Centre pour la Communication Scientifique Directe

Displaying 1-40 of 109 results

  • White Papers // Jul 2013

    Interoperability in Enterprises Networks: A Characterisation and Analysis Approach

    Interoperability problems which can occur during the collaboration between several enterprises can endanger this collaboration. Consequently, an enterprise manager needs tools in order to analyze rapidly the enterprise network and then become able to anticipate interoperability problems. Thus, the proposed approach in this paper is based on the specification of...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2012

    Cloud Computing: Centralization and Data Sovereignty

    Cloud computing can be defined as the provision of computing resources on-demand over the internet. Although this might bring a number of advantages to end-users in terms of accessibility and elasticity of costs, problems arise concerning the collection of personal information in the cloud and the legitimate exploitation thereof. To...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jun 2012

    Modeling the Role Variability in the MAP Process Model

    Business process modeling is a valuable technique helping organizations to specify their processes, to analyze their structure and to improve their performance. Conventional process modeling techniques are proven to be inefficient while dealing with non-repetitive, knowledge-intensive processes such as Case Management processes. In this paper, the authors use the MAP...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jun 2011

    A Pragmatic Testing Approach for Wireless Sensor Networks

    Applications over wireless sensor networks are growing quickly. Traditional software development tools are not well adapted to this technology. In particular, adequate testing methodologies are required. Many issues have not been formally addressed as energy-conservation, congestion control, reliability data dissemination, security. In this paper, the authors present a pragmatic approach...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // May 2011

    A Secure Web Service-Based Platform for Wireless Sensor Network Management and Interrogation

    A Wireless Sensor Network (WSN) is composed of small, low cost and low energy consumption devices called sensors. Those sensors are deployed in a monitored area. They capture measurements related to the monitored phenomenon (temperature, humidity...) and send them through a multi-hop routing to a sink node that delivers them...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Apr 2011

    A Matching Model Of The Academic Publication Market

    This paper provides a dynamic analysis of the market for academic publications. Given imperfect information about journals' editorial line, authors can sometimes target a wrong journal; in turn, the editors will desk-reject their paper. Equilibrium is defined as a situation where both editors and authors implement their optimal publication strategies,...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Apr 2011

    Banks Risk Race: A Signaling Explanation

    Many observers argue that one of the major causes of the 2007-2009 recession was the abnormal accumulation of risk by banks. This paper provides a signaling explanation for this race for risk. If banks' returns can be observed while risk cannot, the less efficient banks can hide their type by...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Apr 2011

    Multivariate VaRs For Operational Risk Capital Computation : A Vine Structure Approach

    The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper the authors introduce a new methodology permitting capital requirements to be linked with operational risks. The data are arranged in a matrix of 56 cells. Constructing vine architecture, which is a...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Apr 2011

    The Riskiness Of Risk Models

    The authors provide an economic valuation of the riskiness of risk models by directly measuring the impact of model risks (specification and estimation risks) on VaR estimates. They find that integrating the model risk into the VaR computations implies a substantial minimum correction of the order of 10-40% of VaR...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2011

    Leapfrogging, Growth Reversals And Welfare

    The authors show that leapfrogging and growth reversals entail sizeable welfare gains and losses, respectively, in an AK economy that cannot credibly commit to investment when borrowing from international financial markets. Small no-commitment delays originate a trade-off that has an ambiguous effect on welfare: they reduce the long-run consumption growth...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2011

    Portfolio Optimization Under Model Uncertainty And BSDE Games

    The authors consider some robust optimal portfolio problems for markets modeled by (possibly non-Markovian) jump diffusions. Mathematically the situation can be described as a stochastic differential game, where one of the players (the agent) is trying to find the portfolio which maximizes the utility of her terminal wealth, while the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2011

    Heterogeneity Matters: Labour Productivity Differentiated by Age And Skills

    An ageing population bears important consequences for labour markets. Policy makers and an increasing number of individual organisations as well as private firms realise that early retirement of older employees deprives companies of valuable expertise and creates a shortage of qualified employees. Thus, the trend towards early retirement policies starts...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Product Market Regulation, Firm Size, Unemployment And Informality In Developing Economies

