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Eric Jondeau
SFI Faculty Member
Professor of Finance

Eric Jondeau is Full Professor of Finance at the University of Lausanne and has been an SFI faculty member since 2006. Prof. Jondeau’s papers have been published in leading academic journals.

Research Interests:
His research interests include financial econometrics, asset and risk management, and pension funds.
Recent Research:
In one of his latest papers, Prof. Jondeau and his co-author investigate the relationship between collateral, leverage, and stressed expected losses in a general equilibrium banking setting. In their model, households place money in short-term deposits with deposit banks, who in turn lend funds to merchant banks against collateral; in turn, these merchant banks provide long-term funding to non-financial firms. When a financial downturn occurs, as the value of collateral decreases merchant banks must sell assets at short notice and default if their cash buffer is insufficient, further reinforcing the crisis. When running their model on the US economy, results show that in the absence of regulation a 40 percent decline of the securities market would induce an 18 percent reduction in the value of the assets held by deposit banks or an 81 percent reduction in the value of their equity. Should regulators require deposit banks to hold 60 percent of their assets in cash, the reduction of their assets would, in the same circumstances, be limited to 3 percent.