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Financial Stability Review

The Financial Stability Review No. 17 focuses on over‑the‑counter (OTC) derivatives. It is a complement to the issue of the FSR published in 2010 on a similar topic. Due to important regulatory developments aiming at compulsory central clearing for all standardised OTC derivatives by the end of 2012, a first stocktaking exercise is deemed necessary to measure progress performed so far, as well as to identify both the remaining obstacles and new challenges ahead.

The Review particularly investigates the emergence of new practices, new players and new potential risks in OTC derivatives markets. This new issue of the FSR provides wide ranging views on OTC derivatives reforms, emanating from most prominent experts in the field.

The Financial Stability Review is a bi-annually publication essentially aimed at financial sector players and observers, such as decision makers, academics and market participants. It reviews developments affecting financial institutions, markets and their infrastructures from a cyclical and structural perspective.

Unprecedented levels of public debt have today become the most pressing and difficult policy challenge in advanced economies. In this context, the Banque de France’s Financial Stability Review n°16, focuses on ‘Public debt, Monetary policy and Financial Stability’.

April

F S R N°17 - OTC derivatives: new rules, new actors, new risks

Abstracts

Panel

Foreword

- Regulatory progress

Completing the G20 reform agenda for strengthening over‑the‑counter derivatives markets
Mark CARNEY, Bank of Canada and Financial Stability Board

Regulatory reforms for OTC derivatives: past, present and future
Stefan INGVES, Sveriges Riksbank and Basel Committee on Banking Supervision

Overview of international work towards OTC derivatives markets reform and remaining challenges
Masamichi KONO, International Organization of Securities Commissions, CPSS-IOSCO Steering Group and Financial Services Agency of Japan

- Consistency of international rules and extraterritoriality

International cooperation: a sine qua non for the success of OTC derivatives markets reform
Michel BARNIER, European Commission

Containing extraterritoriality to promote financial stability
Charles H. DALLARA, Institute of International Finance

International swaps market reform – Promoting transparency and lowering risk
Gary GENSLER, Commodity Futures Trading Commission

CPSS‑IOSCO Principles for financial market infrastructures: vectors of international convergence
Daniela RUSSO, European Central Bank

Full text
(247 pages)

- Trade repositories, transparency and prevention tools to mitigate systemic risk

A transparency standard for derivatives
Viral V. ACHARYA, New York University Stern School of Business

New infrastructures for a sounder financial system
Michael C. BODSON, The Depository Trust & Clearing Corporation

The importance of data quality for effective financial stability policies
Legal entity identifier: a first step towards necessary financial data reforms
Nigel JENKINSON and Irina S. LEONOVA, Financial Stability Board

Transparency and financial stability
Rodrigo BUENAVENTURA and Verena ROSS, European Securities and Markets Authority

- Credit default swaps and financial stability

Assessing contagion risks in the CDS market
Markus BRUNNERMEIER, Princeton University, Laurent CLERC, Banque de France,
and Martin SCHEICHER, European Systemic Risk Board

Why the Greek CDS settlement did not lead to the feared meltdown
Virginie COUDERT and Mathieu GEX, Banque de France

- Central counterparties

CCPs as instruments of stability and risk mitigation
Jacques AIGRAIN, LCH.Clearnet

Incentive compatible centralised clearing
Bruno BIAIS, Toulouse School of Economics
Florian HEIDER and Maria HOEROVA, European Central Bank

Access to central counterparties: why it matters and how it is changing
Timothy LANE, Jean‑Philippe DION and Joshua SLIVE, Bank of Canada

Central counterparties in evolving capital markets: safety, recovery and resolution
Paul TUCKER, Bank of England, Committee on Payment and Settlement Systems and Financial Stability Board Steering Group on Resolution

- Collateral

Collateral and new offers for an optimised management: an industrial revolution
Marc‑Antoine AUTHEMAN, Euroclear

