Publications related to Financial risk modeling

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

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

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

Surveying the environmental life-cycle performance assessments: Practice and context at early building design stages

Marilyne Andersen, Emmanuel Rey, Thomas Bernard Paul Jusselme

The international greenhouse gas agreements call for mitigations in the building industry. Thus, the number of scientific publications about life-cycle performance assessment (LCPA) follows an exponential trend since the 2000s. However, previous surveys hi ...

2020

Covid-19 contact tracing: efficacy and privacy

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

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

Wasserstein Distributionally Robust Learning

Soroosh Shafieezadeh Abadeh

Many decision problems in science, engineering, and economics are affected by uncertainty, which is typically modeled by a random variable governed by an unknown probability distribution. For many practical applications, the probability distribution is onl ...

EPFL2020

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

Debt enforcement, investment, and risk taking across countries

Erwan Morellec, Philip Valta

We argue that the prospect of an imperfect enforcement of debt contracts in default reduces shareholder-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these predictions, we ...

2017

Sustainable Food Supply : Combining Performance Measures and Operational Risk

Simone Lydia Voldrich

In the context of a growing world population, the fundamental need for foodstuff makes a sustainable management of the food supply an imperative. Sustainability issues in the food supply chain range from responsible use of limited resources, safe and secur ...

EPFL2017

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Analysis of Ballast Transport in the Event of Overflowing of the Drainage System on High Speed Lines

Giovanni De Cesare, Tamara Ghilardi, Mona Jafarnejad Chaghooshi, Elena Battisacco

The transport of ballast caused by the overflowing of longitudinal drains is a prime example of the interactions between the railway track and its environment. In such conditions, water flowing from the platform, along with debris, may drag the ballast off ...

2015

Learning from vernacular building practices: A starting point for risk mitigation

Milo Hofmann, Annalisa Caimi

In most natural disaster prone areas, vernacular builders have implemented affordable strategies that have proven to perform adequately during natural hazards. Learning from these practices represents a great potential to further strengthen the resilience ...

Crc Press-Taylor & Francis Group2014

Geostatistics of extremes

Anthony Christopher Davison, Mehdi Gholam

We describe a prototype approach to flexible modelling for maxima observed at sites in a spatial domain, based on fitting of max-stable processes derived from underlying Gaussian random fields. The models we propose have generalised extreme-value marginal ...

2012

Risk analysis in research environment

Thierry Meyer, Amela Groso, Aristide Ramondgwendé Ouédraogo

Available risk analysis techniques are well adapted to industry since they were developed for its purpose. All hazards met in industry are also present in research/academia (although quantities of some hazardous substances are smaller). Still, because of i ...

2012

MAOA-L carriers are better at making optimal financial decisions under risk

Genes can affect behaviour towards risks through at least two distinct neurocomputational mechanisms: they may affect the value assigned to different risky options, or they may affect the way in which the brain adjudicates between options based on their va ...

2011

Motorway Traffic Risks Identification Model - MyTRIM Methodology and Application

Minh Hai Pham

Road traffic crashes are becoming increasing concerns in many countries. In Europe, many efforts have been devoted to improve road traffic safety yet the important target of halving the number of yearly road deaths in 2010 could not be achieved in many Eur ...

EPFL2011

Bayesian risk analysis of financial time series

Christophe Osinski

This thesis is a contribution to financial statistics. One of the principal concerns of investors is the evaluation of portfolio risk. The notion of risk is vague, but in finance it is always linked to possible losses. In this thesis, we present some measu ...

EPFL2006