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Jean-Pierre Zigrand

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About the author and department

Personal webpage:
http://www.lse.ac.uk/finance/people/profiles/jean-PierreZigrand.aspx

Finance Department:
http://www.lse.ac.uk/finance/home.aspx

Systemic Risk Centre:
http://www.systemicrisk.ac.uk/http://www.systemicrisk.ac.uk/

Relevant research

Danielsson, J., Embrechts, P., Goodhart, C., Muennich, F., Keating, C., Renault, O., and Shin, H. (2001). “An academic response to Basel II.” Financial Markets Group Special Paper 130. http://eprints.lse.ac.uk/51497

Danielsson, J. and Shin, H. (2003). Endogenous risk. In Modern Risk Management: A History. Risk Books. http://eprints.lse.ac.uk/10208

Danielsson, J., Shin, H., and Zigrand, J-P. (2004). “The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28:1069–1087.  http://eprints.lse.ac.uk/16628

Goodhart, C. et al. (2009), Geneva Reports on the World Economy. In the series, “The Fundamental Principles of Financial Regulation”. http://eprints.lse.ac.uk/59961/

Danielsson, J., Shin, H., and Zigrand, J-P. (2010). “Balance sheet capacity and endogenous risk.” Mimeo, FMG/WC DP 665. http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/DP665_2011_BalanceSheetCapacity.pdfhttp://eprints.lse.ac.uk/43141/

Danielsson, J. and Zigrand, J-P. (2008). “Equilibrium asset pricing with systemic risk.” Economic Theory, 35: 293–319. http://eprints.lse.ac.uk/24823

Danielsson, J. and Shin, H. and Zigrand, J-P. (2012) “Endogenous Extreme Events and the Dual Role of Prices.” Annual Review of Economics, 4: 111-129. http://eprints.lse.ac.uk/43140

Linton, O., O’Hara, M. and Zigrand J-P. (2012). “Economic impact assessments on MiFID II policy measures related to computer trading in financial markets.” Foresight Working Paper, Government Office for Science. http://www.futuresindustry.org/epta/downloads/Economic-Impact-assessments-on-MiFID-2-policy-measures_083012.pdfhttp://eprints.lse.ac.uk/60008/

Evidence of impact

Impacts on regulation of high-frequency trading

Beddington, J. et al (2012). “The future of computer trading in financial markets”. Foresight, Government Office for Science. Foresight sent it to 242 Members of the EU Parliament, the EU Council, EU commission officials and the President of the EU, as well as to US senate and house committees and to regulators worldwide. The chapters on “Financial Stability and Computer Based Trading” and on “Economic Impact Assessments on Policy Measures“ were written by Zigrand). See: https://www.gov.uk/government/uploads/system/uploads/attachment_data/file/289431/12-1086-future-of-computer-trading-in-financial-markets-report.pdf

HOUSE OF LORDS, European Union Committee, 2nd Report of Session 2012–13. MiFID II: Getting it Right for the City and EU Financial Services Industry. http://www.publications.parliament.uk/pa/ld201213/ldselect/ldeucom/28/28.pdf

“Parliamentary Commission on Banking Standards Sub Committee G-Panel on the Operation of Wholesale Markets, Computer-Based trading, HC 784-I”. http://www.publications.parliament.uk/pa/jt201213/jtselect/jtpcbs/c784-i/c78401.htm

Michel Barnier, “Mettre la science au service de la stabilité financière et de la croissance en Europe”. http://europa.eu/rapid/press-release_SPEECH-12-794_fr.htm?locale=en

Impacts on macro-prudential regulation

House of Commons Treasury Committee. Banking Crisis: International Dimensions, Eleventh Report of Session 2008-09 (14 July 2009): http://www.publications.parliament.uk/pa/cm200809/cmselect/cmtreasy/615/615.pdf

House of Commons Treasury Committee. The Committee’s Opinion on proposals for European financial supervision, Sixteenth Report of Session 2008-09 (11 November 2009): http://www.publications.parliament.uk/pa/cm200809/cmselect/cmtreasy/1088/1088.pdf

HOUSE OF LORDS Select Committee on Economic Affairs (2 June 2009). 2nd Report of Session 2008-09: Banking Supervision and Regulation. Volume I: Report: http://www.publications.parliament.uk/pa/ld200809/ldselect/ldeconaf/101/101i.pdf

Hoban, M. (14 April 2012). Speech by the Financial Secretary to the Treasury, Mark Hoban MP: https://www.gov.uk/government/speeches/statement-by-the-financial-secretary-to-the-treasury-mark-hoban-mp-banking-reform-delivering-stability-and-supporting-a-sustainable-economy

Landau, J. P. (2008), “Extreme events in finance: some reflexions,” Banque de France. http://www.bis.org/review/r081205d.pdf

French, K. R. et al. (2010). The Squam Lake Report: Fixing the Financial System (Princeton University Press). http://www.stat.unc.edu/faculty/cji/890-11/SquamLake.pdf

Majnoni, G. and Powell, A. (2011). On Endogenous Risk, the Amplification Effects of Financial Systems and Macro Prudential Policies. Inter-American Development Bank. http://www.econstor.eu/bitstream/10419/89039/1/IDB-WP-276.pdf

Relevant video and audio

Video channel for Systemic Risk Centre:
http://www.systemicrisk.ac.uk/news/new-src-video-channel

https://www.youtube.com/watch?v=mH7_ODj2nLg – A conversation on US monetary policy

https://www.youtube.com/watch?v=U3iqyJrF7fo – Global Finance in Crisis – LSE Executive Summer School

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