Collateral scarcity and asset encumbrance: implications for the European financial system
Aerdt HOUBEN and Jan Willem SLINGENBERG, De Nederlandsche Bank

OTC derivatives market – regulatory developments and collateral dynamics
Manmohan SINGH, International Monetary Fund

- New challenges ahead

OTC derivatives: ensuring safe, efficient markets that support economic growth
Stephen O’CONNOR, International Swaps and Derivatives Association

Consequences of the new regulatory landscape on OTC derivatives trading
Frédéric OUDÉA, Société Générale

Will the new regulatory regime for OTC markets impede financial innovation?
Avinash D. PERSAUD, Intelligence Capital Limited, Gresham College and London Business School

- Published articles

April

Watch the video.

F S R - April 2012 - Public debt, Monetary policy and Financial Stability
Complete text (252 pages)

Abstracts

Panel

Complete text
(252 pages)

Articles

- Introduction

Central banking in a context of high public debt
CHRISTIAN NOYER, Banque de France

- Macro-economic, fiscal and operational context

Fiscal outlook and fiscal sustainability risks
CARLO COTTARELLI, International Monetary Fund’s Fiscal Affairs Department

When Western sovereign risk is in play
MOHAMED A. EL-ERIAN, PIMCO

The return of financial repression
CARMEN M. REINHART, Peterson Institute for International Economics

- Financial and regulatory aspects

A tale of two overhangs: the nexus of financial sector and sovereign credit risks
VIRAL V. ACHARYA, ITAMAR DRECHSLER AND PHILIPP SCHNABL,
New York University Stern School of Business

Banks, moral hazard, and public debts
RÉGIS BRETON, CAROLINE PINTO AND PIERRE-FRANÇOIS WEBER, Banque de France

Sovereign creditworthiness and financial stability: an international perspective
JAIME CARUANA AND STEFAN AVDJIEV, Bank for International Settlements

Stability, growth and regulatory reform
RANDALL S. KROSZNER, University of Chicago, Booth School of Business

Is sovereign risk properly addressed by financial regulation?
DANIÈLE NOUY, Prudential Supervisory Authority – Banque de France

- Monetary policy focus

Contagion and the European debt crisis
VÍTOR CONSTÂNCIO, European Central Bank

Monetary policy and public debt
CHARLES GOODHART, London School of Economics, Financial Markets Group

Does monetary cooperation or confrontation lead to successful fiscal consolidation?
TOMAS HELLEBRANDT, ADAM S. POSEN AND MARILYNE TOLLE, Bank of England

Fiscal challenges to monetary dominance in the euro area: a theoretical perspective
OLIVIER JEANNE, Johns Hopkins University

Central bank independence and sovereign default
NARAYANA KOCHERLAKOTA, Federal Reserve Bank of Minneapolis

The sovereign debt crisis and monetary policy
JULIEN MATHERON, BENOÎT MOJON AND JEAN-GUILLAUME SAHUC, Banque de France

Sustainability of government debt: preconditions for stability in the financial system and prices
MASAAKI SHIRAKAWA, Bank of Japan

- Regional and international dimensions

The importance of confidence in macroeconomic stabilisation efforts
AGUSTÍN CARSTENS, Banco de México

Policies on sovereign debt
JEAN-PIERRE LANDAU, Princeton University

Hazardous tango: sovereign-bank interdependence and financial stability in the euro area
SILVIA MERLER AND JEAN PISANI-FERRY, Bruegel and Université Paris-Dauphine

Rebuilding growth and optimism in a new fiscal era
THARMAN SHANMUGARATNAM, International Monetary & Financial Committee, and Government of Singapore

Gaps in the institutional structure of the euro area
CHRISTOPHER A. SIMS, Princeton University, Department of Economics

The euro crisis: some reflexions on institutional reform
JEAN TIROLE, Toulouse School of Economics

- Published articles

February

F S R - February 2011 - Global imbalances and financial stability
Complete text (184 pages)

