Research

Working papers

Publication in academic journals

Publication in practitioners journals

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

  •  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 methological appraoch 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.