The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...

This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and...

(VF)Cet article propose d'étudier la stabilité des performances de certains fonds de retraite anglais. Nos résultats montrent que les fonds investis en actions sont caractérisés par une réversion de leurs performances alors que les fonds obligataires connaissent une certaine pérennité...

Using a data set which is largely free of survivorship bias, this study analyzes the persistence of the performance of French equity funds from 1993 to 2002. The main empirical result is that persistence, although detected in some years, appears to be a quite unstable phenomenon, strongly...

We develop a geographical-based vibrancy index using important location characteristics that measure local economic health. We show that local vibrancy is associated with future firm outcomes, including investment, leverage, profitability, and firm value. More vibrant firms are located in...

French Abstract: L’impact investing s’est progressivement développé en réponse à une prise de conscience collective engendrée par les mutations économiques et sociales qui ont marqué le XXème siècle. Le marché a encore du mal à se structurer, en partie en raison du flou qui règne...

The transformations of the finance sector linked to the emergence of new actors (pension funds, mutual funds, hedge funds…) and its globalization have changed the rules of corporate governance and the competitive context of industrial companies. The theme of the influence between finance and...

The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...