    This paper studies the impact of product and labor market regulations on informality and unemployment in a general framework where formal and informal firms are subject to the same externalities, differing only with respect to some parameter values. Both formal and informal firms have monopoly power in the goods market,...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Optimal Risk Financing In Large Corporations Through Insurance Captives

    A captive is insurance or Reinsurance Company established by a parent group to finance its own risks. Captives mix internal risk pooling between the business units of the parent group and risk transfer toward the reinsurance market. The authors analyze captives from an optimal insurance contract perspective. The paper considers...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Fiscal Shocks In A Two Sector Open Economy

    The authors use a two-sector neoclassical open economy model with traded and non-traded goods to investigate both the aggregate and the sectoral effects of temporary fiscal shocks. One central finding is that both sectoral capital intensities and labor supply elasticity matter in determining the response of key economic variables. In...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Terms Of Trade Shocks And The Non Monotonic Adjustment Of The Current Account

    This paper investigates both the dynamic and steady-state effects of unanticipated permanent and temporary terms of trade shocks within a two-good small open economy with habit formation and capital adjustment costs. A permanent term of trade worsening induces a deficit-surplus current account sequence if habits adjust faster than the physical...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Regulatory Policy And The Location Of Bio-Pharmaceutical FDI In Europe

    This paper examines the relationship between cross-country differences in drug price regulation and the location of biopharmaceutical Foreign Direct Investment (FDI) in Europe. The authors use a theoretically-grounded location-choice model and data on 294 investments initiated in 27 European countries between 2002 and 2006 to test the hypothesis that biopharmaceutical...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Intrafirm Bargaining, Worker Flows, And Employment Protection

    This paper provides a rationale for employment protection based on the interaction between the firm's decision on firing and the wage bargaining process with its workers. The authors develop a matching and intrafirm bargaining model where large firms hire workers on a frictional labor market and decide to destroy low...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Weak Insider Trading And Behavioral Finance

    In this paper, the authors' study the optimal portfolio selection problem of weakly informed traders in the sense of Baudoin. Instead of considering only expected utility maximizers, they also take into consideration different preference paradigms. In particular, they analyze a representative agent who follows the tenets of cumulative prospect theory...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Wireless Sensor Networks Routing Over Zones

    Wireless Sensor Networks (WSNs) constitute one of the recent technologies which are used to monitor and analyze large-scale, real-world phenomena, a bridge between the physical world and the information technology's need of situational awareness. One major requirement of WSNs is information transmission: sensors communicate useful environmental data to one or...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2011

    How Sustainability Ratings Might Deter "Greenwashing": A Closer Look At Ethical Corporate Communication

    Of the many ethical corporate marketing practices, many firms use Corporate Social Responsibility (CSR) communication to enhance their corporate image. Yet consumers, overwhelmed by these more or less well-founded CSR claims often have trouble identifying truly responsible firms. This confusion encourages "Greenwashing" and may make CSR initiatives less effective. On...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2011

    Centralized Innovation Policy In An Agglomeration And Growth Model: A Welfare Analysis

    Innovation policies are strategic tools for reinforcing long-term economic growth. If the literature highlights the need for coordination among national R&D policies, the need for transnational policies appears to be less clear. Using a model ? la Martin and Ottaviano (1999), the authors conduct a welfare analysis in order to...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2011

    Pricing And Hedging Basis Risk Under No Good Deal Assumption

    The authors consider the problem of pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provides generally too high prices. Here, following J.H. Cochrane...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Dec 2010

    Optimal Timing Of Regime Switching In Optimal Growth Models: A Sobolev Space Approach

    This paper analyses the optimal timing of switching between alternative and consecutive regimes in optimal growth models. The authors derive the appropriate necessary conditions for such problems by means of the standard techniques from calculus of variations and some basic properties of Sobolev spaces. Many decision processes arising in economics...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Dec 2010

    Vertical Integration, Innovation And Foreclosure

    This paper studies the potential effects of vertical integration on downstream firms' incentives to innovate. Interacting efficiently with a supplier may require information exchanges, which raises the concern that sensitive information may be disclosed to rivals. This may be particularly harmful in case of innovative activities, as it increases the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Dec 2010

    Unemployment And Relative Labor Market Institutions Between Trading Partners

    After New Zealand initiated inflation targeting in 1990, a large number of industrial and emerging countries have explicitly adopted an inflation target as their nominal anchor. In the last two decades, ten industrial economies and twenty emerging economies 1 have adopted the full-fledged inflation targeting system for managing monetary policy....