Press Conference Pictures

Articles

Global imbalances: the perspective of the Saudi Arabian Monetary Agency
DR MUHAMMAD AL-JASSER, Saudi Arabian Monetary Agency

International capital fl ows and the returns to safe assets in the United States, 2003-2007
BEN S. BERNANKE, Federal Reserve System

The challenge of high capital infl ows to fi nancial stability: an emerging market perspective
HENRIQUE DE CAMPOS MEIRELLES, Banco Central do Brasil

Global imbalances: the international monetary system and fi nancial stability
MARK CARNEY, Bank of Canada

Global imbalances: the perspective of the Banco de México
AGUSTÍN CARSTENS, Banco de México

Complementarity and coordination of macroeconomic and fi nancial policies to tackle internal and external imbalances
MARIO DRAGHI, Banca d’Italia

Global imbalances: common problem to solve for both advanced and emerging market economies
SERGEY IGNATIEV, Bank of Russia

Global balance and fi nancial stability: twin objectives toward a resilient global economic system
CHOONGSOO KIM, Bank of Korea

Global imbalances: the perspective of the Bank of England
MERVYN KING, Bank of England

Global imbalances and developing countries
MERCEDES MARCÓ DEL PONT, Banco Central de la República Argentina

A South African perspective on global imbalances
GILL MARCUS, South African Reserve Bank

Global imbalances, volatile capital infl ows and proposed further IMF roles
DARMIN NASUTION, Bank Indonesia

Global imbalances and fi nancial stability
CHRISTIAN NOYER, Banque de France

Global imbalances and current account imbalances
MASAAKI SHIRAKAWA, Bank of Japan

Global imbalances through the prism of savings and investment
GLENN STEVENS, Reserve Bank of Australia

Global imbalances: the perspective of the Reserve Bank of India
DR DUVVURI SUBBARAO, Reserve Bank of India

Intellectual challenges to fi nancial stability analysis in the era of macroprudential oversight
JEAN-CLAUDE TRICHET, European Central Bank

Securing stability and growth in a post-crisis world
PROFESSOR AXEL A. WEBER, Deutsche Bundesbank

Revisiting the Tinbergen Rule: use the macroprudential tools to maintain fi nancial stability
DURMUS YILMAZ, Central Bank of the Republic of Turkey

On savings ratio
DR ZHOU XIAOCHUAN, People’s Bank of China

Published articles

July

Launch conference of the FSR 14 (Paris, 8 July 2010)

F S R - July 2010 - Derivatives Financial Innovation and Stability
Complete text (200 pages)

Redesigning OTC derivatives markets to ensure financial stability
CHRISTIAN NOYER, Governor of the Banque de France

Texte intégral
(216 pages)

Articles

Credit default swaps: what are the social benefits and costs?
RONALD W. ANDERSON, London School of Economics

Fiat lux – Shedding new light on derivatives markets
MICHEL BARNIER, European Commission

Euro public debt and the markets: sovereign fundamentals and CDS market dynamics
LAURENCE BOONE, LAURENT FRANSOLET AND SØREN WILLEMANN, Barclays Capital

Derivatives: an insurer’s perspective
HENRI DE CASTRIES AND BENOÎT CLAVERANNE, AXA Group

Credit default swaps and financial stability
RAMA CONT, CNRS and Columbia University

Credit default swaps – Financial innovation or financial dysfunction?
SATYAJIT DAS, Risk consultant

Is there a case for banning short speculation in sovereign bond markets?
DARRELL DUFFIE, Stanford University

Over-the-counter derivative markets in India – Issues and perspectives
SHYAMALA GOPINATH, Reserve Bank of India

OTC derivatives and central clearing: can all transactions be cleared?
JOHN HULL, University of Toronto

21st century finance cannot do without a sound regulation of the OTC derivatives markets
JEAN-PIERRE JOUYET, Autorité des marchés financiers

