Concept

Systematic risk

Publications associées (17)

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

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018

Asset Pricing When 'This Time Is Different'

Pierre Collin Dufresne

Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenou ...

Oxford Univ Press Inc2017

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

Design of a diversion structure for the management of residual risks using physical model tests

Giovanni De Cesare, Raphaël Sprenger, Antoine Magnollay

As revitalization and protection against floods are essential in our time, the town of Delémont in Switzerland has set up a major project named “Delémont Marée Basse”. Part of the project, the residual risk plans to be managed by a lateral overflow bypassi ...

CRC Press/Balkema2014

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin Dufresne

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Affine Processes On Positive Semidefinite Matrices

Damir Filipovic

This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...

Institute of Mathematical Statistics2011

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

Price impact and portfolio impact

Semyon Malamud

We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...

2011

Engineering of living autologous human umbilical cord cell-based septal occluder membranes using composite PGA-P4HB matrices

Peter Modregger, Marco Stampanoni

Interventional closure of intracardiac wall defects using occluder devices has evolved as a highly attractive treatment option. However, incomplete and delayed healing reactions often result in a major risk of residual defects, thromboembolism, or device f ...

2011

Ambiguity in Asset Markets: Theory and Experiment

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...

2010

Optimal Risk Sharing with Different Reference Probabilities

Gregor Svindland

We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a t ...

Elsevier2009

Universal Bounds for Asset Prices in Heterogeneous Economies

Semyon Malamud

We establish universal bounds for asset prices in heterogeneous complete market economies with scale invariant preferences. Namely, for each agent in the economy we consider an artiﬁcial homogeneous economy populated solely by this agent, and calculate the ...

2008

Corporate control and real investment in incomplete markets

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. However, in most situations, corporate executives face incomplete markets either b ...

2007

The Structure of Optimal Consumption Streams in General Incomplete Markets

Semyon Malamud

We prove that for any incomplete market and any concave utility function the marginal propensities to consume and to save are always positive. Furthermore, we intro- duce a class of incomplete markets that includes almost all well known examples of market ...

2007