Tous les séminaires
Jeudi 20 Avril 2017
16H15 : Christophe HURLIN (Université d’Orléans)
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
17H30 : Olivier David ZERBIB (ISFA)
The Green Bond Premium
de 16 h 15 à 18 h30 en salle 18-119 (Rez-de-Chaussée) au CREST, 15 Boulevard Gabriel Péri, 92245 MALAKOFF (Métro : Malakoff/Plateau de Vanves (Immeuble "Malakoff 2)).
16H15 : Christophe HURLIN (Université d’Orléans) "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures"
This paper proposes two backtesting tests to assess the validity of the systemic risk measure forecasts. This new tool meets the need of financial regulators of evaluating the quality of systemic risk measures generally used to identify the financial institutions contributing the most to the total risk of the financial system (SIFIs). The tests are based on the concept of cumulative joint violation process and it is built up in analogy with the recent backtesting procedure proposed for the ES (Expected Shortfall). First, we introduce two backtests that apply for the case of the MES (Marginal Expected Shortfall) forecasts. The backtesting methodology is then generalised to MES-based systemic risk measures (SES, SRISK) and to the ∆CoVaR. Second, we study the asymptotic properties of the tests in presence of estimation risk and we investigate their finite sample performances via Monte Carlo simulations. Finally, we use our backtests to asses the validity of the MES, SRISK and ∆CoVaR forecasts on a panel of EU financial institutions
17H30 : Olivier David ZERBIB (ISFA) "The Green Bond Premium"
Through a matching method, we estimate and analyze the green bond premium, defined as the difference in yield between a green bond and an equivalent synthetic conventional bond expressed as a percentage of the conventional bond yield. For the sake of accuracy, we focus our analysis on 118 green bonds issued worldwide. The average green bond premium is found to be negative from the green bonds' issuance date to August 31, 2016, notably in several segments, such as bonds with a rating strictly below AAA (-6.70%) and those emitted in Euros (-8.47%). The rating is the major driver of the green bond premium: the riskier the bond is, the greater the negative premium will be. The currency in which bonds are issued also contributes to the value of green bond premia. We conclude that regulatory and fiscal measures need to be introduced to keep on increasing the pipeline of green bonds issued and creating incentives for investing in green debt.