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, risk management and financial regulation. 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 2019-Q2).

Publications

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

Pitfalls in Systemic-Risk Scoring NEW
Journal of Financial Intermediation
, forthcoming (with S. Benoit and C. Hurlin)

Wholesale Funding Dry-Ups
Journal of Finance, 2018 (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

Certifying the Uncertifiable: Research Reproducibility with Confidential Data (with K. Gadouche, C. Hurlin, R. Silberman, E. Debonnel)

A growing number of scientific articles rely on individual confidential data that are available only to accredited users within a secure computing environment. However, when using confidential data, researchers are inexorably challenged in regard to research reproducibility as their peers cannot easily access the underpinning data. We present an innovative solution that allows researchers to signal the reproducible nature of their research by using a trusted third party. As it is accredited by confidential-data providers, this certification body can validate whether the code and the confidential data used by a researcher indeed produce the results reported in a scientific article. Such a certification process is currently being implemented in France.

Reproducibility Certification in Economics Research (with C. Hurlin)

Reproducibility is key for building trust in research, yet it is not widespread in economics. We show how external certification can improve reproducibility in economics research. Such certification can be conducted by a trusted third party or agency, which formally tests whether a given result is indeed generated by the code and data used by a researcher. This additional validation step significantly enriches the peer-review process, without adding an extra burden on journals or unduly lengthening the publication process. We show that external certification can accommodate research based on confidential data. Lastly, we present an actual example of external certification.

The Private Production of Safe assets (with M. Kacperczyk and G. Vuillemey) EFA 2018, AFA 2019

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 (CDs) issued in Europe. We find that only very short-term private securities benefit from a premium for safety. Further, we show that the issuance of short-term CDs strongly responds to measures of safety demand. Our identification strategy uses a combination of (1) exclusion restrictions in a structural model of demand/supply equations, and (2) an instrumental variables approach. The private production of safe assets is stronger for issuers with high creditworthiness, and breaks down during episodes of market stress even though the market does not freeze. We conclude that even very short-term private assets are sensitive to changes in the information environment.

Work in Progress

Cash and Short-Term Debt: A New Puzzle

Effects of ETFs on the Assets They Track

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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