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Dynamic Valuation of Delinquent Credit-Card Accounts

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Parameter Learning in General Equilibrium: The Asset Pricing Implications

Pierre Collin Dufresne

Parameter learning strongly amplifies the impact of macroeconomic shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumpti ...

American Economic Association2016

Credit Supply and the Macroeconomy

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Supply Chain Management in Process Industries: Empirical Investigations for Commodity Markets

Philipp Urs Moser

Process industries (PI) have thrived in recent decades, but structural changes in the markets are currently putting both growth and profitability at risk. In a period of tumbling prices, supply chain management (SCM) is increasingly viewed as an essential ...

EPFL2016

Dynamic Valuation of Delinquent Credit Card Accounts

Thomas Alois Weber

This paper introduces a dynamic model of the stochastic repayment behavior exhibited by delinquent creditcard accounts. Based on this model, we construct a dynamic collectability score (DCS) that estimates the account-specific probability of collecting a g ...

INFORMS2015

Valuation of a pumped-storage hydro-plant in a multiple markets framework

Nikolaos Iliadis

There has been an evolving electricity market structure starting from the spot market and its derivatives, to several other markets such as the Intraday Market, the Balancing Market and the Reserve Capacity Market. The participation in these markets has ch ...

EPFL2015

Dynamic Valuation of Delinquent Credit-Card Accounts

Thomas Alois Weber

This paper introduces a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts. Based on this model, we construct a dynamic collectability score (DCS) which estimates the account-speciﬁc probability of collecting a ...

Management Science2015

Essays in Empirical Corporate Finance

Stefano Colonnello

This dissertation consists of three chapters. The first chapter examines whether the availability of credit default swaps (CDS) has consequences for creditor governance. CDSs offer creditors the opportunity to hedge credit risk and may impact their willing ...

EPFL2015

Financial Frictions within the Macroeconomy

Victoria Nuguer

Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Fin ...

EPFL2014

Macroeconomic conditions and a firm's investment decisions

Michi Nishihara

We propose a model of a firm's reversible investment decision with macroeconomic conditions based on optimal switching of a diffusion regime. The switching costs and the cash flow generated from the firm depend on a business cycle alternating via a Markov ...

Academic Press Inc Elsevier Science2014

INDEX OF ENERGY PRESENT VALUE: Assessment tool for energy savings and distributed energy production

Philippe Bélanger

Areas/Paper type – 08. Integration of renewable energy in the built environment, Methodology Background – Today’s simulation technology in engineering and architecture are very impressive. As a result technology developers have a good idea of the resulting ...

2013