PhD Conferral Mr. Jérémy Leymarie, MSc.
Supervisors: prof.dr. A. Hecq; prof.dr. C. Hurlin, Orléans
“Three Essays in Financial Econometrics”
Risk management is a central area of expertise for financial institutions including banks, insurance companies, investment funds and others. One of the most important lessons we have learned from the global economic and financial crisis is that measuring risks should become even more a matter of necessity. The broad goal of this econometric dissertation is to provide advanced tools for the evaluation of these risks.
The first part of this work addresses issues related to credit risk assessment and to the loss given default models used to cover risk in banks’ loan portfolios. The second part tackles the need to improve the validation methods of the expected shortfall estimates and promotes more intelligible market risk management practices from a regulatory viewpoint. The last part studies validation tests for market-based systemic risk measures and contributes to the reinforcement of financial stability.