Contributions published at Quantitative Finance (Marc Chesney)

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Il s’agit de tests politiques dont l’objectif n’est manifestement pas de donner une image réaliste de la situation, mais seulement d’indiquer au marché quelles seront les banques qui seront recapitalisées par les Etats.

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In this paper we model the situation where a non-renewable investment is given, for instance a resource reservoir, and show how to optimally trade-off between dividends and leverage, in order to maximize a performance indicator for shareholders, up to the bankruptcy time. We then study the way market risk (the volatility of the market price of the resource) impacts the optimal policies and the default risk of the company. The moments when the policies are rebalanced are analyzed and we give a measure of the agency costs which appear between the shareholders and the debt-holders.

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The main focus of this paper is to previous termstudynext term empirically the previous termimpact of terrorismnext term on the behavior of stock, bond and commodity previous termmarkets.next term We consider terrorist events that took place in 25 countries over an 11-year time period and implement our analysis using different methods: an event-previous termstudynext term approach, a non-parametric methodology, and a filtered GARCH–EVT approach. In addition, we compare the effect of terrorist attacks on previous termfinancial markets with the impactnext term of other extreme events such as previous termfinancialnext term crashes and natural catastrophes. The results of our analysis show that a non-parametric approach is the most appropriate method among the three for analyzing the previous termimpact of terrorism on financial markets.next term We demonstrate the robustness of this method when interest rates, equity previous termmarketnext term integration, spillover and contemporaneous effects are controlled. We show how the results of this approach can be used for investors’ portfolio diversification strategies against previous termterrorismnext term risk.

The 2009 Copenhagen Accord includes a collective pledge by industrialised countries to provide ‘new and additional resources, including forestry and investments through international institutions, approaching $30 billion for the period 2010-2012. The allocation of these new resources is to be balanced between adaptation and mitigation’ (UNFCCC, 2009). These resources are commonly called ‘fast-start finance’ (FSF). As fast-start finance is seen as a testing ground for longer-term arrangements for climate finance, it is important to explore how this funding has been used to date and what lessons should be drawn for the future. This Background Note looks at how FSF promises have been implemented in practice. We begin by providing an overview of the knowledge on FSF as of June 2011, roughly halfway through the 2010-2012 period. We analyse funding volumes, the mitigation-adaptation balance, the grant-loan share and the proportion of multilateral and bilateral channels. We then go on to focus on governance, transparency, and sources of finance.

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