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Publications associées (331)

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Sentiment, Asset Prices, and Systemic Risk

Loriano Mancini, Giovanni Barone-Adesi

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...

Cambridge University Press2012

On the vulnerability Analysis against IEMI

Marcos Rubinstein, Nicolas Mora Parra, Gaspard Lugrin

Vulnerability is estimated in terms of the effects that IEMI may induce to the services provided by the facility under study. We estimate the vulnerability by considering three variables: the likelihood, the risk, and the hardness. The different parameters ...

2012

Seismic risk for existing buildings in Switzerland-development of fragility curves for masonry buildings

Pierino Lestuzzi, Amin Karbassi

Seismic verification of existing buildings in Switzerland is currently assessed by the pre-standard 2018. In the seismic evaluation of existing buildings in that document, a minimal acceptable seismic safety must be verified, as well as proportional level ...

2012

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

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 “contagious” response of the market po ...

Columbia Business School2012

Risk analysis in research environment

Thierry Meyer, Amela Groso, Aristide Ramondgwendé Ouédraogo

Available risk analysis techniques are well adapted to industry since they were developed for its purpose. All hazards met in industry are also present in research/academia (although quantities of some hazardous substances are smaller). Still, because of i ...

2012

Multi-resource allocation in stochastic project scheduling

Daniel Kuhn, Wolfram Wiesemann

We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...

2012

Assessment of Environmental Impacts Related to Shale Gas Extraction in the Polish Contex

Nicolas Füllemann

In the last decade, the exponential development of shale gas activities in United States resulted in a real revolution both in terms of gas prices and energy security. However, next to these positive effects, many risks and impacts for the environment and ...

2012

Evaluation of Accelerometer-Based Fall Detection Algorithms on Real-World Falls

Kamiar Aminian

Despite extensive preventive efforts, falls continue to be a major source of morbidity and mortality among elders. Real-time detection of falls and their urgent communication to a telecare center may enable rapid medical assistance, thus increasing the sen ...

Public Library of Science2012

Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

Daniel Kuhn

The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...

Elsevier2012