An industrial organisation approach to the too-big-to-fail problem
JEAN-CHARLES ROCHET, Swiss Finance Institute, University of Zurich and Toulouse School of Economics

OTC derivatives: financial stability challenges and responses from authorities
DANIELA RUSSO, European Central Bank

Under-collateralisation and rehypothecation in the OTC derivatives markets
MANMOHAN SINGH, International Monetary Fund

Silos and silences Why so few people spotted the problems in complex credit and what that implies for the future
GILLIAN TETT, Financial Times

Mitigating systemic risk in OTC derivative markets
NOUT WELLINK, Basel Committee on Banking Supervision, De Nederlandsche Bank

What risks and challenges do credit default swaps pose to the stability of financial markets?
ORICE WILLIAMS BROWN, US Government Accountability Office

OTC derivatives market structure and the credit profi les of wholesale investment banks
ALEXANDER YAVORSKY, Moody’s Investors Service

What do network theory and endogenous risk theory have to say about the effects of central counterparties on systemic stability?
JEAN-PIERRE ZIGRAND, London School of Economics

Credit default swap and bond markets: which leads the other?
VIRGINIE COUDERT AND MATHIEU GEX, Banque de France

Concentration risk and the optimal number of central counterparties for a single asset
FABIEN RENAULT Payment Systems and Market Infrastructures Directorate, Banque de France

Published articles

September

Press conference (London, 4 September 2009) - Find videos

F S R - September 2009 - The future of financial regulation
Complete text (150 pages)

Regulating finance after the crisis
CHRISTIAN NOYER, Governor of the Banque de France

Texte intégral
(160 pages)

Articles

The shadow banking system: implications for financial regulation
TOBIAS ADRIAN, Federal Reserve Bank of New York
HYUN SONG SHIN, Princeton University

Managing the transition to a safer financial system
SHEILA C. BAIR, Federal Deposit Insurance Corporation

Reform of the global financial architecture: a new social contract between society and finance
HUGO BANZIGER, Deutsche Bank

Implementing the macroprudential approach to financial regulation and supervision
CLAUDIO BORIO, Bank for International Settlements

Minimising the impact of future financial crises:
six key elements of regulatory reform we have to get right
JAIME CARUANA, Bank for International Settlements

On the efficacy of financial regulations
JON DANIELSSON, London School of Economics

The treatment of distressed banks
MATHIAS DEWATRIPONT, ECARES, Université Libre de Bruxelles
JEAN-CHARLES ROCHET, Toulouse School of Economics

Credit default swaps and financial stability: risks and regulatory issues
ANNE DUQUERROY, Banque de France
NICOLAS GAUTHIER, Banque de France
MATHIEU GEX, Banque de France

The future of financial regulation
JEAN-PIERRE JOUYET, Autorité des Marchés Financiers

The future of financial regulation: an exchange of views
ANIL KASHYAP, Booth School of Business, University of Chicago
BANQUE DE FRANCE

Emerging contours of financial regulation: challenges and dynamics
RAKESH MOHAN, Reserve Bank of India

Regulation-supervision: the post-crisis outlook
GEORGES PAUGET, Crédit Agricole S.A.

Beyond the crisis: the Basel Committee’s strategic response
NOUT WELLINK, Basel Committee on Banking Supervision, De Nederlandsche Bank

Published articles

February

F S R - February 2008 - Special issue on Liquidity
Complete text (190 pages, 2.98 Mo)

Overview
Liquidity in a time of financial turbulences

Articles

Academics and market participants

Liquidity and financial contagion
TOBIAS ADRIAN, Federal Reserve Bank of New York
HYUN SONG SHIN, Princeton University

Musical chairs: a comment on the credit crisis
RICARDO J. CABALLERO, Massachusetts Institute of Technology
ARVIND KRISHNAMURTHY, Northwestern University

Market liquidity and financial stability
ANDREW CROCKETT, JPMorgan Chase International

Ten questions about the subprime crisis
BARRY EICHENGREEN, University of California, Berkeley

What happened to risk dispersion?
PETER R. FISHER, BlackRock, Inc.

