Concept
Credit risk
Related publications (103)
Autoantibodies against type I IFNs in humans with alternative NF-κB pathway deficiency
Jacques Fellay, Christian Axel Wandall Thorball, Alessandro Borghesi, Yu Zhang, Peng Zhang, Qian Zhang
Patients with autoimmune polyendocrinopathy syndrome type 1 (APS-1) caused by autosomal recessive AIRE deficiency produce autoantibodies that neutralize type I interferons (IFNs) 1,2 , conferring a predisposition to life-threatening COVID-19 pneumonia 3 . ...
Berlin2023Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Impact of Video Processing Operations in Deepfake Detection
The detection of digital face manipulation in video has attracted extensive attention due to the increased risk to public trust. To counteract the malicious usage of such techniques, deep learning-based deepfake detection methods have been developed and ha ...
2023A contagion process with self-exciting jumps in credit risk applications
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 LTD2022Predicting the stressed expected loss of large US banks
Eric Jondeau, Amir Hossein Khalilzadeh Naghneh
We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...
ELSEVIER2022Financial Risk Management with Machine Learning
This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...
EPFL2022Effects of Degrees of Freedom on Calculating Diffusion Properties in Nanoporous Materials br
Berend Smit, Raffaela Cabriolu, Henglu Xu
If one carries out a molecular simulation ofNparticlesusing periodic boundary conditions, linear momentum is conserved,and hence, the number of degrees of freedom is set to 3N-3. Inmost programs, this number of degrees of freedom is the defaultsetting. How ...
AMER CHEMICAL SOC2022Essays in Banking and Financial Regulation
Susanne Johanna Petronella Léonie Vissers
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
EPFL2021A Generic Methodology for Calculating Rescheduling Time for Multiple Unexpected Events in the Era of Zero Defect Manufacturing
Dimitrios Kyritsis, Xiaochen Zheng, Foivos Psarommatis Giannakopoulos
Nowadays, the manufacturing industry is constantly changing. Production systems must operate in a highly dynamic environment where unexpected events could occur and create disruption, making rescheduling inevitable for manufacturing companies. Rescheduling ...
2021Genetic variation near CXCL12 is associated with susceptibility to HIV-related non-Hodgkin lymphoma
Jacques Fellay, Christian Axel Wandall Thorball, Christian Hammer
Human immunodeficiency virus (HIV) infection is associated with an increased risk of non-Hodgkin lymphoma (NHL). Even in the era of suppressive antiretroviral treatment, HIV-infected individuals remain at higher risk of developing NHL compared to the gener ...
FERRATA STORTI FOUNDATION2021