Christophe Hurlin

University of Orleans

Université d'Orléans

Rue de Blois B.P. 6739 45

France

Université Paris IX Dauphine

Professor

223 Rue Saint-Honore

Paris, 75775

France

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 4,118

in Total Papers Downloads

7,870

CITATIONS
Rank 10,345

SSRN RANKINGS

Top 10,345

in Total Papers Citations

41

Scholarly Papers (22)

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 (4,331)
Citation 6

Abstract:

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

2.
Downloads 1,338 ( 10,662)
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 (15,961)
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 (76,139)
Citation 3

Abstract:

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 440 (14,082)

Abstract:

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

4.

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 (56,010)
Citation 1

Abstract:

Collateral Requirements, Futures Markets, Tail Risk, Derivatives Clearing

5.

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
University of Orleans, University of Geneva, HEC Paris - Finance Department and HEC Paris
Downloads 351 (31,651)

Abstract:

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

6.

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 (63,137)

Abstract:

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

7.

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 (82,436)

Abstract:

Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

8.

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 (122,161)

Abstract:

9.

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 Metz (Paul Verlaine) - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 144 (160,238)

Abstract:

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

10.

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 (70,570)

Abstract:

G-SIFI, regulatory capital, Basel Committee

11.

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 126 (163,955)
Citation 10

Abstract:

Infrastructure, Threshold Panel Regression Models

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 62 (294,353)

Abstract:

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 56 (309,960)

Abstract:

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

13.

Risk Measure Inference

Number of pages: 37 Posted: 26 Oct 2013 Last Revised: 16 Mar 2015
University of Orleans, French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM), Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Department of Quantitative Economics
Downloads 112 (160,238)

Abstract:

Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

14.

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 102 (202,911)
Citation 4

Abstract:

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

15.

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

William Davidson Institute Working Paper No. 581
Number of pages: 29 Posted: 20 Aug 2003
Christophe Hurlin and Rafaƚ Kierzenkowski
University of Orleans and Université Paris IX Dauphine
Downloads 76 (255,972)
Citation 3

Abstract:

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

16.

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 50 (300,455)

Abstract:

Economic Theory & Research, Banks & Banking Reform, Debt Markets, Currencies and Exchange Rates, Markets and Market Access

17.

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
Bank of Korea and University of Orleans
Downloads 6 (484,324)

Abstract:

portfolio inflows, unconventional monetary policy, emerging market economies, cross-country heterogeneity, time variability, nonlinearity, panel smooth transition regression model

18.

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
University of Orleans, University of Orleans and University of Orleans
Downloads 0 (498,916)
Citation 6

Abstract:

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

19.

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 (390,038)

Abstract:

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

20.

Network Effects and Infrastructure Productivity in Developing Countries

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 6, pp. 887-913, 2013
Number of pages: 27 Posted: 22 Nov 2013
Bertrand Candelon, Gilbert Colletaz and Christophe Hurlin
University of Maastricht - Department of Economics, University of Orleans and University of Orleans
Downloads 0 (548,341)
Citation 8

Abstract:

21.

How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods

IMF Economic Review, Vol. 60, Issue 1, pp. 75-113, 2012
Number of pages: 39 Posted: 14 Mar 2012
Bertrand Candelon, Elena-Ivona Dumitrescu and Christophe Hurlin
University of Maastricht - Department of Economics, affiliation not provided to SSRN and University of Orleans
Downloads 0 (548,341)

Abstract:

22.

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

Abstract:

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