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Essays in Banking and Financial Regulation

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Using automated design appraisal to model building-specific devaluation risk due to land-use change

Adam Robert Swietek

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

2024

Asset life, leverage, and debt maturity matching

Erwan Morellec, Jakub Hajda

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Lausanne2024

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

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

Greening the Swiss National Bank's Portfolio

Rüdiger Fahlenbrach, Eric Jondeau

Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

OXFORD UNIV PRESS2023

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

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

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

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

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