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

Systemic Risk and Financial Regulation" Conference, July 3-4, 2014

 


I am the 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 Papers   
 
   Journal of Banking and Finance, 2013 
   (with Colletaz and Hurlin)
 
   Journal of Risk and Insurance, 2013 (with Jones)
 
   Margin Backtesting Review of Futures Markets, 2012
   (with Hurlin)  
 
   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 Banking and Finance, 2007 (with Smith)

   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
 
    Political Incentives and Financial Innovation:
   (with Boris Vallée) 
    WFA 2012, EFA 2013
    In preparation for resubmission to the Journal of Finance
 
   CoMargin (with Cruz Lopez, Harris, and Hurlin) UPDATED
 
   Measures (with Benoit, Colletaz, and Hurlin)
    EFA 2012, ESEM 2012, CREDIT 2012
    R&R, Review of Finance
 
   (with Hurlin and Stodden)
    IEEE e-Science 2012
 
   Implied Risk Exposures (with Benoit and Hurlin) UPDATED
    R&R, Review of Finance
  
 
   Management (with Beber)
 

 
   
   Work in Progress
 

   Systemic Risk

   Regulation of Financial Markets

   Margin and Clearing for OTC Derivatives

   The Collateral Risk of ETF


 
 
      

 

 

    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)