3 papers
econ.GN2024
A minimal model of money creation under regulatory constraints
Victor Le Coz, Michael Benzaquen, Damien Challet
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions betwee…
q-fin.ST2024
Kendall Correlation Coefficients for Portfolio Optimization
Tomas Espana, Victor Le Coz, Matteo Smerlak
Markowitz's optimal portfolio relies on the accurate estimation of correlations between asset returns, a difficult problem when the number of observations is not much larger than t…
econ.GN2024
Stylized facts in money markets: an empirical analysis of the eurozone data
Victor Le Coz, Nolwenn Allaire, Michael Benzaquen +1
Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank mar…