Concept

Risk premium

Related publications (130)

Essays in macro-finance and deep learning

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large r ...

EPFL2023

Bayes Security: A Not So Average Metric

Carmela González Troncoso, Giovanni Cherubin

Security system designers favor worst-case security metrics, such as those derived from differential privacy (DP), due to the strong guarantees they provide. On the downside, these guarantees result in a high penalty on the system's performance. In this pa ...

IEEE2023

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Combining European and US risk prediction models with polygenic risk scores to refine cardiovascular prevention: the CoLaus|PsyCoLaus Study

Jacques Fellay, Christian Axel Wandall Thorball, Stéphane Fournier, Roxane De La Harpe

Lay Summary The aim of this study is to determine whether using polygenic risk scores improves the prediction of atherosclerotic cardiovascular disease risk when combined with clinical scores currently recommended by European and US guidelines on cardiovas ...

OXFORD UNIV PRESS2023

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 . ...

Berlin2023

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

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

Essays 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 ...

EPFL2021

Genetic 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

Epidemic mitigation by statistical inference from contact tracing data

Florent Gérard Krzakala, Lenka Zdeborová, Maria Refinetti, Indaco Biazzo, Giovanni Catania

Contact tracing is an essential tool to mitigate the impact of a pandemic, such as the COVID-19 pandemic. In order to achieve efficient and scalable contact tracing in real time, digital devices can play an important role. While a lot of attention has been ...

2021

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