Christophe Pérignon

Professor of Finance
Associate Dean for Research

Email: perignon@hec.fr
www.hec.fr/perignon

Biography

Christophe Pérignon is Professor of Finance and Associate Dean for Research at HEC Paris, France. He is also the co-holder of the ACPR (Banque de France) Chair in Regulation and Systemic Risk. He holds a Ph.D. in Finance from the Swiss Finance Institute and has been a Post-Doctoral Fellow at the University of California at Los Angeles (UCLA). Prior to joining HEC Paris, he was an Assistant Professor of Finance at Simon Fraser University in Vancouver, Canada. His areas of research and teaching are derivatives markets, banking, and the regulation of financial markets. His research has been published in top finance journals including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, and Review of Finance. In 2014, he received the Europlace Award for the Best Young Researcher in Finance. He co-founded RunMyCode.org, an academic website allowing researchers to share the code and data associated with their scientific papers and CASCaD, the first Certification Agency for Scientific Code and Data (expected launch in 2018-Q3).

Published/Accepted Papers

Wholesale Funding Dry-Ups

Journal of Finance, forthcoming
(with D. Thesmar and G. Vuillemey)

The Political Economy of Financial Innovation:
 Evidence from Local Governments
Review of Financial Studies
, 2017
(with B. Vallée)

CoMargin

Journal of Financial and Quantitative Analysis, 
2017
(with J. Cruz Lopez, J. Harris, and C. Hurlin)

Where the Risks Lie: A Survey on Systemic Risk
Review of Finance, 2017
(with S. Benoit, J.E. Colliard, and C. Hurlin)

Implied Risk Exposures

Review of Finance
, 2015
(with S. Benoit and C. Hurlin)

The Risk Map: A New Tool for Validating Risk Models

Journal of Banking and Finance
, 2013
(with G. Colletaz and C. Hurlin)

Derivatives Clearing, Default Risk, and Insurance

Journal of Risk and Insurance, 2013 (with R. Jones)

The Pernicious Effects of Contaminated Data in Risk Management

Journal of Banking and Finance
, 2011
(with L. Frésard and A. Wilhelmsson)

The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

Journal of Banking and Finance
, 2010 (with D. Smith)

Diversification and Value-at-Risk

Journal of Banking and Finance
, 2010 (with D. Smith)

Commonality in Liquidity: A Global Perspective
Journal of Financial and Quantitative Analysis, 2009
(with P. Brockman and D. Chung)

How Common are Common Return Factors across Nyse and Nasdaq
Journal of Financial Economics, 2008
(with A. Goyal and C. Villa)

A New Approach to Comparing VaR Estimation Methods

Journal of Derivatives
, 2008 (with D. Smith)

Do Banks Overstate their Value-at-Risk?

Journal of Banking and Finance
, 2008
(with Z. Deng and Z. Wang)

Repurchasing Shares on a Second Trading Line

Review of Finance
, 2007
(with D. Chung and D. Isakov)

Testing the Monotonicity Property of Option Prices
Journal of Derivatives, 2006

Sources of Time Variation in the Covariance Matrix of Interest Rates
Journal of Business, 2006 (with C. Villa)

Working Papers

The Counterparty Risk Exposure of ETF Investors (with C. Hurlin, G. Iseli, and S. Yeung) R&R, Journal of Banking and Finance

As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. In this paper, we estimate empirically such risk exposures for a sample of physical and swap-based funds. We find that counterparty risk exposure is higher for swap-based ETFs, but that investors are compensated for bearing this risk. Using a difference-in-differences specification, we uncover that ETF flows respond significantly to changes in counterparty risk. Finally, we show that switching to an optimal collateral portfolio leads to substantial reduction in counterparty risk exposure.

 

Pitfalls in Systemic-Risk Scoring (with S. Benoit and C. Hurlin) Covered in Risk Manazine (May 2017) Comments to the Basel Committee (June 2017) R&R, Journal of Financial Intermediation

We identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these short-comings and increases incentives for banks to reduce their risk contributions. Unlike the current scores, our adjusted scores are mainly driven by risk indicators directly under the control of the regulated bank and not by factors that are exogenous to the bank, such as exchange rates or other banks’ actions.

 

The Private Production of Safe assets (with M. Kacperczyk and G. Vuillemey) R&R, Journal of Financial Economics

Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) and commercial paper (CP) issued in Europe. We show that only very short-term private securities benefit from a premium for safety. Using several identification strategies, we show that the issuance of short-term CDs, but not of CPs, strongly responds to measures of safety demand. The private production of safe assets is stronger for issuers with high credit worthiness, and breaks down during episodes of market stress. We conclude that even very short-term private assets are sensitive to changes in the information environment and should not be treated as equally safe at all times.

Work in Progress

Cash and Short-Term Debt: A New Puzzle

Effects of ETFs on the Assets They Track

Real Effects of Taxing Dividends

Book

Marchés Financiers:
Gestion de Portefeuille et des Risques
6e Edition, Dunod (2014)
Bertrand Jacquillat, Bruno Solnik & Christophe Pérignon

Order Here

Press Coverage

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