We perform principal component analysis (PCA) on an array of 20 financial ratios to explore and compare conventional and Islamic banks' financial characteristics. In contrast to the existing literature, this is the first study to use PCA to derive four components to examine the financial...

French Abstract: Ce papier montre tout d'abord les spécificités des banques islamiques, qui, par rapport aux banques conventionnelles, font reporter une partie plus importante du risque sur les déposants. Cela permet ensuite de voir en quoi les différents ratios proposés par Bâle III dans...

French Abstract: En théorie, les banques islamiques sont des institutions qui appliquent le concept de partage de profits et de pertes (PPP). Néanmoins, la littérature montre que, dans la pratique, les banques islamiques reposent essentiellement sur des opérations commerciales (non-PPP) et...

[eng] Are french stock market returns chaotic ?. . Among deterministic processes, chaotic processes have trajectories that seem to be stochastic. This article tries to answer to the question : are the returns of the French SBF index deterministic ? After explaining the properties of the chaotic...

This article presents a model describing an optimal compensation contract for the manager. The model is based on an appropriate balance of power between the shareholder who holds the right to receive dividends and the right to dismiss the manager and the manager who holds the right to wages and...

This paper presents Peak Over Threshold's method and the generalized Pareto distribution of extreme value theory to measure Value at Risk and Expected Shortfall for CAC 40 and S&P 500 indexes during the 2008 financial crisis. We consider 1 day, 5 days and 10 days time horizons. The results of...

Ce papier se propose d'étudier expérimentalement la capacité d'une assurance des dépôts, proposant une couverture partielle, à prévenir ou arrêter une panique bancaire auto-réalisatrice. On montre tout d'abord que la prévention des paniques nécessite, pour être efficace, une...

The purpose of this paper is to verify experimentally the possibility and the degree of persistence of a self-fulfilling bank panic. Furthermore, we test various means to prevent or to curb it: the suspension of deposit convertibility, the "narrow banking" solution. We confirm the possibility of...

Considering uncertainty in banks’ liquidity needs as a proxy of trust in the interbank market, this paper proposes a blockchain consensus algorithm to build trust among the market players and uses an agent-based model to investigate the effects on market stability. We connect 413 heterogeneous...