Using granular data on both debt and credit default swaps (CDS) exposures by French investors on non-financial corporations (NFC) and euro area banks on French NFCs, we study how CDS reallocate investors' exposure to credit risk. To guide our investigation, we propose a methodology to...

The impact of central bank asset purchase programs depends on the investment habitat of investors owning the assets purchased. Using granular data on the Eurosystem central bank purchases over 2014-2020, and on detailed securities holdings by financial institutions, we show that banks were the...

We use hikes in the countercyclical capital buffer [CCyB] to measure how tighter bank capital requirements affect their solvency and value, according to market participants. Two features of the CCyB in Europe allow for a unique identification strategy of the effect of such requirements. First,...

We examine how corporate real estate market participants adjust to the anticipated take-off of teleworking. We develop an indicator of the exposure of counties to teleworking in France by combining teleworking capacity with incentives and frictions to its deployment. We study how this indicator...

We propose in this paper a simulation framework of pandemic in financial system composed of banks, asset markets and interbank markets. This framework aims at complementing the usual stress-test strategies that evaluate the impact of shocks on individual balance-sheets without taking into...

New regulations promote the role of Central Counter-Parties (CCPs) as insurers of counterparty risk to stabilize derivative markets. Whereas the US favors monopolistic CCPs, the EU promotes the coexistence of several CCPs for a given asset class. In this paper, we shed light on the competition...