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Dec 2010

    Market Efficiencies And Market Risks

    In recent years numerous papers constructed or simulated financial markets at an agent level, aiming to explain the non-stationarity of price processes. All such papers agree that the heterogeneity of agents and of pricing models creates a dynamics in terms of pricing models used that explains not only the non-stationarity...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2010

    How Does Investor Sentiment Affect Stock Market Crises? Evidence From Panel Data

    The authors test the impact of investor sentiment on a panel of international stock markets. Specifically, they examine the influence of investor sentiment on the probability of stock market crises. They find that investor sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2010

    Economic Implications Of Corporate Financial Reporting In Brazilian And European Financial Markets

    The main objective of this paper is to determine how the people involved in the accounting process consider the role of accounting information in an economic environment where capital markets play a major role. The paper is also aimed at determining whether International Financial Reporting Standards (IFRS) will help fulfill...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2010

    Benchmarking Local Ecological Performance Using Ecological Footprint Accounts

    Ecological footprint is good at telling how much the authors weight relative to global ecological ressources. However it tells nothing on their geographical origin and makes no distinction between ecological ressources used from distant or local land. Moreover it does not measure the intensity of exploitation of soils or other...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2010

    A Flat Rate Financial Transaction Tax To Replace All Taxes?

    In this paper the author proposes a very radical reform of the taxation system, in which a single flat rate Financial Transaction Tax (FTT) is used to replace the vast majority of existing taxes (including VAT, income tax, taxes on profits?). Existing economic data indicates that a flat rate FTT...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2010

    Dynamic Knowledge Capitalization Through Annotation Among Economic Intelligence Actors In A Collaborative Environment

    The shift from industrial economy to knowledge economy in today's world has revolutionalized strategic planning in organizations as well as their problem solving approaches. The point of focus today is knowledge and service production with more emphasis been laid on knowledge capital. Many organizations are investing on tools that facilitate...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2010

    A Structural Risk-Neutral Model For Pricing And Hedging Power Derivatives

    The authors develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in [A?d et al., 2009]. In particular a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. They focus on pricing and...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2010

    Equilibrium On International Assets And Goods Markets

    Most of the international asset pricing models are developed in the situation where Purchasing Power Parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but not on the international goods...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Sep 2010

    Fast Remote But Not Extreme Quantiles With Multiple Factors. Applications To Solvency II And Enterprise Risk Management

    For operational purposes, in Enterprise Risk Management or in insurance for example, it may be important to estimate remote (but not extreme) quantiles of some function f of some random vector. The call to f may be time - and resource-consuming so that one aims at reducing as much as...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Sep 2010

    Matching Frictions, Unemployment Dynamics And The Cost Of Business Cycles

    The authors investigate the welfare cost of business cycles implied by matching frictions. First, using the reduced-form of the matching model, they show that job finding rate fluctuations generate intrinsically a non-linear effect on unemployment: positive shocks reduce unemployment less than negative shocks increase it. For the observed process of...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    The Creative Intelligence

    The creative intelligence lies in the framework of the "Intelligent" way which must be used to assure creativity and, thus, innovation. As its name suggests, the creative intelligence excludes imitation. Therefore, firstly, it requires an important R&D investment that manifests itself in the developed countries. The resulting technological change seems...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    Option Pricing For GARCH-Type Models With Generalized Hyperbolic Innovations

    In this paper, the authors provide a new dynamic asset pricing model for plain vanilla options and they discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    Analysis Of The Sensitivity To Discrete Dividends : A New Approach For Pricing Vanillas

    The incorporation of a dividend yield in the classical option pricing model of Black-Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to work with cash dividends with fixed value instead of a dividend yield....

