Other work

Policy working papers

An Analytical Framework to Calibrate Macroprudential Policy (with Taryk Bennani et al.), Banque de France working papers, 2017

This project presents the analytical framework for macroprudential policy (AFMaP) developed at the Financial Stability Directorate of the Banque de France that could be used to calibrate macroprudential instruments and to provide analytical support to macroprudential policy decision making. In this paper, we present and compare several possible methodologies to calibrate macroprudential capital buffers that rely both on structural models and macroprudential stresstesting tools.

Pandemic Crises in Financial Systems: A Simulation-Model to Complement Stress-Testing Frameworks (with Julien Idier), Banque de France working papers, 2017

We propose in this paper a simulation framework of pandemic in financial system composed of banks, asset markets and interbank markets. This framework aims at complementing the usual stress-test strategies that evaluate the impact of shocks on individual balance-sheets without taking into account the interactions between several components of the financial system. We build on the network model of Gourieroux, Heam, and Monfort (2012) for the banking system, adding some asset market channels as in Greenwood, Landier, and Thesmar (2015) and interbank markets characterized by collateralized debt and margin calls. We show that rather small shocks can be amplified and destabilize the entire financial system. In our framework, the fact that the system enters in an adverse situation comes from first round losses amplification triggered by asset depreciation, interbank contraction and bank failures in chain. From our simulations, we explain how the different channels of transmission play a role in weakening the financial system, and measure the extent to which each channel could make banks more vulnerable.

Outreach

Regulation of derivatives markets, review and prospects (with Gabrielle Demange and Guillaume Vuillemey), Opinions and Debates, Institut Louis Bachelier, 2023

System-wide stress tests: a deep dive into the financial system (with Gábor Fukker, Aurore Schilte, and Matthias Sydow), Banque de France Eco Notepad no 249, 2022

Macroprudential policy instruments: a bulwark against interbank contagion risk (with Dilyara Salakhova), Banque de France bulletin, issue 218, 2019