L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or finance, often to judge the distributional properties of a given sample, we propose a...

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Abstract: We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees). The clearing and settlement agent (CSD) faces different marginal costs for different types of transactions. Costs are lower for an internalized transaction, i.e. when...

Abstract This paper selectively surveys some of the more prominent laboratory experimental studies on asset market behavior. The strands of literature considered are market microstructure, pari-mutuel betting markets, characteristics of participants, the effect of information release, and...

We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals...

Two important characteristics of current European equity markets are rooted in changes in financial regulation (the Markets in Financial Instruments Directive). The regulation (i) allows new trading venues to emerge, generating a fragmented market place and (ii) allows for a substantial fraction...

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...