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    Grid of security: A New Approach of the Network Security

    Network security is in a daily evolving domain. Every day, new attacks, virus or intrusion techniques are released. Hence, network devices, enterprise servers or personal computers are potential targets of these attacks. Current security solutions like firewalls, Intrusion Detection Systems (IDS) and Virtual Private Networks (VPN) are centralized solutions which...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jul 2013

    Interoperability in Enterprises Networks: A Characterisation and Analysis Approach

    Interoperability problems which can occur during the collaboration between several enterprises can endanger this collaboration. Consequently, an enterprise manager needs tools in order to analyze rapidly the enterprise network and then become able to anticipate interoperability problems. Thus, the proposed approach in this paper is based on the specification of...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jun 2012

    Modeling the Role Variability in the MAP Process Model

    Business process modeling is a valuable technique helping organizations to specify their processes, to analyze their structure and to improve their performance. Conventional process modeling techniques are proven to be inefficient while dealing with non-repetitive, knowledge-intensive processes such as Case Management processes. In this paper, the authors use the MAP...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2012

    Cloud Computing: Centralization and Data Sovereignty

    Cloud computing can be defined as the provision of computing resources on-demand over the internet. Although this might bring a number of advantages to end-users in terms of accessibility and elasticity of costs, problems arise concerning the collection of personal information in the cloud and the legitimate exploitation thereof. To...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2011

    Portfolio Optimization Under Model Uncertainty And BSDE Games

    The authors consider some robust optimal portfolio problems for markets modeled by (possibly non-Markovian) jump diffusions. Mathematically the situation can be described as a stochastic differential game, where one of the players (the agent) is trying to find the portfolio which maximizes the utility of her terminal wealth, while the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Dec 2010

    Vertical Integration, Innovation And Foreclosure

    This paper studies the potential effects of vertical integration on downstream firms' incentives to innovate. Interacting efficiently with a supplier may require information exchanges, which raises the concern that sensitive information may be disclosed to rivals. This may be particularly harmful in case of innovative activities, as it increases the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2010

    Efficient Pricing Options Under Regime Switching

    In the paper, the authors propose two new efficient methods for pricing barrier option in wide classes of L?evy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf factorization method developed in Kudryavtsev and Levendorski?i (Finance Stoch. 13: 531 -...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Intrafirm Bargaining, Worker Flows, And Employment Protection

    This paper provides a rationale for employment protection based on the interaction between the firm's decision on firing and the wage bargaining process with its workers. The authors develop a matching and intrafirm bargaining model where large firms hire workers on a frictional labor market and decide to destroy low...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Weak Insider Trading And Behavioral Finance

    In this paper, the authors' study the optimal portfolio selection problem of weakly informed traders in the sense of Baudoin. Instead of considering only expected utility maximizers, they also take into consideration different preference paradigms. In particular, they analyze a representative agent who follows the tenets of cumulative prospect theory...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Optimal Risk Financing In Large Corporations Through Insurance Captives

    A captive is insurance or Reinsurance Company established by a parent group to finance its own risks. Captives mix internal risk pooling between the business units of the parent group and risk transfer toward the reinsurance market. The authors analyze captives from an optimal insurance contract perspective. The paper considers...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Fiscal Shocks In A Two Sector Open Economy

    The authors use a two-sector neoclassical open economy model with traded and non-traded goods to investigate both the aggregate and the sectoral effects of temporary fiscal shocks. One central finding is that both sectoral capital intensities and labor supply elasticity matter in determining the response of key economic variables. In...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Terms Of Trade Shocks And The Non Monotonic Adjustment Of The Current Account

    This paper investigates both the dynamic and steady-state effects of unanticipated permanent and temporary terms of trade shocks within a two-good small open economy with habit formation and capital adjustment costs. A permanent term of trade worsening induces a deficit-surplus current account sequence if habits adjust faster than the physical...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Feb 2011

    Product Market Regulation, Firm Size, Unemployment And Informality In Developing Economies

    This paper studies the impact of product and labor market regulations on informality and unemployment in a general framework where formal and informal firms are subject to the same externalities, differing only with respect to some parameter values. Both formal and informal firms have monopoly power in the goods market,...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2010

    A Flat Rate Financial Transaction Tax To Replace All Taxes?

