Concept

Systematic risk

Publications associées (39)

Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

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

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 a ...

EPFL2021

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018

Asset Pricing When 'This Time Is Different'

Pierre Collin Dufresne

Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenou ...

Oxford Univ Press Inc2017

Essays in Bank Financing

Yalda Sigrist

This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...

EPFL2017

Pesticides drive risk of micropollutants in wastewater-impacted streams during low flow conditions

Juliane Hollender

Micropollutants enter surface waters through various pathways, of which wastewater treatment plants (WWTPs) are a major source. The large diversity of micropollutants and their many modes of toxic action pose a challenge for assessing environmental risks. ...

Pergamon-Elsevier Science Ltd2017

Event risk, contingent claims and the temporal resolution of uncertainty

Pierre Collin Dufresne, Julien Hugonnier

We study the pricing and hedging of contingent claims that are subject to Event Risk which we define as rare and unpredictable events whose occurrence may be correlated to, but cannot be hedged perfectly with standard marketed instruments. The super-replic ...

Springer2014

Design of a diversion structure for the management of residual risks using physical model tests

Giovanni De Cesare, Raphaël Sprenger, Antoine Magnollay

As revitalization and protection against floods are essential in our time, the town of Delémont in Switzerland has set up a major project named “Delémont Marée Basse”. Part of the project, the residual risk plans to be managed by a lateral overflow bypassi ...

CRC Press/Balkema2014

Integrated flood forecasting and management system in a complex catchment area in the Alps—implementation of the MINERVE project in the Canton of Valais

Javier García Hernández, Bastien Roquier

A complex hydrologic-hydraulic model has been developed for the Upper Rhone River basin in Switzerland. It is currently operational in the Canton of Valais for real-time flood forecasting and management, providing automatic warnings to the crisis cell of t ...

2014

Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

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