Concept

Notation financière

Publications associées (40)

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Hoboken2024

A landmark environmental law looks ahead

Devis Tuia

In late December 1973, the United States enacted what some would come to call “the pitbull of environmental laws.” In the 50 years since, the formidable regulatory teeth of the Endangered Species Act (ESA) have been credited with considerable successes, ob ...

2023

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

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...

EPFL2021

Does It Pay to Do Novel Science? The Selectivity Patterns in Science Funding

Fabiana Visentin, Charles Chadi Ayoubi, Michele Pezzoni

Public funding agencies aim to fund novel breakthrough research to promote the radical scientific discoveries of tomorrow. Identifying the profiles of scientists being financed to pursue their research is therefore crucial. This paper shows that the fundin ...

OXFORD UNIV PRESS2021

Tackling Peer-to-Peer Discrimination in the Sharing Economy

Boi Faltings, Naman Goel, Maxime Rutagarama

Sharing economy platforms such as Airbnb and Uber face a major challenge in the form of peer-to-peer discrimination based on sensitive personal attributes such as race and gender. As shown by a recent study under controlled settings, reputation systems can ...

ACM2020

The sources of sovereign risk: a calibration based on Levy stochastic processes

Sylvain Jean Pascal Carré, Daniel Cohen

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019

The CDS-bond basis

Pierre Collin Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

Morphology and interfacial strength of nonisothermally fusion bonded hard and soft thermoplastics

Pierre-Etienne Bourban, Rajasundar Chandran

Nonisothermally fusion bonded butt joints were prepared by overmolding thermoplastic elastomers (TPEs) onto isotactic polypropylene (iPP) inserts in order to investigate the effect of processing conditions on the bond strength and interfacial microstructur ...

2018

3 steps to reuse published content in your thesis

Raphaël Grolimund

3 steps to know if you can reuse published content in your thesis, who to contact to do so and how credit that in your thesis ...

2017

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