Concept

Risk-free rate

Related publications (25)

Shannon Bounds on Lossy Gray-Wyner Networks

The Gray-Wyner network subject to a fidelity criterion is studied. Upper and lower bounds for the trade-offs between the private sum-rate and the common rate are obtained for arbitrary sources subject to mean-squared error distortion. The bounds meet exact ...

2022

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

Who Is Listening? Spokesperson Effect on Communicating Social and Physical Distancing Measures During the COVID-19 Pandemic

Robert West, Andreas Oliver Spitz, Ahmad Abu-Akel

Effective communication during a pandemic, such as the current COVID-19 crisis, can save lives. At the present time, social and physical distancing measures are the lead strategy in combating the spread of COVID-19. In this study, a survey was administered ...

Frontiers Media2021

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

2020

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

Essays on adaptation to rare disasters

Takafumi Usui

This thesis aims to further investigate rare natural disasters and studies adaptation decisions under uncertainty by solving several computational economic models. The modeling of rare natural disasters depends on the treatment of catastrophic outcomes wit ...

EPFL2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

A systematic review and meta-analysis of the efficacy of aortic anastomotic devices

Nikolaos Stergiopoulos, Dimitrios Schizas

Objective: One of the factors contributing to complications related to open repair of the aorta is the construction of a hand-sewn anastomosis. Aortic anastomotic devices (AADs), such as the intraluminal ringed graft (IRG), and the anastomotic stenting tec ...

MOSBY-ELSEVIER2019

Longitudinal analysis of white matter and cortical lesions in multiple sclerosis

Meritxell Bach Cuadra, Tobias Kober, Cristina Granziera, Mario Joao Fartaria de Oliveira

Purpose: The goals of this study were to assess the performance of a novel lesion segmentation tool for longitudinal analyses, as well as to validate the generated lesion progression map between two time points using conventional and non-conventional MR se ...

2019

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

A Conditional Gradient Framework for Composite Convex Minimization with Applications to Semidefinite Programming

Volkan Cevher, Alp Yurtsever

We propose a conditional gradient framework for a composite convex minimization template with broad applications. Our approach combines the notions of smoothing and homotopy under the CGM framework, and provably achieves the optimal O(1/sqrt(k)) convergenc ...

ICML2018

Risk Perception and Epidemics in Complex Computer Networks

Emanuele Massaro

We present a self-organised method for quickly obtaining the epidemic threshold of infective processes on networks. Starting from simple percolation models, we introduce the possibility that the effective infection probability is affected by the perception ...

IEEE2018

Mortgage Default in an Estimated Model of the U.S. Housing Market

Luisa Lambertini, Victoria Nuguer, Pinar Uysal

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...

2017

Capital goods, measured TFP and growth: The case of Spain

Luis Franjo Garcia

The effect of investing in equipment and/or structures on TFP and long run growth is investigated here. We argue that economies can grow in spite of stagnant TFP if the investment rate is inefficiently high. We study the case of Spain where real GDP per wo ...

Elsevier Science Bv2016

High Sum-Rate Three-Write and Nonbinary WOM Codes

Write-once memory (WOM) is a storage medium with memory elements, called cells, which can take on q levels. Each cell is initially in level 0 and can only increase its level. A t-write WOM code is a coding scheme, which allows one to store t messages to th ...

Institute of Electrical and Electronics Engineers2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Approximation Properties Of Sobolev Splines And The Construction Of Compactly Supported Equivalents

Michaël Unser, John Paul Ward

In this paper, we construct compactly supported radial basis functions that satisfy optimal approximation properties. Error estimates are determined by relating these basis functions to the class of Sobolev splines. Furthermore, we derive new rates for app ...

Siam Publications2014

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Risky Mortgages in a DSGE Model

Luisa Lambertini, Chiara Forlati

This paper develops a DSGE model with housing, risky mortgages, and endogenous default. Housing investment is subject to idiosyncratic risk, and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing inv ...

2011