantitative Economics
Downloads 213 (274,079)
Citation 5

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Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

21.

A Robust Conditional Realized Extended 4-CAPM

Number of pages: 43 Posted: 18 Feb 2009 Last Revised: 31 Aug 2009
Christophe Hurlin, Patrick Kouontchou and Bertrand B. Maillet
University of Orleans, University of Lorraine - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 200 (290,441)
Citation 2

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Realized Betas, CAPM, Multifactor Pricing Models, High Frequency Data, Robust Estimation

Does Soft Information Matter? An Application of Gravity Models to Financial Analysts' Forecasts

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 21 Posted: 12 May 2011
Banque de France, University of Orleans, University of Orleans and University of Orleans
Downloads 108 (483,291)

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Does Soft Information Matter? An Application of Gravity Models to Financial Analysts' Forecasts

Number of pages: 29 Posted: 19 Mar 2011
University of Orleans, University of Orleans, University of Orleans and Banque de France
Downloads 83 (577,290)

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panel regression, financial analysts, forecasts, accuracy, optimism, pessimism, soft information

23.

The at-Risk Approach: A New Tool for Stress Tests and Overlays

Number of pages: 34 Posted: 29 Nov 2023
Guillaume Flament, Christophe Hurlin and Quentin Lajaunie
CREST-ENSAI - Campus de Ker-Lann, University of Orleans and Square Research Center
Downloads 182 (316,276)

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Density forecast, Stress test models, Growth-at-Risk, Value-at-Risk

24.

Estimates of Government Net Capital Stocks for 26 Developing Countries, 1970-2002

World Bank Policy Research Working Paper No. 3858
Number of pages: 55 Posted: 20 Apr 2016
Florence Arestoff and Christophe Hurlin
Université Paris IX Dauphine and University of Orleans
Downloads 145 (383,647)
Citation 2

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Investment and Investment Climate, Economic Theory & Research, Markets and Market Access, Public Sector Economics & Finance, Economic Stabilization

25.

Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the 'Min' Condition

Number of pages: 29 Posted: 20 Aug 2003
Christophe Hurlin and Rafaƚ Kierzenkowski
University of Orleans and Université Paris IX Dauphine
Downloads 134 (408,193)
Citation 2

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disequilibrium, monetary standard and regimes, non-stationarity and cointegration, transition, Poland

26.

The Feldstein-Horioka Puzzle: A Panel Smooth Transition Regression Approach

Economic Modelling Vol. 25 (2) 284-299
Number of pages: 31 Posted: 18 Aug 2016
Julien Fouquau, Christophe Hurlin and Isabelle Rabaud
ESCP Business School, University of Orleans and University of Orleans
Downloads 110 (473,972)
Citation 11

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Feldstein Horioka Puzzle, Panel Smooth Threshold Regression Models, saving-investment association, capital mobility

27.

Why Don't Banks Lend to Egypt's Private Sector?

World Bank Policy Research Working Paper No. 6094
Number of pages: 36 Posted: 20 Apr 2016
Santiago Herrera, Christophe Hurlin and Chahir Zaki
World Bank, University of Orleans and Cairo University
Downloads 97 (517,358)
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Economic Theory & Research, Banks & Banking Reform, Debt Markets, Currencies and Exchange Rates, Markets and Market Access

28.

Cross-Country-Heterogeneous and Time-Varying Effects of Unconventional Monetary Policies in AEs on Portfolio Inflows to EMEs

Bank of Korea WP 2014-5
Number of pages: 38 Posted: 28 Mar 2015
Kyoungsoo Yoon and Christophe Hurlin
The Bank of Korea and University of Orleans
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portfolio inflows, unconventional monetary policy, emerging market economies, cross-country heterogeneity, time variability, nonlinearity, panel smooth transition regression model

29.

How Did the Japanese Employment System Change Investigating the Heterogeneity of Downsizing Practices Across Firms

KIER Discussion Paper Series No. 883, 2014
Number of pages: 44 Posted: 27 Mar 2018
Ecole des Hautes Etudes en Sciences Sociales (EHESS), CORE-Université catholique Louvain, University of Orleans and Kobe University
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30.

The Heterogeneity of Employment Adjustment Across Japanese Firms. A Study Using Panel Data

Number of pages: 31 Posted: 27 Mar 2018
Christophe Hurlin and Sebastien Lechevalier
University of Orleans and Ecole des Hautes Etudes en Sciences Sociales (EHESS)
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31.

Backtesting Expected Shortfall: Accounting for Both Duration and Severity with Bivariate Orthogonal Polynomials

Number of pages: 42 Posted: 07 May 2024 Last Revised: 21 May 2024
Sullivan Hué, Christophe Hurlin and Yang Lu
Aix-Marseille University - Aix-Marseille School of Economics, University of Orleans and Department of Maths & Statis, Concordia University
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Orthogonal Polynomial, Inter-violation Duration, Expected Shortfall, Value-at-Risk, Systemic Risk Measures, Two-part Model

32.

Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the Short-Side Rule

Economic Systems, Vol. 31, No. 2, 2007
Posted: 05 Jul 2007
Christophe Hurlin and Rafaƚ Kierzenkowski
University of Orleans and Université Paris IX Dauphine

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Disequilibrium, Monetary standard and regimes, Non-stationarity and cointegration, Transition, Poland