Publication

Corporate Finance, Asset Returns, and Credit Risk

Publications associées (28)

Essays in macro-finance and deep learning

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large ...

EPFL2023

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

EPFL2023

Dynamic pulse scheduling in ASDEX Upgrade: Disruption avoidance and investigation of the H-Mode density limit

Federico Alberto Alfredo Felici, Alessandro Pau, Bernhard Sieglin

Operation of a tokamak device requires the coordinated operation of a multitude of systems. The sequence of operations during a discharge is both too complex and fast for human interaction. A common way of operation is a predefined sequence of operations w ...

2023

Relating health benefits of water, sanitation, and hygiene services with the context of urban informal settlements: lessons from Côte d'Ivoire and Kenya

Vitor Pessoa Colombo

This thesis is inscribed in the recent efforts to reconnect urban planning and public health. It focused on the context of sub-Saharan African cities, for they offer invaluable lessons regarding environmental health determinants and potential solutions to ...

EPFL2023

Surrogate modelling for seismic collapse risk assessment of steel moment resisting frames

Dimitrios Lignos, Andronikos Skiadopoulos, Nenad Bijelic

With the overall goal of reducing the numerical burden of uncertainty quantification involved in seismic risk assessments, this paper examines opportunities for assessment of seismic collapse capacity and risk using data-driven surrogates as a complement t ...

2023

Associations of genetic and infectious risk factors with coronary heart disease

Jacques Fellay, Flavia Aurelia Shoko Hodel, Christian Axel Wandall Thorball, Zhi Ming Xu, Roxane De La Harpe

Coronary heart disease (CHD) is one of the most pressing health problems of our time and a major cause of preventable death. CHD results from complex interactions between genetic and environmental factors. Using multiplex serological testing for persistent ...

eLIFE SCIENCES PUBL LTD2023

Financial Risk Management with Machine Learning

Marc-Aurèle Antoine Divernois

This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...

EPFL2022

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

TAYLOR & FRANCIS LTD2022