Working Experiance

Banque de France/Financial stability direction/Macro-finance division (Full Time) Paris, France

Economist & Quantitative Analyst January 2010 -

This work at the banque de France analysis the inefficiencies which may trigger the systemic risks in the financial system and studies the related measures to quantify such risks. The first point is to study the systemic risk in the financial system and the related macro-prudential policy: 1) the pro-cyclicality effect is harmful to the whole financial system as well as to the real economy; 2) the contagion risk among financial institutions. Secondly, I proposes a new systemic risk measure to efficiently capture the systemic importance of each financial institution within a given system. The term systemic risk refers to the contagion risk to the financial system to which each bank contributes. At last, I analysis the debt structure in the banking sector. Banks choose their debt maturity structure by weighting short term against long term debt. The externalities caused by over borrowing in short term debt exist only when the probability of macro shock is large.

Keywords: Systemic Risk, Systemic Risk Measures, Macroprudential Policy, Banking Model.