Publications associées à Cost of capital

Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

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

Exergy and exergoeconomic analyses of sustainable furfural production via reactive distillation

François Maréchal

Lignocellulosic biomass is a potential renewable resource for production of high-value, sustainable products. Furfural is among the important bio-based chemicals in biorefineries. However, the conventional process of furfural production using a reaction-se ...

2021

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

Dynamic Credit-Collections Optimization

Thomas Alois Weber

Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solu ...

2019

Prism-based path set restriction for solving Markovian traffic assignment problem

Yuki Oyama

This paper deals with a main limitation of Markovian traffic assignment (MTA) models: when the network includes cyclic structures and the link costs are small enough, the fact that the MTA models assign traffic flows to all feasible paths causes computatio ...

Elsevier2019

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

Essays in Corporate Finance

Thomas Antonius Geelen

In this thesis I study how firms choose their optimal debt maturity. The recent financial crisis illustrated why debt maturity is an important determinant of firmsâ capital structure and it also renewed economistsâ interest in this topic, see for examp ...

EPFL2018

Robust multi-objective optimization of solid oxide fuel cell–gas turbine hybrid cycle and uncertainty analysis

François Maréchal, Shivom Sharma

Chemical process optimization problems often have multiple and conflicting objectives, such as capital cost, operating cost, production cost, profit, energy consumptions and environmental impacts. In such cases, Multi-Objective Optimization (MOO) is suitab ...

2018

Replicating portfolio approach to capital calculation

Mathieu Jacques David Cambou, Damir Filipovic

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...

2018

Cooperative Data Exchange with Weighted Cost based on d-Basis Construction

Michael Christoph Gastpar, Su Li, Abhin Shah

We consider the cooperative data exchange problem, in which nodes are fully connected with each other. Each node initially only has a subset of the K packets making up a file and wants to recover the whole file. Node i can make a broadcast transmission, wh ...

2017

Inventory dynamics in process industries: An empirical investigation

Ralf Seifert, Philipp Urs Moser, Olov Isaksson

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 ...

Elsevier2017

Essays in Bank Financing

Yalda Sigrist

This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...

EPFL2017

Robust multi-objective optimization of gasifier and solid oxide fuel cell plant for electricity production using wood

François Maréchal, Shivom Sharma, Ayse Dilan Celebi

Biomass is an attractive renewable and stored energy that can be converted to transportation fuels, chemicals and electricity using bio-chemical and thermo-chemical conversion routes. Notably, biofuels have relatively lower greenhouse gas emissions compare ...

2017

Methodology for the optimal design of an integrated sugarcane distillery and cogeneration process for ethanol and power production

François Maréchal, Rami Bechara, Jean-Marc Schweitzer

The application of systematic methodologies for the optimal design of integrated processes has seen increased interest in literature, namely for bioprocesses. The development and application of such a methodology to ethanol and power production from sugarc ...

Pergamon-Elsevier Science Ltd2016

Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Multi-objective Optimization of Solid Oxide Fuel Cell–Gas Turbine Hybrid Cycle and Uncertainty Analysis

François Maréchal, Shivom Sharma, Emanuela Peduzzi, Ayse Dilan Celebi

Chemical process optimization problems often have multiple and conflicting objectives, such as capital cost, operating cost, production cost, profit, energy consumption and environmental impact. There are several conversion technologies that can convert Sy ...

University of Ljubljana2016

Valuing quantity flexibility under supply chain disintermediation risk

Isik Bicer

We consider a supply chain with one supplier and one retailer in which the parties develop a quantity flexibility contract to specify the conditions of procurement activities. The contract allows the retailer to adjust the initial order quantity after the ...

Elsevier Science Bv2016

Methodology for the optimal design of an integrated first and second generation ethanol production plant combined with power cogeneration

François Maréchal, Rami Bechara, Jean-Marc Schweitzer

The application of methodologies for the optimal design of integrated processes has seen increased interest in literature. This article builds on previous works and applies a systematic methodology to an integrated first and second generation ethanol produ ...

Elsevier2016

Model-based optimization of distributed and renewable energy systems in buildings

François Maréchal, Paul Michael Stadler, Araz Ashouri

In order to fully exploit the potential of renewable energy resources (RERs) for building applications, opti- mal design and control of the different energy systems is a compelling challenge to address. This paper presents a two-step multi-objective optimi ...

2016