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--- evenements:seminaireproba-math-fi [2019/01/25 16:13]
Valérie Picot
+++ evenements:seminaireproba-math-fi [2019/01/31 12:45]
Valérie Picot
@@ Line 7: / Line 7: @@
 **__Exposés de l'année 2019__ :**
+**7 fevrier à 14h00 :** <color #088A85> Yann Braouezec</color>  (IESEG School of Management) // Stress testing banks’ balance sheets : model and empirical application to the six American systemic banks//
+++ Voir résumé |  \\We consider a stress test model in which each bank, after an exogenous shock, may have to sell a portion of its assets in order to comply with regulatory constraints. We calibrate our model using the six banks with significant trading operations and we show that, depending on the price impact, the contagion of failures may be significant. Our results may be used to refine current stress testing frameworks by incorporating potential contagion mechanisms between banks..
+++
 **31 janvier à 14h00 :** <color #088A85> Simone Scotti</color>  (Paris Diderot)  // The Alpha-Heston Stochastic Volatility Model//