Liquidity risk management
CHARLES GOODHART, London School of Economics

Liquidity regulation and the lender of last resort
JEAN-CHARLES ROCHET, Toulouse School of Economics

Liquidity shortages: theoretical underpinnings
JEAN TIROLE, Toulouse School of Economics

Central banks and institutionals

Liquidity in global markets
JAIME CARUANA AND LAURA KODRES, International Monetary Fund

The impact on financial market liquidity of the markets in financial instruments directive (MiFID)
FRÉDÉRIC CHERBONNIER AND SÉVERINE VANDELANOITE,
French Ministry of the Economy, Finance and Employment

Market liquidity and banking liquidity: linkages, vulnerabilities and the role of disclosure
PETER PRAET AND VALÉRIE HERZBERG, National Bank of Belgium

Banque de France

Liquid assets, liquidity constraints and global imbalances
ALEXANDRE BACLET AND EDOUARD VIDON, Macroeconomic Analysis and Forecasting Directorate

Financial innovation and the liquidity frontier
ARNAUD BERVAS, Financial Stability Directorate

Financial market liquidity and the lender of last resort
CHRISTIAN EWERHART, University of Zürich
NATACHA VALLA, Research Directorate

Recent developments in intraday liquidity in payment and settlement systems
FRÉDÉRIC HERVO, Payment Systems and Market Infrastructure Directorate

Complete text
(190 pages, 2.98 Mo)

October

F S R - October 2008 - Valuation issues at the heart of the current crisis
Complete text (156 pages, 2.050 Mo)

Valuation challenges in a changing environment
CHRISTIAN NOYER, Governor of the Banque de France

Complete text
(156 pages, 2.050 Mo)

Articles

Should financial institutions mark-to-market ?
FRANKLIN ALLEN, Wharton School, University of Pennsylvania
ELENA CARLETTI, University of Frankfurt

Setting the right framework for modern financial markets -
Lessons learned from the recent crisis
HUGO BANZIGER, Deutsche Bank

Revisiting valuation practices throughout the business cycle :
some symmetry is needed
JAIME CARUANA, International Monetary Fund
CEYLA PAZARBASIOGLU, International Monetary Fund

Valuation and fundamentals
LAURENT CLERC, Banque de France

Taking into account extreme events in European option pricing
JULIEN IDIER, Banque de France, Université Paris I
CAROLINE JARDET, Banque de France
GAËLLE LE FOL, Banque de France, Université d'Evry, CREST
ALAIN MONFORT, Banque de France, CNAM, CREST
FULVIO PEGORARO, Banque de France, CREST

Fair value accounting and financial stability :
challenges and dynamics
SYLVIE MATHERAT, Banque de France

How should we respond to asset price bubbles ?
FREDERIC S. MISHKIN, Federal Reserve System

Regulation, valuation and systemic liquidity
AVINASH D. PERSAUD, Intelligence Capital Limited

Fair value accounting and financial stability
GUILLAUME PLANTIN, London Business School
HARESH SAPRA, Graduate School of Business, University of Chicago
HYUN SONG SHIN, Princeton University

Procyclicality of financial systems :
is there a need to modify current accounting and regulatory rules ?
JEAN-CHARLES ROCHET, Toulouse School of Economics

Valuation in insurance and financial crisis
PHILIPPE TRAINAR, SCOR Group

Bringing transparency to financial reporting :
towards an improved accounting framework in the aftermath of the credit crisis
DAVID TWEEDIE, International Accounting Standards Board

Improving fair value accounting
JOSE VINALS, Banco de Espana

April

F S R - April 2007 - Special issue on Hedge Funds
Complete text (199 pages, 1.242 Kb)

Complete text
(199 pages, 1.242 Kb)

