Catégorie

Financial economics

Publications associées (576)

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Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2019

Understanding Mortgage Spreads

Andreas Fuster

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and ...

2019

Engineering and integration risks arising from advanced magnetic divertor configurations

Holger Reimerdes, Seungkyu Ha

The divertor configuration defines the power exhaust capabilities of DEMO as one of the major key design parameters and sets a number of requirements on the tokamak layout, including port sizes, poloidal field coil positions, and size of toroidal field coi ...

ELSEVIER SCIENCE SA2019

Defossilize Switzerland Yes we can

François Maréchal

With the help of thermodynamics and system engineering techniques, we will discuss options to make a country like Switzerland 100% renewable and even negative in carbon dioxide emissions. ...

2019

Wind Energy Prediction in Highly Complex Terrain by Computational Fluid Dynamics

Fernando Porté Agel, Jiannong Fang, Daniel Jacob Tabas

With rising levels of wind power penetration in global electricity production, the relevance of wind power prediction is growing. More accurate forecasts reduce the required total amount of energy reserve capacity needed to ensure grid reliability and the ...

2019

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Carbon neutral expansion of oil palm plantations in the Neotropics

Alexandre Buttler, Thomas Guillaume, Juan Carlos Quezada Rivera

Alternatives to ecologically devastating deforestation land use change trajectories are needed to reduce the carbon footprint of oil palm (OP) plantations in the tropics. Although various land use change options have been proposed, so far, there are no emp ...

American Association for the Advancement of Science (AAAS)2019

Upstream Erosion and Sediment Passage at Piano Key Weirs

Anton Schleiss, Michael Pfister, Ivan Stojnic

Piano key weirs (PKWs) are a weir type characterized by an effective rating curve. Accordingly, this control structure is primarily applied at dams to increase the spillway capacity. In recent years, PKWs also have been implemented in rivers combined with ...

2019

Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)

Jiahua Xu

Due to its enormous size and capital base, the insurance industry has the potential to play a key role in countering climate change. To this end, the major capital flows associated with its investment and underwriting businesses would need to be redirected ...

PALGRAVE MACMILLAN LTD2019

Find your way around the various flexibility mechanisms under the European burden-sharing

Marc Vielle

In July 2016, the European Commission presented its proposal for a regulation to reduce greenhouse gases emissions in sectors not covered by the emissions trading system with regard to post-2020 binding targets. The proposal extends the burden-sharing fram ...

2019