Research Topics & Publications

Research topics

Research on Risk needs to develop toolkits based on fundamental research and various fields of expertise. ESSEC combines many of those, which is a big strength for CREAR. These main research fields are : 

  • Applied Probability
  • Econometrics
  • Extremes
  • Forecasting
  • Quantitative Finance
  • Real Estate Investments
  • Regulation: IFRS
  • Statistics & Data Science

Those fields overlap different departments at ESSEC, namely: Accounting and Management Control, Economics, Finance, IDS. They involve various members of these departments in a transversal way, as well as international researchers.

Publications - Published articles or ESSEC working papers: 

2016

  • Handbook “Extreme events in Finance” - A handbook of extreme value theory and its applications, F. Longin, with contributors, Wiley (2016, forthcoming),

2015

  • What is the best risk measure in practice? A comparison of standard risk measures,  (S. Emmer, M. Kratz and D. Tasche). Journal of Risk, 2015
  • The Effect of Mandatory IFRS Adoption on Conditional Conservatism in Europe  ( P. André,  A. Filip, L. Paugam).  Journal of Business Finance and Accounting2015, Vol. 42 , 482‑514
  • Accounting for Business Combinations: Do Purchase Price Allocations Matter? (P. Astolfi, L. Paugam, O. Ramond). Journal of Accounting and Public Policy, 34(4) (2015) 362-391
  • The impact of lease structures on the optimal holding period for a commercial real estate portfolio (C-O. Amédée-Manesme, M. Baroni, F. Barthélémy, M. Mokrane). Journal of Property Investment & Finance, Vol. 33 (2015), 121-139
  • Multistep Forecasting in the Presence of Location Shifts (G. Chevillon). International Journal of Forecasting, 2015.
  • Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence (G. Chevillon, A. Hecq,  S. Laurent) (cf https://ideas.repec.org/p/ebg/essewp/dr-15007.html)
  • Living in a Stochastic World and Managing Complex Risks (M. Dacorogna, M. Kratz), ESSEC WP 1517 (2015)
  • Nash equilibrium in competitive markets with adverse Selection (A. Dosis). 2015 http://ssrn.com/abstract=2666967
  • An optimal mechanism for competitive markets with adverse selection (A. Dosis)2015
  • Using Real Activities to Avoid Goodwill Impairment Losses: Evidence and Effect on Future Performance A. FilipL. Paugam, T. Jeanjean). Journal of Business Finance and Accounting, Vol. 42 (2015), 515‑554 
  • The Tradability Premium on the S&P 500 Index (C. Gourieroux, J. Jasiak, P. Xu). Journal of Financial Econometrics, 2015
  • Diffusion estimation with Fourier Method (R.S. Kenmoe, Y. Immamura, J. Akahori). Working paper Ritsumeikan University, Japan, 2015
  • Tools to Manage Large Economies Risk Long Overdue (P. Lecomte). The Business Times Singapore, September 2015
  • Effect of Impairment-Testing Disclosures on the Cost of Equity Capital (L. Paugam, O. Ramond). Journal of Business Finance and Accounting, Vol. 42 (2015) 583‑618 

2014

  • An extension of the class of regularly varying functionsby M. Cadena, M. Kratz. ESSEC WP 1417 (2014)
  • Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming, by G. Chevillon. Econometric Reviews 20 (2014)
  • On the capacity functional of excursion sets of Gaussian random fields on R2 by M. Kratz, W. Nagel. ESSEC WP 1416 (2014)
  • Normex, a new method for evaluating the distribution of aggregated heavy tailed risks. Application to risk measures, by M. Kratz. Extremes 17, Special issue on Extremes and Finance (2014)
  • Is the S&P500 Index Tradable?, by P. Xu. Journal of Index Investing (Winter 2014)
  • Switching Costs in Competitive Health Insurance Markets, by K. Lamiraud. In: Anthony J. Culyer (ed.), Encyclopedia of Health Economics 3 (2014)
  • An Extreme Value Theory approach for the early detection of time clusters. A simulation-based assessment and an illustration to the surveillance of Salmonella, by A.Guillou, M. Kratz, Y. Le Strat. Statistics in Medicine 33 (2014) 
  • A Note of the Pricing of Spark Spread Option with Co-Dependent Threshold Dynamics, by R. Id Brik. Argo review (Spring 2014)
  • Monetary Measurement of Risk: a Critical Overview, Part II: Coherent Risk Measures, by L. Lecesne, A. Roncoroni. Argo review (Spring 2014)
  • Legal regime and financial reporting quality, by A. Filip, R. Labelle, S. Rousseau. Contemporary Accounting Research (2014, forthcoming)
  • The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio, by M. Busse, M. Dacorogna and M. Kratz. Risks 2 (2014)
  • Multi-step forecast error corrections: A comment on “Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set, by B. Rossi and T. Sekhposyan", by G. Chevillon. International Journal of Forecasting 30 (2014) 
  • Inferring Volatility Dynamics and the Term Structure of Variance Risk Premia: An Efficient Bayesian Approach, by A. Fulop and J. Li. (2014)
  • Self-Exciting Jumps, Learning, and Asset Pricing Implications, by A. Fulop, J. Li, J. Yu, Review Financial Studies, Oxford University Press (2014)
  • How Much of Bank Credit Risk Is Sovereign Risk? Evidence from the Euro Zone, by J. Li, G. Zinna. Version of June 2014.
  • Did Facebook overvalue WhatsApp ?, by L. Paugam. Accountancy Live (2014) 
  • La communication sur les dépréciations est-elle valorisée par les marchés financiers ?, by L. Paugam, Option Finance (2014) 
  • Board Effectiveness and Short Termism, by A. Gonzalez, P. André. Journal of Business Finance and Accounting 41 (2014)
  • Evaluation financière de la marque, by H. Philippe, L. Paugam, D. Aguilar. Economica: Paris, 2014
  • Family Firms and High Technology Mergers & Acquisitions, by P. André, W. Ben-Amar, S. Saadi. Journal of Management and Governance 18 (2014)

2013