Quadratic Term Structure Models for Risk-Free and Defaultable Rates
Graph Chatbot
Chattez avec Graph Search
Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.
AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.
We present a theoretical investigation into the use of normalised artificial neural network (ANN) outputs in the context of hidden Markov models (HMMs). The work is motivated by the pursuit of a more theoretically rigorous understanding of the Kullback-Lie ...
This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...
We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermedi ...
Digital holographic interferometry (DHI) involves multi-directional illumination of an object to measure the in-plane and out-of plane displacements simultaneously. This results in multiple interference phases which have to be reliably estimated. The paper ...
We study annihilating polynomials and annihilating ideals for elements of Witt rings for groups of exponent 2. With the help of these results and certain calculations involving the Clifford invariant, we are able to give full sets of generators for the ann ...
Structural models of default calibrated to historical default rates, recovery rates, and Sharpe ratios typically generate Baa-Aaa credit spreads that are significantly below historical values. However, this "credit spread puzzle" can be resolved if one acc ...
This paper presents a finite capacity queueing network model to evaluate congestion in protein synthesis networks. These networks are modeled as single server bufferless queues in a tandem topology. The model approximates the marginal stationary distributi ...
