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Publications associées (28)

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Optimizing the trade-off between performance measures and operational risk in a food supply chain environment

Philippe Wieser, Nicolas Zufferey, Simone Lydia Voldrich

In the context of a growing world population and the need to use limited resources responsibly, this study is motivated by the increasing pressures on the food industry, which include issues of food security, safety, and waste. In the context of a global f ...

SPRINGER2020

Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)

Jiahua Xu

Due to its enormous size and capital base, the insurance industry has the potential to play a key role in countering climate change. To this end, the major capital flows associated with its investment and underwriting businesses would need to be redirected ...

PALGRAVE MACMILLAN LTD2019

Managing Risks when Using Nanomaterials in Research

Thierry Meyer, Amela Groso, Anna Maria Novello, Elina Buitrago

As the number of engineered nanomaterials (ENM) used in research increases with an incredible speed, health and safety specialists are continuously faced with the challenge of evaluating the risks involved with these materials. Nowadays there is not enough ...

2019

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

Adversarial Analytics

Viet Anh Nguyen

Adversarial learning is an emergent technique that provides better security to machine learning systems by deliberately protecting them against specific vulnerabilities of the learning algorithms. Many adversarial learning problems can be cast equivalently ...

EPFL2019

Risk-Based Human-Aware Multi-Robot Coordination in Dynamic Environments Shared with Humans

Alcherio Martinoli, Zeynab Talebpour

In this paper, we propose a risk-based coordination method for the Multi-Robot Task Allocation (MRTA) problem in human-populated environments. We introduce risk-based bids that incorporate human trajectory prediction uncertainties and furthermore, social c ...

2018

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018