Publication
Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment
Publications associées (38)
Financial Stability and the Macroeconomy
The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...
EPFL2018Sum-Rate Capacity for Symmetric Gaussian Multiple Access Channels with Feedback
Michael Christoph Gastpar, Erixhen Sula
The feedback sum-rate capacity is established for the symmetric three-user Gaussian multiple-access channel (GMAC). The main contribution is a converse bound that combines the dependence-balance argument of Hekstra and Willems (1989) with a variant of the ...
2018Essays in Financial Economics
Christoph Helmut Peter Herpfer
This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...
EPFL2017Linear-Rational Term Structure Models
Damir Filipovic, Martin Larsson
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...
Wiley2017Credit Supply and the Macroeconomy
The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...
EPFL2016Developing Offer Curves for an Electric Railway Company in Reserve Markets Based on Robust Energy and Reserve Scheduling
Mokhtar Bozorg, Ali Ahmadi Khatir
This paper proposes an appropriate offering strategy method for an electric railway company (ERC) to participate in reserve markets. In this respect, first the problem of energy and reserve scheduling for the ERC is modeled in a deterministic way. Next, a ...
Ieee-Inst Electrical Electronics Engineers Inc2016Polynomial diffusions and applications in finance
Damir Filipovic, Martin Larsson
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...
Springer Verlag2016Economical Analysis of a Pressurized Fluid-Based Process Applied for Phytochemicals Recovery in a Sustainable Biorefinery Concept for Brazilian Ginseng Roots
A growing number of technologies are being developed in order to produce different high added value products, such as phytochemicals, ethanol and other chemicals from biomass, representing an important trend that needs to be evaluated. The use of pressuriz ...
Aidic Servizi Srl2016