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

Related publications (30)

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

2024

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin-Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Greening the Swiss National Bank's Portfolio

Rüdiger Fahlenbrach, Eric Jondeau

Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

OXFORD UNIV PRESS2023

Challenging the Assumptions: Rethinking Privacy, Bias, and Security in Machine Learning

Bogdan Kulynych

Predictive models based on machine learning (ML) offer a compelling promise: bringing clarity and structure to complex natural and social environments. However, the use of ML poses substantial risks related to the privacy of their training data as well as ...

EPFL2023

Bayes Security: A Not So Average Metric

Carmela González Troncoso, Giovanni Cherubin

Security system designers favor worst-case security metrics, such as those derived from differential privacy (DP), due to the strong guarantees they provide. On the downside, these guarantees result in a high penalty on the system's performance. In this pa ...

IEEE2023

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

A landmark environmental law looks ahead

Devis Tuia

In late December 1973, the United States enacted what some would come to call “the pitbull of environmental laws.” In the 50 years since, the formidable regulatory teeth of the Endangered Species Act (ESA) have been credited with considerable successes, ob ...

American Association for the Advancement of Science2023

Numerical simulation of the fate, transport and public health risks of enteric viruses in Lake Geneva

Chaojie Li

Lakes are a fundamental feature of nature with brilliance, profoundness and complexity. Various of physical, chemical and biological changes take place three dimensionally in deep lakes, regulated by complicated boundary conditions. To understand and predi ...

EPFL2023

Peak Value-at-Risk Estimation for Stochastic Differential Equations using Occupation Measures

Matteo Raphael Tacchi

This paper proposes an algorithm to upper-bound maximal quantile statistics of a state function over the course of a Stochastic Differential Equation (SDE) system execution. This chance-peak problem is posed as a nonconvex program aiming to maximize the Va ...

IEEE2023

Predicting the stressed expected loss of large US banks

Amir Hossein Khalilzadeh Naghneh, Eric Jondeau

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

Multi-Level Monte Carlo Methods for Uncertainty Quantification and Risk-Averse Optimisation

Sundar Subramaniam Ganesh

This work aims to study the effects of wind uncertainties in civil engineering structural design. Optimising the design of a structure for safety or operability without factoring in these uncertainties can result in a design that is not robust to these per ...

EPFL2022

Le dehors de toute fête : une sociologie urbaine de la sécurité au Montreux Jazz Festival

Lucien Jean Delley

This thesis is the result of four years of investigation carried out as « security coordinator » of the Monteux Jazz Festival. From this operational commitment, I sought to understand : how the festival is integrated into the city ; what affects the safety ...

EPFL2022

Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method

Fabio Nobile, Sundar Subramaniam Ganesh

In this work, we tackle the problem of minimising the Conditional-Value-at-Risk (CVaR) of output quantities of complex differential models with random input data, using gradient-based approaches in combination with the Multi-Level Monte Carlo (MLMC) method ...

2023

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

Crash test-based assessment of injury risks for adults and children when colliding with personal mobility devices and service robots

Aude Billard, Diego Felipe Paez Granados

Autonomous mobility devices such as transport, cleaning, and delivery robots, hold a massive economic and social benefit. However, their deployment should not endanger bystanders, particularly vulnerable populations such as children and older adults who ar ...

Nature Publishing Group2022

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Kai Ren, Maryam Kamgarpour

We tackle safe trajectory planning under Gaussian mixture model (GMM) uncertainty. Specifically, we use a GMM to model the multimodal behaviors of obstacles' uncertain states. Then, we develop a mixed-integer conic approximation to the chance-constrained t ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2022

Quantifying uncertain system outputs via the multi-level Monte Carlo method --- distribution and robustness measures

Fabio Nobile, Sebastian Krumscheid, Sundar Subramaniam Ganesh, Quentin Olivier Martin Ayoul--Guilmard

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential models by the MLM ...

2023

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

Functional registration and local variations: Identifiability, rank, and tuning

Victor Panaretos, Anirvan Chakraborty

We develop theory and methodology for the problem of nonparametric registration of functional data that have been subjected to random deformation (warping) of their time scale. The separation of this phase variation ("horizontal" variation) from the amplit ...

2021