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Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market po ...
We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...
This paper proposes a broad review of what risk governance is about and the main deficits that often hinder effective governance of complex, uncertain or systemic risks. Working to overcome identified roadblocks to effective disaster risk management is a f ...
Rapid mass movements (RMM) pose a substantial risk to people and infrastructure. Reliable and cost-efficient measures have to be taken to reduce this risk. One of these measures includes establishing and advancing the State of Practice in the application o ...
This article sheds light on how industry fluctuations affect firms' propensity to innovate. We test two seemingly conflicting arguments that suggest how firms are more or less inclined to engage in innovation activities during industry fluctuations. By stu ...
Background: Fluorescence loss in photobleaching (FLIP) is a widely used imaging technique, which provides information about protein dynamics in various cellular regions. In FLIP, a small cellular region is repeatedly illuminated by an intense laser pulse, ...
We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...
The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...
Vulnerability is estimated in terms of the effects that IEMI may induce to the services provided by the facility under study. We estimate the vulnerability by considering three variables: the likelihood, the risk, and the hardness. The different parameters ...