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In this work, the gasification of the black liquor is proposed as an alternative ammonia production route. Due to the seasonal variation of the energy prices, a multi-time integration approach that combines different technologies and energy inputs is used ...
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
We use quasi-random access to the Home Affordable Refinance Program (HARP) to identify the causal effect of refinancing into a lower-rate mortgage on borrower balance sheet outcomes. Refinancing substantially reduces borrower default rates on mortgages and ...
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 ...
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 ...
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
Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solu ...
2019
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A contactless payment lets a card holder execute payment without any interaction (e.g., entering PIN or signing) between the terminal and the card holder. Even though the security is the first priority in a payment system, the formal security model of cont ...
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 ...
