Concept

Structured finance

Related publications (20)

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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

A Quantitative Comparison of Yield Curve Models in the MINT Economies

A yield curve is a line plotting bond yields (i.e. interest rates) as a function of their maturity date (their "expiration date''). When on a national scale, the yield curve represents the underlying interest rate structure of a country's economy. It is fu ...

2020

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

The WORLD6 Integrated System Dynamics Model: Examples of Results from Simulations

The WORLD6 model is a fully integrated dynamic world systems model. It includes a biophysical global economic model, based on first principles of physics and thermodynamics, forcing it to be fully consistent with the underlying mass- and energy balances. T ...

Paul Scherrer Institute, World Resources Forum2019

TimeRank: A dynamic approach to rate scholars using citations

Giovanni Colavizza, Massimo Franceschet

Rating has become a common practice of modern science. No rating system can be considered as final, but instead several approaches can be taken, which magnify different aspects of the fabric of science. We introduce an approach for rating scholars which us ...

Elsevier Science Bv2017

Optimal reinsurance with multiple tranches

Semyon Malamud

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd's, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation ...

Elsevier Science Sa2016

Investment timing, debt structure, and financing constraints

Michi Nishihara

We introduce debt issuance limit constraints along with market debt and bank debt to consider how financial frictions affect investment, financing, and debt structure strategies. Our model provides four important results. First, a firm is more likely to is ...

Elsevier Science Bv2015

Securitization and the Fixed-Rate Mortgage

Andreas Fuster

Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitiz ...

2015

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...

EPFL2015

Principal Flows

Victor Panaretos, Tung Huy Pham, Zhigang Yao

We revisit the problem of extending the notion of principal component analysis (PCA) to multivariate datasets that satisfy nonlinear constraints, therefore lying on Riemannian manifolds. Our aim is to determine curves on the manifold that retain their cano ...

American Statistical Association2014