Financial institutions

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How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Hoboken2024

Gymnase de Renens - Sobriété et bien-être - 2024-06-03

Sascha Nick

Lundi 3 juin 2024, dans le cadre de la semaine de durabilité du Gymnase de Renens, un échange a été organisé par l’équipe durabilité du gymnase, en collaboration avec le service de promotion de l'éducation de l’EPFL (Education outreach department), avec la ...

2024

A landmark environmental law looks ahead

Devis Tuia

In late December 1973, the United States enacted what some would come to call “the pitbull of environmental laws.” In the 50 years since, the formidable regulatory teeth of the Endangered Species Act (ESA) have been credited with considerable successes, ob ...

2023

Avec environ plus de 220 grands barrages en exploitation, la Suisse par rapport à une surface du pays de 41 000 km2 possède un parc très important. Ils ont été érigés pour répondre à divers besoins économiques et de protection. Leurs principales affectatio ...

2023

Abolir le travail : une perspective architecturale

Nagy Makhlouf

L’espace-temps linéaire du travail est architectural, juridique et linguistique. Le droit français définit le travail par un lien de subordination et l’architecture comme construction, donc comme extraction. Travail et architecture suivent un même principe ...

2023

FinTech Lending

Andreas Fuster

In this article, we review the growing literature on financial technology (FinTech) lending-the provision of credit facilitated by technology that improves the customer-lender interaction or used in lenders' screening and monitoring of borrowers. FinTech l ...

ANNUAL REVIEWS2022

The Rebound Effects from Industrial Energy Efficiency Improvements

Michel Zimmermann

In energy policy, energy efficiency constitutes a central element in reducing domestic and, specifically, industrial en-ergy use. Unfortunately, the effectiveness of energy efficiency improvements in achieving its targets is known to be limited by rebound ...

EPFL2022

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

TAYLOR & FRANCIS LTD2022

Pont en acier: examen et projet d'intervention

Marouane Berrada

Construit en 1905, le pont « à la Porte du Scex » traverse le Rhône et se situe à la frontière entre le canton de Vaud et le canton du Valais, à 7km de l’embouchure du fleuve dans le lac léman. Le pont est constitué d'une structure en treillis métallique r ...

2022

Self-Exciting Point Processes: Identification and Control

Michael Mark

This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers.In the first paper, we address the challenge of robust i ...

EPFL2022