Risque financier | EPFL Graph Search

Un risque financier est un risque de perdre de l'argent à la suite d'une opération financière (sur un actif financier) ou à une opération économique ayant une incidence financière (par exemple une vente à crédit ou en devises étrangères). Typologie Risque de marché Le risque de marché est le risque de perte qui peut résulter des fluctuations des prix des instruments financiers qui composent un portefeuille. Risque de contrepartie Le risque de contrepartie est le risque que la partie avec laquelle un contrat a été conclu ne tienne pas ses engagements (livraison, paiement, remboursement, etc.). Pour une banque, c'est le risque que ses clients soient dans l'incapacité de rembourser leurs emprunts, ou qu'une autre banque avec laquelle elle a des opérations en cours (correspondant bancaire) sur le marché interbancaire soit défaillante. Risque de taux Le risque de taux est le risque des prêts-emprunts. C'est le risque que les taux de crédit

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the incentive of a bank to take on leverage stems from the fact that its short-term debt provides liquidity benefits to depositors, at the cost of exposing the bank to the risk of runs. In the model, a bank possesses two instruments to manage the risk of runs: its funding policy and the size of its liquid asset holdings, modeled as government bonds. Issuing more debt allows the bank to better capture the liquidity benefits fits priced into deposits but increases illiquidity risk. Holding more bonds makes the bank more robust to withdrawals but it reduces the bank's asset returns. When the supply is scarce, banks are the natural buyers of government bonds. This links the liquidity premium priced into government bonds to the risk of bank runs. In the chapter "Liquidity, Debt Overhang, and Monetary Policy", firms take on bank credit to relax their liquidity constraint and purchase new capital. But taking on debt creates a debt overhang distortion which causes entrepreneurs to pass on protable projects. In the model, entrepreneurs arrange for their financing before they observe the profitability of their investment opportunity. After the latter becomes known, entrepreneurs are liquidity-constrained when investment conditions are favorable, and over-indebted when they are unfavorable. The monetary authority can generate welfare gains by lowering the cost of holding liquidity and, when debt is contracted in nominal terms, by pursuing a counter-cyclical monetary policy. In the chapter "Safe Claim Production and Capital Structure", firms issue debt to satisfy the demand of risk-averse investors for safe claims, at the cost of increasing default risk. In general equilibrium, firms need to be compensated for this service, which can only occur if their debt and equity claims are held and priced by different investor types. This segmentation of the investor base can be sufficient to prevent the existence of a symmetric equilibrium. Instead, only a fraction of firms opt for levered capital structures, and the gain in value obtained by tranching cash flows into debt and equity is offset by the expected cost of default. Changes in aggregate leverage can be divided into variations in extensive (the fraction of levered firms ) and intensive (the leverage ratio of levered firms ) margins. Changes in rm business risk have opposite effects on leverage, depending on whether the risk is of a systematic nature or firm-specific nature.

EPFL2019

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset opacity and disclosure policies on run likelihood and economic efficiency. I find that opacity is desirable with respect to both these metrics if and only if fundamentals are strong enough; and that a bank should commit to disclose truthfully any information it has unless the level of opacity is large. The model also uncovers rich interactions between debt dynamics, beliefs dynamics and equilibrium outcomes: short-term yields may remain low while risk builds up in the background, and therefore may not contain a warning sign of an upcoming crisis; and a disclosure regime might produce higher beliefs about collateral quality but nevertheless imply larger financing costs and thus lead to a bank failure. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", we extend the modelling toolbox of the global games literature by providing a fully rational setup where liquid reserves are modeled explicitly. The banks' balance sheet decisions and the prices of all securities are endogenous in the model. A bank possesses two instruments to manage illiquidity risk: its funding policy and the size of its liquid asset holdings,modeled as government bonds. Higher short-term indebtness allows the bank to better capture the liquidity benefits priced into deposits but increases illiquidity risk. Holding more bonds makes the bank more robust to withdrawals but it reduces the bank's asset returns. The impact of an increase in bond supply on bank leverage depends on the general-equilibrium change in the cost of absorbing the supply. The model also illustrates how considering an endogenous leverage decision is key to predict the impact of the economic environment on the liquidity premium. In the chapter "Insider Trading under Penalties", we establish existence and uniqueness of equilibrium in a generalised one-period Kyle (1985)model where insider trades can be subject to a size-dependent penalty. The result is obtained by considering uniform instead of Gaussian noise and holds for virtually any penalty function. We apply this result to regulation issues. We show that the penalty functions maximising price informativeness for given noise traders' losses eliminate small rather than large trades. We generalise this result to cases where a budget constraint distorts the set of penalties available to the regulator.

EPFL2019

Three Essays in Banking and Finance

Damien Olivier Klossner

EPFL2019

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

EPFL2019