Publication

Leaning Against Boom-Bust Cycles in Credit and Housing Prices

Distributionally Robust Linear Quadratic Control

Daniel Kuhn, Bahar Taskesen, Cagil Kocyigit

Linear-Quadratic-Gaussian (LQG) control is a fundamental control paradigm that is studied in various fields such as engineering, computer science, economics, and neuroscience. It involves controlling a system with linear dynamics and imperfect observations ...

2023

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 ...

ELSEVIER2022

Monetary Independence And Rollover Crises

Jorge Mondragon Minero

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

OXFORD UNIV PRESS INC2022

Optimal Combination Policies For Adaptive Social Learning

Virginia Bordignon, Ping Hu, Stefan Vlaski

This paper investigates the effect of combination policies on the performance of adaptive social learning in non-stationary environments. By analyzing the relation between the error probability and the underlying graph topology, we prove that in the slow a ...

IEEE2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

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 Unconv ...

EPFL2022

Optimization and equilibrium problems with discrete choice models

Stefano Bortolomiol

Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...

EPFL2022

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

The Economics of Incomplete Plan - on Conditions, Procedures and Design of Future Mission - Oriented Innovation Policies

Dominique Foray

The buzzword in industrial policy and innovation policy circles is mission-oriented innovation policy (MOIP) -which means a policy to encourage innovation intended to accomplish a certain missionwhether it be a societal challenge (climate change, global he ...

INST ESTUDIOS FISCALES2022

Environmental policies: designing acceptable road pricing and voluntary waste sorting schemes

Linda Melina Tesauro

Growing urban population implies many challenges for the municipalities in terms of mobility, housing, waste management or infrastructures. Public policies are thus needed to ensure a sustainable development. The main objective of this thesis is to analyze ...

EPFL2022

Use of space analog missions as an educational tool in primary schools

Volker Gass

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 LTD2022