Research

Working papers

• Braouezec, Y, Kiani, K, (2022), Strategic foundations of macroprudential regulation: preventing fire sales externalities, IESEG working paper.
• Beaupain, R.,, Braouezec, Y, (2022), International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework.
• Braouezec, Y, Cagnol, J., (2021), Theory of insurance in monopoly under adverse selection with infinitely many agents.

Publication in academic journals

• Braouezec, Y, Cagnol, J.,  (2023), A lattice approach to the Beta distribution induced by stochastic dominance : theory and applications, Journal of the Operational Research Society (forthcoming).
• Braouezec, Y, Kiani, K, (2023), A Generalized Nash Equilibrium Problem arising in banking regulation: An existence result with Tarski’s theorem, Operations Research Letters, Volume 51, Issue 1, January, Pages 105-110.
• Braouezec, Y, Kiani., K (2023), Economic foundations of generalized games with shared constraint: Do binding agreements lead to less Nash equilibria?, European Journal of Operational Research, Volume 308, Issue 1, July, Pages 467-479.
• Braouezec Y., Kiani, K., (2021), Target capital ratio and optimal channel(s) of adjustment: A simple model with empirical applications to European banks,  Applied Economics, Volume 53, Issue 13, pages 1435-1462.
• Braouezec Y, Joliet R, (2019), Time to Invest in Corporate Social Responsibility and the Value of CSR Operations: The case of environmental externalities, Managerial and Decision Economics, Volume 40, Issue 5, July, Pages 539-549.
• Braouezec Y, Joliet R, (2019), Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: From Knightian uncertainty to risk, Economics Letters, Volume 178, May , Pages 111-115.
• Braouezec Y., (2019), Public versus Private Insurance System with (and without) Transaction Costs: Optimal Segmentation Policy of an Informed monopolist, Applied Economics, 51:18, 1907-1928.
• Braouezec Y., Wagalath L., (2019),  Strategic fire sales and price-mediated contagion in the banking system, European Journal of operational Research, Volume 274, Issue 3, 1 May Pages 1180-1197.
• Braouezec Y., Wagalath L., (2018), Risk-based Capital Requirements and Optimal Liquidation in a Stress Scenario, Review of Finance, Volume 22, Issue 2, 1, March 2018, Pages 747–782.
• Braouezec Y., (2017), How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach, Finance Research Letters, 21, pp. 92–99.
• Beaupain R, Braouezec Y, (2017), Central bank tools for steering short-term interest rates, Reflets et perspectives de la vie économique, 4, pp. 97-107.
• Braouezec Y., Grunspan C., (2016), A New Elementary Geometric Approach to Option Pricing Bounds in Discrete Time Models, European Journal of Operational Research, 249(1), pp. 270-280.
• Braouezec Y., (2016), On the welfare effects of regulating the number of discriminatory prices, Research in Economics, 70(4), pp. 588–607.
• Braouezec Y., (2012), Customer-class pricing and the optimal number of market segments, International Journal of Industrial Organization, 30(6), pp. 605-614
• Braouezec Y., (2010), Committee, Expert Advice, and the Weighted Majority Algorithm: An Application to the Pricing Decision of a Monopolist, Computational Economics, 35(3), pp. 245-267
• Braouezec Y., Lehalle C., (2010), Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs, International Journal of Theoretical and Applied Finance, 13(4), pp. 537-576.
• Braouezec Y., (2010), Modigliani Miller Theorem, in: Rama Cont(Eds.), Encyclopedia of Quantitative Finance, Wiley, Hoboken, NJ, pp. 1241-1247. (download the paper here EQF-MM-nov-2009)
• Braouezec Y., (2009), Financing Constraint, Over-investment and Market-to-Book Ratio, Finance Research Letters, 6(1), pp.13-22
• Braouezec Y., (2009), Incomplete Third-Degree Price Discrimination and Market Partition Problem, Economics Bulletin, 29(4), pp. 2881-2890.  (download the paper here  EB-2009)
• Braouezec Y., (2009), On the Limiting Deterministic Case in McDonald-Siegel Real Options Model, ICFAI Journal of Applied Finance, 15(5), pp. 62-68. (download the paper here ICFAI-JAF)
• Braouezec Y., (2009), Stochastic Adaptive Dynamics of a Simple Market as a Non-Stationary Multi-Armed Bandit Problem, European Journal of Economic and Social Systems, 22, pp. 19-41.  (download the paper here  ejess-nov-2009)

Publication in practitioners journals (in French)

