Joint research unit 7235

Three essays on the vulnerability of financial institutions and their strategic response to shocks

The defense will take place on Tuesday, January 4, 2022, at 3:00 p.m. by video conference via Teams.

 

Thesis director :
Jean-Pierre Allegret, University Professor

Members of the Jury :
Jean-Pierre Allegret, University Professor, University Côte d’Azur (Thesis Director)
Cécile Couharde, University Professor, University of Paris Nanterre (Suffragante)
Olivier de Bandt, Director of Research, Banque de France (Suffragan)
Catherine Refait-Alexandre, University Professor, University of Franche-Comté (Rapporteur)
Francisco Serranito, University Professor, University of Sorbonne Paris Nord (Rapporteur)

Summary of the thesis :
The insurance industry plays a crucial role in both developing and advanced economies. Waves of failures in Japan in the 1990s, as well as large-scale bailouts in the wake of the Great Recession, demonstrated the vulnerability of this industry to macroeconomic shocks.
In this thesis, we first construct a unique data-set of insurance failures in four large countries over the last 40 years. Our estimates show that portfolio composition (particularly, the presence of fixed income instruments) plays a risk-mitigating role for life insurance firms, while no such effect appears for non-life firms. Conversely, we find evidence that operating efficiency matters for non-life firms but not life sector firms. In our second chapter, we discuss the merger incentives provided by Solvency II, as well as a series of French-specific health sector reforms. Our results suggest an absence of regulatory arbitrage linked to the design of Solvency II. Further, unlike other target undertakings, insurers exposed to the health-sector reforms were not experiencing profitability or solvency problems at the time of their merger, indicating anticipation of the reform’s effects before their materialization. Finally, in our last chapter, we quantify the extent to which monetary policy asymmetrically affects variable-rate mortgages. In particular, our results reveal that a 100 bp increase in quarterly payment induced by variations in the 3-month Euribor increases the probability of default by around 5%.


Keywords : Insurance insolvency ; Default prediction ; Mergers acquisitions ; Regulatory reform ; Monetary policy transmission

 

AGENDA

Thursday 20 January 2022

Doctorants

Mathilde Aubouin

Déterminants des inégalités numériques chez les ménages français

Thursday 20 January 2022

PhD students

Mathilde Aubouin

Déterminants des inégalités numériques chez les ménages français

Monday 24 January 2022

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

Tommaso Giommoni (ETH Zurich)

En visio

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

Monday 24 January 2022

Law, Institutions and Economics in Nanterre (LIEN)

Tommaso Giommoni (ETH Zurich)

En visio

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

Tuesday 25 January 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Alexandre Chirat

Aux origines des théories managériales de l’entreprise : la correspondance Baumol-Galbraith (1958-1959)

Tuesday 25 January 2022

Research in Political and Institutional Economy (REPI)

Alexandre Chirat

Aux origines des théories managériales de l’entreprise : la correspondance Baumol-Galbraith (1958-1959)

Thursday 27 January 2022

Lunch

Emmanuelle Faure, Olivier Kayser, Jocelyne Zoumenou

Nouveaux doctorants

Thursday 27 January 2022

Lunch

Emmanuelle Faure, Olivier Kayser, Jocelyne Zoumenou

Nouveaux doctorants

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