Publications associées à Risque de crédit

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Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

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Autoantibodies against type I IFNs in humans with alternative NF-κB pathway deficiency

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Patients with autoimmune polyendocrinopathy syndrome type 1 (APS-1) caused by autosomal recessive AIRE deficiency produce autoantibodies that neutralize type I interferons (IFNs) 1,2 , conferring a predisposition to life-threatening COVID-19 pneumonia 3 . ...

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Spatial Distributions of Diarrheal Cases in Relation to Housing Conditions in Informal Settlements: A Cross-Sectional Study in Abidjan, Côte d’Ivoire

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In addition to individual practices and access to water, sanitation, and hygiene (WASH) facilities, housing conditions may also be associated with the risk of diarrhea. Our study embraced a broad approach to health determinants by looking at housing depriv ...

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A contagion process with self-exciting jumps in credit risk applications

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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 ...

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Predicting the stressed expected loss of large US banks

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We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

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This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...

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This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

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This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers. In the first paper, we address the challenge of robust ...

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A Generic Methodology for Calculating Rescheduling Time for Multiple Unexpected Events in the Era of Zero Defect Manufacturing

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Nowadays, the manufacturing industry is constantly changing. Production systems must operate in a highly dynamic environment where unexpected events could occur and create disruption, making rescheduling inevitable for manufacturing companies. Rescheduling ...

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