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 ...
The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...
When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...
Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
The last 2 decades have witnessed a dramatic increase in the use of patent citation data in social science research. Facilitated by digitization of the patent data and increasing computing power, a community of practice has grown up that has developed meth ...
Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its charac ...
The dramatic rise of time-series data produced in a variety of contexts, such as stock markets, mobile sensing, sensor networks, data centre monitoring, etc., has fuelled the development of large-scale distributed real-time computation systems (e.g., Apach ...
This dissertation consists of three chapters. The first chapter examines whether the availability of credit default swaps (CDS) has consequences for creditor governance. CDSs offer creditors the opportunity to hedge credit risk and may impact their willing ...
Electronic intermediaries have become pervasive in sales transactions for many durables, such as cars, power tools, and apartments. Yet only recently have they successfully tackled the challenge of enabling parties to share such goods. A key impediment to ...
We introduce a hybrid discrete choice framework to model the decisions of investors in stock markets. More specifically, we model the decision to buy or sell stocks using a binary logit model with latent classes, characterizing the perception of risk. The ...
When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...
This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown th ...
Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...
The collaboration between livestock and wildlife conservation genetics communities has the potential to help promote shared priorities, with respect to emerging technologies and new analytical approaches such as next generation sequencing incorporating ada ...
This thesis tackles new challenges associated with the disaggregate modeling of the human behavior. Decision-aid tools help in making decisions, by providing quantitative insights on the decisions and associated consequences. They are useful in complex sit ...
This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...
This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...
Two operational formats namely mass customization and mass production can be implemented to satisfy customer preference-based demand. The mass customization system consists of two stages: the initial build-to-stock phase and the final customize-to-order ph ...
