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 interests are in derivatives markets, financial risk management (measurement, model validation, regulation), and AI/machine learning. Christophe published a dozen of articles in top finance journals (Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, and Review of Finance) or in general-science journals (Science). In 2014, he received the Europlace Award for the Best Young Researcher in Finance. As an open-science evangelist, he contributed to develop innovative tools to help fellow researchers to make their research easier to use and to reproduce: in 2012, he co-founded RunMyCode.org, an academic website allowing researchers to share the code and data associated with their scientific papers; in 2019, he launched cascad, the first Certification Agency for Scientific Code and Data.

Publications

The Private Production of Safe assets NEW
Journal of Finance
, forthcoming (with M. Kacperczyk and G. Vuillemey)

What if Dividends Were Tax-Exempt? Evidence from a Natural Experiment NEW
Review of Financial Studies, forthcoming (with D. Isakov and J.P. Weisskopf)

Certify Reproducibility with Confidential Data
Science
, 2019 (with K. Gadouche, C. Hurlin, R. Silberman, and E. Debonnel)

Machine learning et nouvelles sources de données pour le scoring de crédit
Revue d'Economie Financière
, 2019 (with C. Hurlin)

The Counterparty Risk Exposure of ETF Investors
Journal of Banking and Finance
, 2019 (with C. Hurlin, G. Iseli, and S. Yeung)

Pitfalls in Systemic-Risk Scoring
Journal of Financial Intermediation
, 2019 (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

Reproducibility Certification in Economics Research (with C. Hurlin) New version coming soon

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.

Reports

Reproducibility of scientific results in the EU. Publication Office of the EU. December 2020.

AuthorsBaker, Lee;  Lusoli, Wainer;  Jaśko, Katarzyna;  Parry, Vivienne;  Pérignon, Christophe;  Errington, Timothy;  Cristea, Ioana Alina;  Winchester, Catherine;  MacCallum, Catriona;  Šimko, Tibor

Work in Progress

The Economics of Research Reproducibility

Discrimination in Credit Scoring Models: From Detection to Mitigation

Reproducible Research with Anonymized Data

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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