Articles
	Hedge funds, credit risk transfer and financial stability ROGER T. COLE, GREG FELDBERG, DAVID LYNCH, Board of Governors of the Federal Reserve System The evolution and regulation of hedge funds ANDREW CROCKETT, JPMorgan Chase International Regulating hedge funds JÓN DANÍELSSON AND JEAN-PIERRE ZIGRAND, London School of Economics and Financial Markets Group Hedge funds and financial stability MARIO DRAGHI, Financial Stability Forum and Banca d’Italia Hedge funds and systemic risk ROGER FERGUSON AND DAVID LASTER, Swiss Re Hedge fund replication strategies: implications for investors and regulators WILLIAM FUNG, London Business School DAVID A. HSIEH, Duke University Hedge funds and prime broker dealers: steps towards a “best practice proposal” PHILIPP M. HILDEBRAND, Swiss National Bank Transparency requirements and hedge funds CALLUM MCCARTHY, UK Financial Services Authority Risks and return of banking activities related to hedge funds JEAN-PIERRE MUSTIER, Société Générale Corporate & Investment Banking ALAIN DUBOIS, Lyxor Asset Management Indirect supervision of hedge funds DANIÈLE NOUY, Commission bancaire (French Banking Commission) Hedge funds: what are the main issues? CHRISTIAN NOYER, Banque de France Monitoring hedge funds: a financial stability perspective LUCAS D. PAPADEMOS, European Central Bank The world of hedge funds: prejudice and reality – The AMF’s contribution to the debate on alternative investment strategies MICHEL PRADA, Autorité des Marchés . nanciers (French Securities Regulator) Financial conditions, alternative asset management and political risks: trying to make sense of our times RAGHURAM G. RAJAN, University of Chicago Hedge funds in emerging markets WILLIAM A. RYBACK, Hong Kong Monetary Authority Fund of hedge funds: origins, role and future PATRICK STEVENSON,, Atlas Capital Limited Hedge funds: a central bank perspective AXEL A. WEBER,, Deutsche Bundesbank
Bibliography Résumés Published articles

May

F S R - May 2006 Complete text (144 pages, 1.091 Kb) Editorial		Complete text (144 pages, 1.091 Kb)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Better capturing risks in the trading book OLIVIER PRATO International Affairs Division, General Secretariat of the Commission bancaire Market liquidity and its incorporation into risk management ARNAUD BERVAS Financial Stability and Market Research Division, Banque de France Productivity and stock prices SANVI AVOUYI-DOVI JULIEN MATHERON Research on Economy and Finance Division, Banque de France Corporate equity and financial stability: An approach based on net worth at risk FRANÇOIS MOURIAUX Companies Directorate, Banque de France SANDRA FOULCHER-DARWISH Inspection General Department, Banque de France Recent developments in monetary and financial integration in Asia SOPANHA SA International Monetary Relations Division, Banque de France JULIA GUÉRIN Macroeconomic Analysis and International Syntheses Division, Banque de France Implications of globalisation for financial stability ROGER FERGUSON Board of Governors of the Federal Reserve System JACOB A. FRENKEL Group of Thirty
Published articles

