You are here

Erwan Morellec
SFI Senior Chair, Head of SFI PhD Program
Professor of Finance
Erwan Morellec is Professor of Finance at the Ecole Polytechnique Fédérale de Lausanne and has held an SFI Senior Chair since 2006. Before joining the Ecole Polytechnique Fédérale de Lausanne in 2008, he taught at the Universities of Lausanne and Rochester. He is head of the SFI PhD program. Prof. Morellec is a regular speaker at leading finance conferences worldwide and his research papers have been published in the top academic journals in finance. He has received several research and teaching awards
Research Interests:
His main research interest lies in capital structure decisions, real options, risk management, liquidity management, and credit risk.
Recent Research:
In recent work, Prof. Morellec and his coauthor seek to determine how liquidity and capital requirements affect the liquidity management and insolvency risk of banks. Their contribution to the existing literature is to develop a dynamic model that accounts for multiple aspects of a bank’s decisions, such as the choice of liquid asset holding, equity share, payout policy, and default. They use this model to determine the optimal response of banks to the imposition of liquidity and capital requirements, and to determine the effect of such requirements on insolvency risk. Their model shows that liquidity requirements lead to lower bank losses in the case of default at the cost of an increased likelihood should default occur. Combining liquidity requirements with leverage requirements reduces both the likelihood of default and the magnitude of bank losses in default. This means that in order to control both aspects of a bank’s insolvency risk one should consider regulations that combine liquidity and capital requirements as proposed in the Basel III accords.