Concept

Risque de liquidité

Publications associées (49)

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Instrumented Shoes for Real-Time Activity Monitoring Applications

Kamiar Aminian, Anisoara Ionescu, Christopher Moufawad El Achkar

Activity monitoring in daily life is gaining momentum as a health assessment tool, especially in older adults and at-risk populations. Several research-based and commercial systems have been proposed with varying performances in classification accuracy. Co ...

Ios Press2016

Instrumented Shoes for Real-Time Activity Monitoring Applications

Kamiar Aminian, Anisoara Ionescu, Christopher Moufawad El Achkar

IOS Press2016

The Euro Interbank Repo Market

Loriano Mancini, Angelo Ranaldo

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and compre ...

Oxford University Press2016

On Bounding Credit-Event Risk Premia

Pierre Collin Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...

Oxford University Press2015

On Bounding Credit-Event Risk Premia

Pierre Collin Dufresne

2015

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...

EPFL2015

Credit market frictions and capital structure dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2015

Foldable and Self-Deployable Pocket Sized Quadrotor

Dario Floreano, Stefano Mintchev, Ludovic Daler, Géraud L'Eplattenier, Louis Lazare Saint-Raymond

Aerial robots provide valuable support in several high-risk scenarios thanks to their capability to quickly fly to locations dangerous or even inaccessible to humans. In order to fully benefit from these features, aerial robots should be easy to transport ...

2015

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Loriano Mancini, Angelo Ranaldo

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...

Wiley-Blackwell2013

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013