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Risque de crédit

Publications associées (103)

Collision risk from space debris. Policy options

Improving risk assessment and conducting thorough cost-benefit analyses of the different proposed management options are of paramount importance to making informed decisions. However, getting a comprehensive picture of a complex, ambiguous and uncertain ri ...

EPFL International Risk Governance Center2021

Socioeconomically Disadvantaged Neighborhoods Face Increased Persistence of SARS-CoV-2 Clusters

Stéphane Joost, Idris Guessous, David Nicolas De Ridder

Objective: To investigate the association between socioeconomic deprivation and the persistence of SARS-CoV-2 clusters. Methods: We analyzed 3,355 SARS-CoV-2 positive test results in the state of Geneva (Switzerland) from February 26 to April 30, 2020. We ...

FRONTIERS MEDIA SA2021

The Pass-through of Bank Capital Requirements to Corporate Lending Spreads

Abhik Mukherjee

We study the impact of higher bank capital requirements on corporate lending spreads using granular bank- and loan-level data. Our empirical strategy employs the heterogeneity in capital requirements across banks and time of implementation in Switzerland. ...

2021

Short-term debt and incentives for risk-taking

Erwan Morellec, Francesca Maria Zucchi

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

Covid-19 contact tracing: efficacy and privacy

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 ...

EPFL2020

Competitive Neural Layer-based Method to Identify People with High Risk for Diabetic Foot

André Anjos

Background and objective: To automatically identify patients with diabetes mellitus (DM) who have high risk of developing diabetic foot, via an unsupervised machine learning technique. Methods: We collected a new database containing 54 known risk factors f ...

2020

Analysis of volumetric mass transfer coefficient (k(L)a) in small- (250 mL) to large-scale (2500 L) orbitally shaken bioreactors

Florian Maria Wurm, David Hacker, Likuan Zhu

In this study, the combination of dimensional analysis (DA) and analysis of variance (ANOVA) was used to predict the volumetric mass transfer coefficient (k(L)a) values under different operating conditions for orbitally shaken bioreactors (OSRs) with diffe ...

SPRINGER HEIDELBERG2020

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

Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2019

Improved Credit Bounds for the Credit-Based Shaper in Time-Sensitive Networking

Jean-Yves Le Boudec, Eleni Stai, Ehsan Mohammadpour

In Time-Sensitive Networking (TSN), it is important to formally prove per-flow latency and backlog bounds. To this end, recent works have applied network calculus and obtained latency bounds from service curves. The latency component of such service curves ...

2019

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