Contributions published at Quantitative Finance (Marc Chesney)

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Un constat s’impose: le monde académique est décalé par rapport aux besoins et réalités de l’économie et de la société. Il n’a pas suffisamment tiré les leçons de la crise financière de 2007-2008 et fait preuve d’une grande discrétion face aux scandales financiers à répétition. Il relève pourtant de sa responsabilité d’analyser ces problèmes et d’argumenter de manière objective. Pour que la liberté académique ne reste pas lettre morte, ne soit pas qu’un beau principe affiché sur le fronton des universités, elle doit être régulièrement exercée, pratiquée par les membres du corps professoral.

Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the minimal martingale measure. In particular, we establish conditions when both fail to exist. These correspond to the case when the insider's information set includes some non null events that are perceived as having null probabilities by the uninformed market investors. These results may have different applications, such as in problems related to the local risk-minimisation for insiders whenever strategies are implemented without short selling.

We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex cone. Because of these requirements, there are less incentives to operate under a group structure, as creating one single business unit, or altering the liability repartition among units, may allow to reduce the required capital. We analyse the possibilities for the group to benefit from a diversification effect and economise on the cost of capital. We define and study the risk measures that allow for any group to achieve the minimal capital, as if it were a single unit, without altering the liability of business units, and despite the individual admissibility constraints. We call these risk measures cohesive risk measures, we prove cohesive risk measures are tail expectations but calculated under a different probability.

We draw on mobile application data from 74 countries to document the effects of the COVID-19 pandemic on the adoption of digital finance and fintech. We estimate that the spread of COVID-19 and related government lockdown have led to between a 24 and 32 percent increase in the relative rate of daily downloads of finance mobile applications in the sample countries. In absolute terms, this equates to an average daily increase of roughly 5.2 to 6.3 million application downloads and an ggregate increase of about 316 million app downloads since the pandemic’s outbreak, taking into account prior trends. Most regions across the world exhibit notable increases in absolute, relative, and per capita terms. Preliminary analysis of country-level characteristics suggest that market size and demographics, rather than level of economic development and ex-ante adoption rates, drive differential trends.

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