December

F S R - December 2006 Complete text (132 pages, 990 Kb)		Complete text (132 pages, 990 Kb)
Overview
	Contents Introduction Are risks properly priced by financial markets? Are risk transfer mechanisms sufficiently robust?
Articles
	Commodities: an asset class in their own right? PHILIPPE MONGARS, CHRISTOPHE MARCHAL-DOMBRAT Market Operations Directorate, Market Making and Monitoring Division, Banque de France Do emerging market economies still constitute a homogenous asset class? IVAN ODONNAT Financial Stability Co-ordination Directorate, Banque de France IMÈNE RAHMOUNI-ROUSSEAU Financial Stability Co-ordination Directorate, Financial Stability and Markets Research Division, Banque de France Capital flows and credit booms in emerging market economies SOPANHA SA International Monetary Relations Division, International and European Relations Directorate, Banque de France Can risk aversion indicators anticipate financial crises? VIRGINIE COUDERT Financial Stability Co-ordination Directorate, Banque de France and University of Paris 13 MATHIEU GEX Financial Stability Co-ordination Directorate, Financial Stability and Markets Research Division, Banque de France and University of Grenoble 2 Bank liquidity and financial stability NATACHA VALLA, BÉATRICE SAES-ESCORBIAC General Economics and International Relations, Monetary Policy Research Division, Banque de France MURIEL TIESSET General Secretariat of the Commission bancaire, Banking Studies Division, Banque de France Microstructure of financial and money markets: lessons learned from the conference held in Paris on 6 and 7 June 2006 SANVI AVOUYI-DOVI, CAROLINE JARDET Research Directorate, Research on Economy and Finance Division, Banque de France The Basel II framework: the role and implementation of Pillar 2 PIERRE-YVES THORAVAL General Secretariat of the Commission bancaire
Published articles

November

F S R - November 2005 Complete text (127 pages, 4 050 M0) Editorial		Complete text (127 pages, 4 050 Ko)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Prudential supervision and the evolution of accounting standards : the stakes for financial stability PATRICK AMIS ÉRIC ROSPARS Accounting Studies Division, General Secretariat of the Commission bancaire Regulatory capital and economic capital MURIEL TIESSET, Banking Studies Division, General Secretariat of the Commission bancaire PHILIPPE TROUSSARD International Affairs Division, General Secretariat of the Commission bancaire Significance and limitations of the VAR figures publicly disclosed by large financial institutions GUY LÉVY-RUEFF Financial Stability and Market Research Division, Banque de France The impact of stock market shocks on credit in France since the mid-1990s JOHN BAUDE Financial Accounts Division, Banque de France Sovereign debt (Re)structuring Where do we stand? PIERRE-FRANÇOIS WEBER International Monetary Relations Division, Banque de France
Published articles

June

F S R - June 2005 Complete text (127 pages, 989 Ko) Foreword		Complete text (127 pages, 989 Ko)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	The CDO market: Functioning and implications in terms of financial stability OLIVIER COUSSERAN Monetary Rechearch and Statistics Directorate, Banque de France IMÈNE RAHMOUNI Market and Financial Stability Rechearch Division, Banque de France Public debt sustainability and crises in emerging market countries: a presentation of the concepts and diagnostic tools ADELINE BACHELLERIE University of Paris I Panthéon-Sorbonne BERTRAND COUILLAULT International Monetary Relations Division, Banque de France Interest rate risk in the French banking system JEAN-LUC QUÉMARD International Affairs Division, General Secretariat of the Commission bancaire VALÉRIE GOLITIN Banking Studies Division, General Secretariat of the Commission bancaire Interest rate risk management by life insurance companies and pension funds VINCENT FLEURIET Market and Financial Stability Research Division, Banque de France CATHERINE LUBOCHINSKY University of Paris II Analysis, by simulation, of the impact of a technical default of a payment system participant EMMANUEL MAZARS, GUY WOEFEL Payment Systems and Market Infrastructure Directorate, Banque de France
Published articles

June

F S R - June 2004 Complete text (141 pages, 1 961 Ko) Foreword		Complete text (141 pages, 1 961 Ko)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Contents Market dynamics associated with credit ratings: a literature review (FERNANDO GONZALEZ, European Central Bank FRANÇOIS HAAS, Banque de France RONALD JOHANNES, Bank of England MATTIAS PERSSON, Sveriges Riksbank LILIANA TOLEDO, Banco de España ROBERTO VIOLI, Banca d’Italia CARMEN ZINS, MARTIN WIELAND, Deutsche Bundesbank) Results of the French market survey of credit risk transfer instruments (Commission bancaire Commission de contrôle des assurances Autorité des marchés financiers) Techniques used on the credit derivatives market: credit default swaps (EMMANUELLE OLLÉON-ASSOUAN Foreign Exchange and Euro Market Operations Division, Banque de Francee) Equity market interdependence: the relationship between European and US stock markets (SANVI AVOUYI-DOVI, DAVID NETO Economic Analysis and Research Centre, Banque de France) Goodwill, balance sheet structures and accounting standards (SYLVIE MARCHAL, ANNIE SAUVÉ Companies Observatory, Banque de France)
Miscellaneous
	Published articles
Editorial Committee