• Beaupain R, Braouezec Y, Renault,T,  (2019), Valeur d’usage d’une monnaie. Les crypto-monnaies peuvent-elles se substituer aux monnaies traditionnelles?, Revue Banque, avril, pp.76-80.
• Beaupain R, Braouezec Y, Renault,T,  (2019), Monnaie fiduciaire, monnaie électronique et crypto-monnaies. La monnaie à l’heure du digital, Revue Banque, (830), mars, pp.64-67.
• Beaupain R, Braouezec Y, (2018), Taux de référence : taux offerts du marché interbancaire et réformes actuelles, Revue Banque, (823), septembre, pp.64-68.
• Beaupain R, Braouezec Y, (2018), Les taux directeurs de la BCE et la réforme de l’EONIA, Revue Banque, (822), juillet-aôut, pp. 55-58.
• Braouezec Y., Wagalath L., (2018), Pour des stress-tests bancaires réglementaires plus transparents, Revue Banque, mars, pp. 50-54.
• Braouezec Y., Wagalath L., (2016), Evaluation du risque systémique bancaire, Banque & Stratégie, 346(avril), pp. 36-42.
• Braouezec Y., Joliet R., (2015), Taux de facilité négatif, marché interbancaire, et arbitrages, Banque & Stratégie, 333, pp. 34-38
• Braouezec Y., (2010), Credit Risk Models: A Contribution to the Debate on CDS Pricing, Bankers, Markets & Investors, (105), pp. 57-62. (credit)

Books (in French)

• Braouezec Y.,  (2007), Dérivés de crédit vanille et exotiques: produits, modèles et gestion des risques, RB Edition, Paris, 175 pages (with the collaboration of J Brun). Corrections de typos, cliquez ici erreurs-vanille.
• Braouezec Y., (2003), Les options réelles: investissement, structure du capital et risque de crédit, 978-2717847215, Editions, Economica, Paris, 174 pages.

Case studies

• Braouezec Y., Wagalath L (2017), Financial consolidated statements and capital ratios: The case of BNP Paribas.
• Braouezec Y., Wagalath L., (2016), Understanding the methodology for assessing the systemic importance of global systemically important banks (G-SIB), The Case Centre, case study 116-0093-1, teaching note 116-0093-8
• Wagalath L., Braouezec Y., (2016), Time value of money and pricing of bonds and stocks, The Case Centre, case study 116-0102-1, teaching note 116-0102-8
• Wagalath L., Braouezec Y., (2016), Bond pricing and sensitivity, The Case Centre, case study 116-0103-1, teaching note 116-0103-8
• Wagalath L., Braouezec Y., (2016), Understanding regulatory capital requirements for banks, The Case Centre, case study116-0016-1, teaching note 116-0016-8.

Others

A short essay (written in French in 2004) on learning and the exploration-exploitation trade off (click here bandit).

Recent conferences

• Strategic foundations of macroprudential regulation: preventing fire sales externalities, EEA ESEM, 2022, August, Milan.
• Strategic foundations of macroprudential regulation: preventing fire sales externalities, PET 2022, June, Marseille.
• Strategic foundations of macroprudential regulation: preventing fire sales externalities, workshop on Systemic Risk and Stress Testing April, 2022, IMSI, University of Chicago.
• Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: From Knightian uncertainty to risk, Public Economic Theory Conference, PET  2019,  July, Strasbourg.
• Strategic fire sales and price-mediated contagion in the banking system, Financial Management Association Conference, FMA 2019, June,  Glasgow, Scotland.
• Stress testing banks: an equilibrium approach, Financial Regulation and Systemic Risk, 10 years after Lehman, September 2018, Paris, Institut Louis Bachelier.
• Strategic fire sales and price-mediated contagion in the banking system, LAGV 2018, Aix-en-Provence, France.
• Strategic fire sales and price-mediated contagion in the banking system, Paris Financial Management Conference, 2017, Paris, France.
• Strategic fire sales and price-mediated contagion in the banking system, International Conference on Energy, Finance and the Macroeconomy,  2017, Montpellier, France.
• Risk-based capital requirements and optimal liquidation in a stress scenario PET 2017, Paris, France.
•  Public versus Private Insurance Contracts with (and without) Transaction Costs: The optimal Segmentation Policy of an Informed Insurer LAGV 2017, Aix en Provence, France.
• Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario,  World finance conference, 2017, Cagliari, Italy
•  How fundamental is the one period trinomial model to European option pricing bounds. A new methodological approach 28th European Conference on Operational Research, 2016, Poznan, Poland
•  A New Elementary Geometric Approach to Option Pricing Bounds in Discrete Time Models World Finance Conference, 2015, Buenos Aires, Argentina
•  Public versus Private Insurance Contracts with (and without) Transaction Costs: The optimal Segmentation Policy of an Informed Insurer IIOC, Boston, USA
• The welfare effects of regulating the number of market segments PET 2013, Lisbon, Portugal

Recent seminars

• Strategic fire-sale and price-mediated contagion in the banking system, University of Guelph, Canada, May, 2019.
• Strategic fire-sale and price-mediated contagion in the banking system, Neoma, April, 2019.
• Stress testing banks’ balance sheets : model and empirical application to the six American systemic banks, Séminaire de probabilités et mathématiques financières, University of Evry, February, 2019.
• Strategic fire sales and price-mediated contagion in the banking system, University of Lille, 2017,France.
• Risk-based Capital Requirements and Optimal Liquidation in a Stress Scenario, EM Lyon, 2016 France
•  Risk-based Capital Requirements and Optimal Liquidation in a Stress Scenario, Autorité de Contrôle Prudentiel et de Régulation, 2016 Paris, France.
•  Public versus private insurance contracts with (and without) transaction costs : The optimal segmentation policy of an informed insurer GATE Seminar 2015, Lyon, France.



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