Jean-Pierre Zigrand

Jean-Pierre Zigrand is Co-director of the Systemic Risk Centre and Associate Professor of Finance at the London School of Economics. His research interests are in the areas of systemic risk and asset pricing in which he has an extensive publication record. His teaching is principally in quantitative finance at MSc, PhD and executive levels. Dr Zigrand is the director of the LSE MSc Finance executive programme. He is a member of the Bank of England Bank’s Macroprudential Panel - Market Subgroup and has acted as a consultant to private sector financial institutions, to the Luxembourgish Central Bank as well as to regulatory bodies. He has been a Lead Expert to the UK Foresight Team on the Future of Computer Trading. Dr Zigrand has a BA and MA in Economics from the Catholic University of Louvain and a PhD in Economics from the University of Chicago.

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Tel: +44 (0)20 7852 3543

Publications

Discussion Papers
Apr 2018
DP 78
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity ‘droughts.’ We...
Discussion Papers
Apr 2018
DP 77
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in the equilibrium price. We study the learning externalities that arise in this setting, and in...
Opinion Pieces
Dec 2016
Discretionary macroprudential policies aim to be countercyclical by adjusting risk-taking across the financial cycle. This column argues that the opposite effect may happen in certain cases. Depending on how regulators measure risk and how they...
Opinion Pieces
Jun 2016
Brexit creates new opportunities and new risks for the British and EU financial markets. Both could benefit, but a more likely outcome is a fall in the quality of financial regulations, more inefficiency, more protectionism, and more systemic risk.
Opinion Pieces
Aug 2015
The long-running Greek crisis and China’s recent stock market crash are the latest threats to the stability of the global financial system. But as this column explains, systemic risk is an inevitable part of any market-based economy. While we...
Opinion Pieces
Aug 2015
Some financial authorities have proposed designating asset managers as systemically important financial institutions (SIFIs). This column argues that this would be premature and probably ill conceived. The motivation for such a step comes from an...
Opinion Pieces
Feb 2015
The proposed EU capital markets union aims to revitalise Europe’s economy by creating efficient funding channels between providers of loanable funds and firms best placed to use them. This column argues that a successful union would deliver...
Special Papers
Jan 2014
SP 1
This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the notion of systemic risk. It is illustrated by putting the ideas of system, systemic risk and endogenous...
Discussion Papers
Nov 2013
DP 6
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged economy is asymptotically Walrasian in the sense that it converges to the equilibrium of an...
Discussion Papers
Sep 2013
DP 2
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality metric that can properly aggregate local market conditions across both securities and trading...

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