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We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population dis ...
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 ...
In this dissertation, I develop theory and evidence to argue that new technologies are central to how firms organize to create and capture value. I use computational methods such as reinforcement learning and probabilistic topic modeling to investigate thr ...
This article assesses the risk-risk trade-off between privacy and efficacy that the use of contact tracing apps entails. It argues for the use of privacy-preserving apps, but highlights potential weaknesses and cautions against allowing digital tracing to ...
The effects of solar ultraviolet (UV) radiation on life on Earth differ greatly. While overexposure to UV rays is harmful, small amounts of exposure are necessary for the synthesis of Vitamin D and good health. To optimize individual exposure to solar UV, ...
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
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We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...
ELSEVIER SCIENCE SA2020
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This paper presents a flexible and grid code complying operation of the matrix modular multilevel converter used in a variable speed drive pumped hydro storage power plants. A hardware-in-the-loop platform, where the control algorithm is deployed on the AB ...
2022
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Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem parameters affec ...
2022
Most efforts to understand snakebite burden in Nepal have been localized to relatively small areas and focused on humans through epidemiological studies. We present the outcomes of a geospatial analysis of the factors influencing snakebite risk in humans a ...
