Concept

Évaluation des risques-clients

Publications associées (23)

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

Quantitative T2 Mapping of Acute Pancreatitis

Tom Hilbert, Giulia Piazza

Background: Quantification of the T2 signal by means of T2 mapping in acute pancreatitis (AP) has the potential to quantify the parenchymal edema. Quantitative T2 mapping may overcome the limitations of previously reported scoring systems for reliable asse ...

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

Multi-time integration approach for combined pulp and ammonia production and seasonal CO2 management

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos

In this work, the gasification of the black liquor is proposed as an alternative ammonia production route. Due to the seasonal variation of the energy prices, a multi-time integration approach that combines different technologies and energy inputs is used ...

2023

Self-Exciting Point Processes: Identification and Control

Michael Mark

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 i ...

EPFL2022

Predictably Unequal? The Effects of Machine Learning on Credit Markets

Andreas Fuster

Innovations in statistical technology, in functions including credit-screening, have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater f ...

2021

Rapid Progression of Kidney Dysfunction in People Living With HIV: Use of Polygenic and Data Collection on Adverse Events of Anti-HIV Drugs (D:A:D) Risk Scores

Jacques Fellay, Christian Axel Wandall Thorball

Background In people with human immunodeficiency virus (PWH), it is unknown whether genetic background associates with rapid progression of kidney dysfunction (ie, estimated glomerular filtration rate [eGFR] decrease of >5mL/min/1.73m(2) per year for >= 3 ...

OXFORD UNIV PRESS INC2021

Monitoring of Priority Substances in Sediments of Switzerland

Florian Frédéric Vincent Breider, Benoît Jean Dominique Ferrari, Maria del Carmen Casado Martinez

In Switzerland, surface waters are protected by the Swiss Water Protection Ordinance (OEaux) which stipulates that the water quality shall be such that: "the water, suspended matter and sediments contain no persistent synthetic substances to ensure the pro ...

2020

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

Tracking and Stress-Testing U.S. Household Leverage

Andreas Fuster

Housing equity is an important component of borrowers’ wealth and a critical determinant of their vulnerability to shocks. In this article, the authors use a unique, newly created data set to analyze the evolution of household leverage—defined here as the ...

2018

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