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Perignon Christophe

Christophe Pérignon

 

  

             Associate Professor of Finance

          HEC Paris
             
              E-mail: perignon[at]hec.fr
              Website: www.hec.fr/perignon
              Phone: (+33) 139 67 94 11
              Fax:     (+33) 139 67 70 85
          CV       My SSRN webpage
 
 
         
 
 
 

 

I am co-holder of the Chair ACPR/Risk Foundation: Regulation and Systemic Risk

 


I am co-founder of www.RunMyCode.org

An online repository allowing people to share code and data associated with scientific publications

  

 

 

  

 

 

 

 

 

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   Recent Published Papers   
 
   Review of Finance, forthcoming (with Benoit and Hurlin)
 
   Journal of Banking and Finance, 2013 
   (with Colletaz and Hurlin)
 
   Journal of Risk and Insurance, 2013 (with Jones)
 
   Journal of Banking and Finance, 2011
   (with Frésard and Wilhelmsson)
 
   The Level and Quality of Value-at-Risk Disclosure
   by Commercial Banks 
   Journal of Banking and Finance, 2010 (with Smith)
   Journal of Banking and Finance, 2010 (with Smith)
  
   Journal of Financial and Quantitative Analysis, 2009
   (with Brockman and Chung)
  
   Journal of Financial Economics, 2008 (with Goyal and Villa)

   Journal of Derivatives, 2008 (with Smith)
 
   Journal of Banking and Finance, 2008
   (with Deng and Wang)
   Review of Finance, 2007 (with Chung and Isakov)
 
   Journal of International Money and Finance, 2007
   (with Smith and Villa)

   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 Villa)

   
   Working Papers
  
    Where the Risks Lie: A Survey on Systemic Risk
   (with Benoit, Colliard, and Hurlin) new!
 
   (with Hurlin, Iseli and Yeung) updated!
 
    The Political Economy of Financial Innovation:
   (with Vallée)  WFA 2012, EFA 2013
    Media Coverage: Forbes, France Culture
 
   CoMargin (with Cruz Lopez, Harris, and Hurlin)
    AFA 2015
 
 
 

 
   
   Work in Progress
 

   Derivatives Clearing and Financial Stability

   

   Impact of Banking Regulation on Collateral Quality

 

   Banks' Funding Risks

 
      

 

 

    Book

    Marchés Financiers: Gestion de Portefeuille et des Risques

    5e Edition, Dunod (2009), 6e Edition, Dunod (2014)

    Bertrand Jacquillat, Bruno Solnik & Christophe Pérignon

    Order Here




 

     Press Coverage
    GARP Risk Review: Derivative Clearing and Systemic Risk (Feb. 2009)