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JUIN 17 - PRISM GREGOR CNAM - Compta Contrôle Finance Sorbonne
Photo Gregor
JUIN 17 - PRISM GREGOR CNAM - Compta Contrôle Finance Sorbonne PRINT
Auteur(s) :
, (2017)

Lieu : CNAM :  40 rue des Jeûneurs, Paris 2ème, en salle A308 de 15h00 à 17h30

Dans le cadre  des collaborations entre le GREGOR-IAE Paris, le  PRISM-EMS  et le CNAM,  nous avons le plaisir de vous inviter au séminaire "Compta Contrôle Finance Sorbonne"  

Les deux interventions au programme  :

Thomas Renault"When not to trade? Market reaction to news and investor attention in real time"
Thomas Renault, "When not to trade? Market reaction to news and investor attention in real time" :
We propose a new framework for measuring investor attention in real time at high-frequency trading scales. Our approach relies on the Twitter messages of financial experts around the release of unscheduled news announcements. Using high-frequency data on large-cap U.S. stocks, we examine market reaction to new information both in the presence and absence of investor attention. We find evidence that news events receiving high attention lead to large and persistent changes in abnormal trading activity, volatility and price jumps. When investors pay little attention to news, however, the effects of news on such trading patterns tend to be smaller and vanish quickly. With respect to timing, approximately half of the high-attention news stories arrive first on Twitter before being reported by Bloomberg. This result suggests that pre-announcement effects may not be explained only by private information, but could be related also to timestamp delays. We control such potential biases with attention-adjustment and corrected newswire timestamps, which significantly eliminates pre-announcement effects. When timing trades, market participants should account for investor attention and biases in news releases. »

Stuart MacDonnell : "Contingent Capital: Extracting Signals from the New Architecture of AT1s »
While the CoCo market is trying to find its own dynamic, the investor base lacks well-defined tools to value these complex notes. In this work, we reconceptualise contingent capital in terms of the payoff profile of a structured note, comprising three barriers: (1) MDA cushion & ADI cover; (2) reset rates & call dates; (3) CET1/RWA buffer. We then assess empirically the pricing of these triggers. Our preliminary findings suggest that neither the ‘absolute’ distance to the CET1 ratio threshold nor the conversion mechanism are significant; this largely refutes the main valuation approaches (equity and credit derivative). In surveying practitioners, we find that relative value is the preferred method with a focus on the risks associated with coupons and duration, rather than conversion. In this context, we propose a new framework for evaluating the aggregated risks of the CoCo asset class that reflects a balance of all three barriers. Our aim is to create a warning indicator, which takes into account the clustering of risks such as the concentration of redemption dates in 2019. We also try to move the valuation approach beyond the modelling of capital ratios to better understand the decisive role of the supervisory process – specifically the location of PONV in the emerging SREP regime. The overlay of early intervention may raise the bar on conversion but lower the bar for cancellation, shifts better captured by a relative value approach.

Citer cette référence :
(2017), "JUIN 17 - PRISM GREGOR CNAM - Compta Contrôle Finance Sorbonne",

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