Publications associées à Tableau de financement

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

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 ...

EPFL2021

Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)

Jiahua Xu

Due to its enormous size and capital base, the insurance industry has the potential to play a key role in countering climate change. To this end, the major capital flows associated with its investment and underwriting businesses would need to be redirected ...

PALGRAVE MACMILLAN LTD2019

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Replicating portfolio approach to capital calculation

Mathieu Jacques David Cambou, Damir Filipovic

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...

2018

Dynamic Product Portfolio Management with Life Cycle Considerations

Ralf Seifert, Jean-Sébastien Tancrez, Isik Bicer

We consider a portfolio of products in which each product probabilistically transitions through various life cycle stages. The evolution through these life cycle stages is impacted by both marketing support and product launch decisions, which are bound by ...

2016

On The Number Of Ordinary Conics

Frank de Zeeuw, Adrian Claudiu Valculescu

We prove a lower bound on the number of ordinary conics determined by a finite point set in R-2. An ordinary conic for S subset of R-2 is a conic that is determined by five points of S and contains no other points of S. Wiseman and Wilson proved the Sylves ...

SIAM Publications2016

Distinct Values Of Bilinear Forms On Algebraic Curves

Frank de Zeeuw, Adrian Claudiu Valculescu

Let B-M : C x C -> C be a bilinear form B-M(p, q) - p(T)Mq, with an invertible matrix M is an element of C-2x2. We prove that any finite set S contained in an irreducible algebraic curve C of degree d in C determines Omega(d)(vertical bar S vertical bar(4/ ...

Univ Calgary, Dept Math & Statistics2016

Remarks on Schur's conjecture

János Pach, Filip Moric

Let P be a set of n > d points in for d >= 2. It was conjectured by Zvi Schur that the maximum number of (d-1)-dimensional regular simplices of edge length diam(P), whose every vertex belongs to P, is n. We prove this statement under the condition that any ...

Elsevier Science Bv2015

Macroeconomic conditions and a firm's investment decisions

Michi Nishihara

We propose a model of a firm's reversible investment decision with macroeconomic conditions based on optimal switching of a diffusion regime. The switching costs and the cash flow generated from the firm depend on a business cycle alternating via a Markov ...

Academic Press Inc Elsevier Science2014

Role of high-order electromechanical coupling terms in thermodynamics of ferroelectric thin films

Alexander Tagantsev, Alexander Kvasov

Currently used methods for the description of thermodynamics of ferroelectric thin films (Landau theory or ab initio based Monte Carlo simulations) are based on an energy expansion in terms of internal degrees of freedom. It was shown that these methods ca ...

American Physical Society2013