November

F S R - November 2004 Complete text (123 pages, 1 745 Ko) Foreword		Complete text (123 pages, 1 745 Ko)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Assessment of “stress tests” conducted on the French banking system Olivier DE BANDT Macroeconomic Analysis and Forecasts Division, Banque de France Vichett OUNG Banking Research Division, General Secretariat of the Commission bancaire Insurance and financial stability Philippe TRAINAR Director of International, Financial and Economic Affairs, French Federation of Insurance Companies (FFSA) Oversight of non-cash payment schemes: objectives and implementation procedures Marc ANDRIES, Carlos MARTIN Oversight of Non-cash Means of Payment Division, Banque de France The resilience of post market infrastructures and payment systems Denis BEAU, Guy WOELFEL Payment Systems Directorate, Banque de France Credit risk management and financial stability Laurent CLERC Monetary and Financial Policy Research Division, Banque de France
Published articles

June

F S R - June 2003 Complete text (163 pages, 1 746 Ko) Foreword		Complete text (163 pages, 1 746 Ko)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Contents Stock market volatility: from empirical data to their interpretation Towards a « market continuum »? Structural models and interaction between credit and equity markets The changing incentive structure of institutional asset managers: implications for financial markets An analytical review of credit risk transfer instruments International accounting standardisation and financial stability Towards a voluntary Code of good conduct for sovereign debt restructuring
Miscellaneous
	Published articles Third Journées of the Foundation Banque de France
Editorial Committee

November

F S R - November 2003 Complete text (163 pages, 1 746 Ko) Foreword		Complete text (163 pages, 1 746 Ko)
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Contents Financial stability and the New Basel Accord (PIERRE-YVES THORAVAL, ALAIN DUCHATEAU General Secretariat of the Banking Commission General Banking System Supervision) Do asset price fluctuations constitute a risk to growth in the major industrialised countries? (IVAN ODONNAT, ANNE-MARIE RIEU Foreign Economies Research Division, Banque de France) Interactions between business cycles, stock market cycles and interest rates: the stylised facts (SANVI AVOUYI-DOVI, JULIEN MATHERON Economic Analysis and Research Centre, Banque de France) Challenges arising from alternative investment management (FRANÇOIS HAAS, Market and Financial Stability Research Division, Banque de France NOËL AMENC, EDHEC, Misys Asset Management Systems, MATHIEU VAISSIÉ, EDHEC) Protection of deferred net payment and securities settlement systems: the examples of SIT and Relit (CHRISTINE SAMPIC, FRÉDÉRIC HERVO Payment and Securities Settlement System Oversight Division, Banque de France) Vulnerabilities and surveillance of the international financial system (International Monetary seminar of the IBFI TALK BY ANNE KRUEGER, International Monetary Fund TALK BY MICHEL PRADA, Autorités des marchés financiers (Financial Markets Authority))
Miscellaneous
	Published articles
Editorial Committee

November

Financial Stability Review F S R - November 2002 Complete text (160 pages, 2 810 Ko) Foreword
Overview
	Contents Summary International environment and markets Financial sector
Articles
	Contents The Eurosystem, the euro area and financial stability Credit derivatives: a new source of financial instability? How much credit should be given to credit spreads? The development of contingency clauses: appraisal and implications for financial stability Post-market infrastructures and financial stability The CLS system: reducing settlement risk in foreign exchange transactions International codes and standards: challenges and priorities for financial stability
Miscellaneous
	Published articles
Editorial Committee

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