MOOC
Interest Rate Models
Related publications (186)
Predicting 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 ...
ELSEVIER2022Illiquidity 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 INC2022Integrated production of chemicals and fuels in the pulp industry: techno-economic and environmental analysis of black liquor gasification-based processes
François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos
The pulp and paper sector is classified as an energy intensive activity and several efforts are being made to mitigate its atmospheric emissions, improve the recovery of residual heat and capitalize on its byproducts. The black liquor (BL) is a byproduct o ...
2022Essays in Monetary Policy and Asset Pricing
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
EPFL2022Covariance Estimation for Random Surfaces beyond Separability
This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and comp ...
EPFL2022Essays in Empirical Asset Pricing
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
EPFL2022Inference and Computation for Sparsely Sampled Random Surfaces
Victor Panaretos, Tomas Rubin, Tomas Masák
Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...
TAYLOR & FRANCIS INC2022Use of space analog missions as an educational tool in primary schools
Space exploration is a field that inspires a wide range of people, from children to university students, including the general public. With a return to the Moon planned for 2024 and the rapid expansion of the private industry, educating the next generation ...
PERGAMON-ELSEVIER SCIENCE LTD2022The Price of Distributed: Rate Loss in the CEO Problem
Michael Christoph Gastpar, Alper Köse, Ahmet Arda Atalik
In the distributed remote (CEO) source coding problem, many separate encoders observe independently noisy copies of an underlying source. The rate loss is the difference between the rate required in this distributed setting and the rate that would be requi ...
2022Rate-dependent model for simulating the hysteretic behavior of low-yield stress buckling-restrained braces under dynamic excitations
Buckling-restrained braces (BRBs) are often idealized with rate-independent simulation models. However, under dynamic loading, BRBs featuring low-yield point steel exhibit rate-dependency that may lead to appreciable amplifications of the BRB forces. This ...
ELSEVIER SCI LTD2021