The Fairness of Credit Scoring Models NEW
Management Science, forthcoming (with C. Hurlin and S. Saurin)
Computational Reproducibility in Finance: Evidence from 1,000 Tests NEW
Review of Financial Studies, forthcoming (with O. Akmansoy, C. Hurlin, A. Menkveld, A. Dreber, F. Holzmeister, J. Huber, M. Johannesson, M. Kirchler, M. Razen, U. Weitzel)
The Role of Third-Party Verification in Research Reproducibility NEW
Harvard Data Science Review, 2024 [journal link]
Non-Standard Errors
Journal of Finance, 2024 (with A. Menkveld, A. Dreber, F. Holzmeister, J. Huber, M. Johannesson, M. Kirchler, M. Razen, U. Weitzel et al.) My role: I designed and implemented the reproducibility verification policy of the #fincap project.
Reproducibility in Management Science
Management Science, 2024 (with M. Fišar, B. Greiner, C. Huber, E. Katok, A.I. Ozkes, and the Management Science Reproducibility Collaboration) My role: I am a member of the Management Science Reproducibility Collaboration.
What if Dividends Were Tax-Exempt? Evidence from a Natural Experiment
Review of Financial Studies, 2021 (with D. Isakov and J.P. Weisskopf)
The Private Production of Safe assets
Journal of Finance, 2021 (with M. Kacperczyk and G. Vuillemey)
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)