    In this paper the author proposes a very radical reform of the taxation system, in which a single flat rate Financial Transaction Tax (FTT) is used to replace the vast majority of existing taxes (including VAT, income tax, taxes on profits?). Existing economic data indicates that a flat rate FTT...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2010

    Portfolio Optimization In A Defaults Model Under Full/Partial Information

    In this paper, the authors consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. They use a default-intensity modeling approach, and address in this incomplete market context the problem of maximization of expected utility...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2011

    Pricing And Hedging Basis Risk Under No Good Deal Assumption

    The authors consider the problem of pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provides generally too high prices. Here, following J.H. Cochrane...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    Global Financial Crisis, Liquidity Pressure In Stock Markets And Efficiency Of Central Bank Interventions

    In this paper, the authors investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. They firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a global credit crunch. They then evaluate the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    On The Impacts Of Crisis On The Risk Premium: Evidence From The US Stock Market Using A Conditional CAPM

    This paper investigates the evolution of the US risk premium in periods of crisis. First, the authors estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model. Second, they study the structural breaks in the US risk premium. Finally, they relate the obtained...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    Oil Prices, Stock Markets And Portfolio Investment: Evidence From Sector Analysis In Europe Over The Last Decade

    This paper extends the understanding of oil - stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), the authors examine short-term linkages in the aggregate as well as sector by sector levels in Europe using...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    What Can We Tell About Monetary Policy Synchronization And Interdependence Over The 2007-2009 Global Financial Crisis?

    The authors investigate the synchronization and nonlinear adjustment dynamics of short-term interest rates for France, the UK and the US using the bi-directional feedback measures proposed by Geweke (1982) and appropriate Smooth Transition Error-Correction Models (STECM). They find strong evidence of continual increases in bilateral synchronization of these rates from...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    Analysis Of The Sensitivity To Discrete Dividends : A New Approach For Pricing Vanillas

    The incorporation of a dividend yield in the classical option pricing model of Black-Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to work with cash dividends with fixed value instead of a dividend yield....

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2010

    The Creative Intelligence

    The creative intelligence lies in the framework of the "Intelligent" way which must be used to assure creativity and, thus, innovation. As its name suggests, the creative intelligence excludes imitation. Therefore, firstly, it requires an important R&D investment that manifests itself in the developed countries. The resulting technological change seems...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Sep 2010

    Fast Remote But Not Extreme Quantiles With Multiple Factors. Applications To Solvency II And Enterprise Risk Management

    For operational purposes, in Enterprise Risk Management or in insurance for example, it may be important to estimate remote (but not extreme) quantiles of some function f of some random vector. The call to f may be time - and resource-consuming so that one aims at reducing as much as...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2010

    A Structural Risk-Neutral Model For Pricing And Hedging Power Derivatives

    The authors develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in [A?d et al., 2009]. In particular a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. They focus on pricing and...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2008

    The Price Of Prejudice: Labour Market Discrimination On The Grounds Of Gender And Ethnicity

    Despite some progress, there is still evidence of discrimination on the grounds of gender and ethnic or racial origins in OECD labour markets. Field experiments show pervasive ethnic discrimination in many countries. The authors show indirect cross-country/time-series evidence that, using product market regulation as an instrument, suggests that on average...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Sep 2008

    Financial Development And Growth: A Re-Examination Using A Panel Granger Causality Test

    In this paper the authors investigate the causal relationship between financial development and economic growth. They use an innovative econometric method which is based on a panel test of the Granger non causality hypothesis. They implement various tests with a sample of 63 industrial and developing countries over the 1960-1995...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Sep 2008

    Mechanism For Solving Bargaining Problems Between Risk Averse Parties

    The authors propose a mechanism for resolving bargaining problems. The mechanism allows two players to make a sequence of simultaneous propositions. At any step, as long as the players have not reached an agreement, they can choose to implement a lottery between the different propositions. In this aspect, the mechanism...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2008

    Analysing CPI Inflation By The Fractionally Integrated ARFIMA-STVGARCH Model

    The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. The authors show by Monte Carlo experiments...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Aug 2008

    FDI And The Labor Share In Developing Countries: A Theory And Some Evidence

    This paper addresses the impact of FDI on the factor distribution of income in developing countries. The authors propose a theory that relies on the impacts of FDI on productive heterogeneity between firms in a frictional labor market. They argue that FDI have two opposite effects on the labor share:...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Nov 2008

