Publications associées à Système de réserves fractionnaires

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

2024

Essays in macro-finance and deep learning

Goutham Gopalakrishna

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large ...

EPFL2023

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset ...

EPFL2019

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

Dispatch and Primary Frequency Control with Electrochemical Storage: a System-wise Verification

Mario Paolone, Fabrizio Sossan, Mokhtar Bozorg, Yihui Zuo

Uncertainty levels in forecasting of renewable generation and demand are known to affect the amount of reserve required to operate the power grid with a given level of reliability. In this paper, we quantify the effects on the system reserve and reliabilit ...

IEEE2018

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Acquirers and Financial Constraints - Theory and Evidence from Emerging Markets

Christian Pröbsting

Financial crises in emerging market economies induce diverging patterns of ownership stakes and subsequent divestiture rates among domestic and foreign acquirers. We rationalize these empirical findings in a tractable model where domestic acquirers are sub ...

2021

Use of model predictive control for short-term operating reserve using commercial buildings in the United Kingdom context

Colin Neil Jones

Flexibility, particularly in terms of reserve services, is an essential requirement of power systems with high penetration of renewable electrical generation, which can reduce undesirable curtailment and enable higher integration of clean electrical power ...

IEEE2018

Essays in Financial Economics

Christoph Helmut Peter Herpfer

This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...

EPFL2017

Scarcity Mitigation and Risk-Averse Clearing Model in the Swiss Reserve Market

Sidi-Rachid Cherkaoui, Farzaneh Abbaspourtorbati

This paper presents a real-world application of stochastic programming in the Swiss hydro-based system. The seasonal hydrological conditions may cause insufficient market volume to an extent that security criteria (i.e., the criteria determining of reserve ...

Ieee2016

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Damir Filipovic, Léo Hamed Amini

We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all. ...

Informs2016

Developing Offer Curves for an Electric Railway Company in Reserve Markets Based on Robust Energy and Reserve Scheduling

Sidi-Rachid Cherkaoui, Mokhtar Bozorg, Ali Ahmadi Khatir

This paper proposes an appropriate offering strategy method for an electric railway company (ERC) to participate in reserve markets. In this respect, first the problem of energy and reserve scheduling for the ERC is modeled in a deterministic way. Next, a ...

IEEE Institute of Electrical and Electronics Engineers2016

Multi-Area Unit Scheduling and Reserve Allocation Under Wind Power Uncertainty

Sidi-Rachid Cherkaoui, Ali Ahmadi Khatir, Antonio J. Conejo

This paper proposes a decentralized methodology to optimally schedule generating units while simultaneously determining the geographical allocation of the required reserve.We consider an interconnected multi-area power systemwith cross-border trading in th ...

IEEE Institute of Electrical and Electronics Engineers2014

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

Analytical expression of pulse broadening in an arbitrary linear slow light medium

Luc Thévenaz

We derive an analytical expression for the broadening of a Gaussian input pulse in an arbitrary linear slow light medium. The expression consists of two terms, one corresponding to amplitude broadening (low-pass filtering of the pulse bandwidth) and anothe ...

2012

A probabilistic joint energy and spinning reserve market model

Sidi-Rachid Cherkaoui, Ali Ahmadi Khatir

Both deterministic and probabilistic approaches can be used to establish spinning reserve requirements. It has been proved that determining reserve requirements based on probabilistic approaches results in more economical efficiency. So, a probabilistic se ...

IEEE2010