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Concept

Credit risk

Related publications (28)

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

2023

Autoantibodies against type I IFNs in humans with alternative NF-κB pathway deficiency

Jacques Fellay, Christian Axel Wandall Thorball, Alessandro Borghesi

Patients with autoimmune polyendocrinopathy syndrome type 1 (APS-1) caused by autosomal recessive AIRE deficiency produce autoantibodies that neutralize type I interferons (IFNs) 1,2 , conferring a predisposition to life-threatening COVID-19 pneumonia 3 . ...

Nature Portfolio2023

Spatial Distributions of Diarrheal Cases in Relation to Housing Conditions in Informal Settlements: A Cross-Sectional Study in Abidjan, Côte d’Ivoire

Jérôme Chenal, Vitor Pessoa Colombo, Jürg Utzinger

In addition to individual practices and access to water, sanitation, and hygiene (WASH) facilities, housing conditions may also be associated with the risk of diarrhea. Our study embraced a broad approach to health determinants by looking at housing depriv ...

2023

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

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

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

Monetary Independence And Rollover Crises

Jorge Mondragon Minero

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

OXFORD UNIV PRESS INC2022

Self-Exciting Point Processes: Identification and Control

Michael Mark

This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers. In the first paper, we address the challenge of robust ...

EPFL2022

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

Genetic variation near CXCL12 is associated with susceptibility to HIV-related non-Hodgkin lymphoma

Jacques Fellay, Christian Hammer, Christian Axel Wandall Thorball

Human immunodeficiency virus (HIV) infection is associated with an increased risk of non-Hodgkin lymphoma (NHL). Even in the era of suppressive antiretroviral treatment, HIV-infected individuals remain at higher risk of developing NHL compared to the gener ...

FERRATA STORTI FOUNDATION2021

Developing a UV climatology for public health purposes using satellite data

Athanasios Nenes, David Vernez

The effects of solar ultraviolet (UV) radiation on life on Earth differ greatly. While overexposure to UV rays is harmful, small amounts of exposure are necessary for the synthesis of Vitamin D and good health. To optimize individual exposure to solar UV, ...

2021

Epidemic mitigation by statistical inference from contact tracing data

Lenka Zdeborová, Florent Gérard Krzakala, Maria Refinetti, Indaco Biazzo

Contact tracing is an essential tool to mitigate the impact of a pandemic, such as the COVID-19 pandemic. In order to achieve efficient and scalable contact tracing in real time, digital devices can play an important role. While a lot of attention has been ...

National Academy of Sciences2021

Short-term debt and incentives for risk-taking

Erwan Morellec, Francesca Maria Zucchi

We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...

ELSEVIER SCIENCE SA2020

Covid-19 contact tracing: efficacy and privacy

Aengus Killian Collins

This article assesses the risk-risk trade-off between privacy and efficacy that the use of contact tracing apps entails. It argues for the use of privacy-preserving apps, but highlights potential weaknesses and cautions against allowing digital tracing to ...

EPFL2020

Competitive Neural Layer-based Method to Identify People with High Risk for Diabetic Foot

André Anjos

Background and objective: To automatically identify patients with diabetes mellitus (DM) who have high risk of developing diabetic foot, via an unsupervised machine learning technique. Methods: We collected a new database containing 54 known risk factors f ...

2020

Analysis of volumetric mass transfer coefficient (k(L)a) in small- (250 mL) to large-scale (2500 L) orbitally shaken bioreactors

Florian Maria Wurm, David Hacker

In this study, the combination of dimensional analysis (DA) and analysis of variance (ANOVA) was used to predict the volumetric mass transfer coefficient (k(L)a) values under different operating conditions for orbitally shaken bioreactors (OSRs) with diffe ...

SPRINGER HEIDELBERG2020

The CDS-bond basis

Pierre Collin-Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2020

Improved Credit Bounds for the Credit-Based Shaper in Time-Sensitive Networking

Jean-Yves Le Boudec, Eleni Stai, Ehsan Mohammadpour

In Time-Sensitive Networking (TSN), it is important to formally prove per-flow latency and backlog bounds. To this end, recent works have applied network calculus and obtained latency bounds from service curves. The latency component of such service curves ...

2019

The sources of sovereign risk: a calibration based on Levy stochastic processes

Sylvain Jean Pascal Carré

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019