    Labour Market Institutions And The Personal Distribution Of Income In The OECD

    A large literature has studied the impact of labour market institutions on wage inequality, but their effect on income inequality has received little attention. In this paper the authors argue that personal income inequality is a function of the wage differential, the labour share, and the unemployment rate. Labour market...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2010

    Affiliated And Independent Venture Capitalists: Early Stages Screening And The Syndication / Leverage Trade-Off

    The topic of this paper is to analyse comparatively the interest and the advantages of the existence of heterogeneous institutions in the Venture Capital activity. The authors focus on the duality relevant in Europe between Independent Venture Capitalists and the Bank-Affiliated ones. They first discuss in the second section the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Apr 2009

    The Geography Of Innovation : Challenges To Technology Policy Within Regions

    The aim of this paper is to survey this empirical literature in order to highlight the main results interesting for the innovation policy. This analysis emphasises one main role of technology policy: supporting the institutions which generate knowledge and learning. These are found at various territorial levels, especially within the...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jun 2009

    The Economic Growth Impact Of Hurricanes: Evidence From US Coastal Counties

    The authors estimate for the first time the impact of hurricane strikes on local economic growth rates and how this is reflected in more aggregate growth patterns. To this end they assemble a panel data set of US coastal counties' growth rates and construct a novel hurricane destruction index that...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jun 2009

    Optimal Taxation And Monopsonistic Labor Market: Does Monopsony Justify The Minimum Wage?

    Does monopsony on the labor market in itself justify the implementation of a minimum wage when it would not be used in a competitive economy? This issue is studied in a model of optimal taxation. The authors adopt a definition most favorable to the minimum wage: the minimum wage is...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jun 2009

    Labor Market Policy Evaluation In Equilibrium: Some Lessons Of The Job Search And Matching Model

    The authors analyze the consequences of counseling provided to job seekers in a standard job search and matching model. It turns out that neglecting equilibrium effects induced by counseling can lead to wrong conclusions. In particular, counseling can increase steady state unemployment although counseled job seekers exit unemployment at a...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Sep 2009

    Human Capital Background And The Educational Attainment Of The Second-Generation Immigrants In France

    In this paper, the authors study the impact of the human capital background on ethnic educational gaps between second-generation immigrants in France. First, they show that the skill of immigrants explains the main part of the ethnic educational gap between their children. More precisely, if the education of immigrants has...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Oct 2009

    International Human Capital Formation, Brain Drain And Brain Gain: A Conceptual Framework

    A two-country, two-period model of international migration highlights microeconomic foundations for examining the interrelation between brain drain, brain gain and the location of human capital formation, at home or abroad. Ex ante choices regarding where to study depend on relative qualities of university systems, individuals' abilities, sunk educational investment costs,...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2010

    Using Premia And Nsp For Constructing A Risk Management Benchmark For Testing Parallel Architecture

    Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. The authors have used the Premia software to evaluate the financial derivatives. In this work, they explain how Premia...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Dec 2009

    Anticompetitive Vertical Mergers Waves

    This paper develops an equilibrium model of vertical mergers. The authors show that competition on an upstream market between integrated firms only is less intense than in the presence of unintegrated upstream firms. Indeed, when an integrated firm supplies the upstream market, it becomes a soft downstream competitor to preserve...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Jan 2009

    Credit Market Frictions And The Amplification-Persistence Trade-Off

    The issue of how endogenous borrowing constraints lead to the amplification and persistence of aggregate shocks is revisited in this paper. Specifically, the author shows that an amplification-persistence trade-off is embodied in the setting proposed by Kiyotaki and Moore (1997). The key point is that while complex unit roots associated...

    Provided By Centre pour la Communication Scientifique Directe

  • White Papers // Mar 2009

    Determinants Of The Innovation Propensity In Tunisia: The Central Role Of External Knowledge Sources

    This paper is dedicated to the analysis of the first innovation survey of the Tunisian firms. Starting from basic mechanisms of innovation processes, the authors test a set of conjectures adapted to a developing country like Tunisia. They analyze the motivation of firms to innovate and the determinants of product...

    Provided By Centre pour la Communication Scientifique Directe