Guillaume VUILLEMEY

Associate Professor

Finance

vuillemey@hec.fr http://sites.google.com/site/guillaumevuillemey/home

Biography

Guillaume Vuillemey obtained a Ph.D. in economics at Sciences Po (Paris) in 2015, after a master degree in economics from Sciences Po and the Ecole Polytechnique. His main research interests include derivatives markets, the functioning and regulation of banks and financial markets, as well as risk management and economic history.

He has published research articles in the Journal of Finance, the Journal of Financial Economics and the Review of Financial Studies.

Guillaume Vuillemey has been a visiting researcher at several foreign institutions, including the European Central Bank and Harvard University. He has also worked as an economist for the Banque de France. He is also an affiliated researcher to the Autorité de contrôle prudentiel et de résolution (ACPR) Chair in systemic risk.

To access his most recent works: http://sites.google.com/site/guillaumevuillemey/home

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Scientific articles

Who bears interest rate risk?

Review of Financial Studies, August 2019, vol. 32, n° 8, pp 2921-2954, (in coll. with P. HOFFMANN, S. LANGFIELD, F. PIEROBON)

Wholesale Funding Dry-Ups

Journal of Finance, April 2018, vol. 73, n° 2, pp 575-617, (in coll. with C. PERIGNON, D. THESMAR)

Central clearing and collateral demand

Journal of Financial Economics, 2 December 2015, vol. 116, n° 2, pp 237-256, (in coll. with D. DUFFIE, M. SCHEICHER)

The network structure of the CDS market and its determinants

Journal of Financial Stability, August 2014, vol. 13, pp 118-133, (in coll. with T. PELTONEN, M. SCHEICHER)

Epistemological foundations for the assessment of risks in banking and finance

Journal of Economic Methodology, 2014, vol. 21, n° 2, pp 125-138,

Books

Working papers

Scientific articles

Frictional unemployment with stochastic bubbles

European Economic Review, February 2020, vol. 122, n° 103352, (in coll. with E. WASMER)

The Failure of a Clearinghouse: Empirical Evidence

Review of Finance, February 2020, vol. 24, n° 1, pp 99-128, (in coll. with V. BIGNON)

The Value of Central Clearing

Journal of Finance, August 2020, vol. 75, n° 4, pp 2021-2053,

Bank Interest Rate Risk Management

Management Science, December 2019, vol. 65, n° 12, pp 5933-5956,

Books

Working papers

Completing Markets With Contracts: Evidence From the First Central Clearing Counterparty

Cahier de Recherche du Groupe HEC , 2018

Education

2015
Ph.D., in Economics, Sciences Po Paris - France
2011
Master of Science/Grande Ecole, in Economics, Ecole Polytechnique / Sciences Po Paris / ENSAE - France
2009
Bachelor of Science, Economics and Political Science, Sciences Po Paris - France

Academic appointments

Academic Responsibilities at HEC

2019- Associate Professor, Finance HEC Paris

Awards & honors

2020 HEC Foundation Best Researcher 2019 Award
2019 Prix du jeune chercheur en economie 2019 de la Fondation Banque de France pour la recherche
2016 Best AFFI 2016 Paper Award for the paper "Wholesale Funding Runs"