Publications des institutions partenaires
Endogenous trading in Credit Default Swaps
We introduce a real options model in order to quantify the moral hazard impact of credit default swap (CDS) positions on the corporate default probabilities. Moral hazard is widely addressed in the insurance literature, where the insured agent may become less cautious about preventing the risk from occurring. Importantly, with CDS the moral hazard problem may be magnified since one...
Institution partenaire
English / 01/04/2016
How does international diversification influence advisor performance on cross-border M&A?
Institution partenaire
English / 01/03/2016
Game human nature. Finding ways to adapt natural tendencies and nudge collective action is central to the well-being of future generations
Institution partenaire
English / 25/02/2016
Québécoisation method for the pricing of Parisian options with jump risk
In this paper, a new technique for pricing of European and American Parisian options, that we call the québécoisation method, is developed. We study the pricing of Parisian options in a hyper-exponential jump-diffusion model using the double Laplace-Carson transform with respect to the time to maturity and the residual Parisian time (time to expiration of the Parisian window) of the...
Institution partenaire
English / 10/02/2016
Interconnectedness as a source of uncertainty in systemic risk
Financial networks have shown to be important in understanding systemic events in credit markets. In this paper, we investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We introduce a model to compute the individual and systemic probability of default in a system of banks connected in a generic network of credit...
Institution partenaire
English / 02/02/2016
Alternative Dispute Resolution Mechanisms for Solving Trademark Disputes (Mediation, UDRP, Arbitration)
Institution partenaire
English / 01/01/2016
Alternative Dispute Resolution in Cyberspace: The Need to Adopt Global ADR Mechanisms for Addressing the Challenges of Massive Online Micro-Justice
Institution partenaire
English / 01/01/2016
A Simple Tags Categorization Framework Using Spatial Coverage to Discover Geospatial Semantics
There exist many popular crowdsourcing and social services (Volunteered Geographic Information (VGI)) to share information and documents such as Flickr, Foursquare, Twitter , Facebook, etc. They all use metadata, folksonomy and more importantly a geographic axis with GPS coordinates and/or geographic tags. Using this available folksonomy in VGI services we propose a logical approach...
Institution partenaire
English / 01/01/2016
Analysing smartphone users “inner-self”: the perception of intimacy and smartphone usage changes
Smart mobile services and applications use users' context. However, we never investigate how users perceive this context and how to leverage this perception for even smarter services. We represent the perception of the context of users as their intimacy, their familiarity with their current place, the number, and kind of people around them. The adjective ‘intimate'...
Institution partenaire
English / 01/01/2016
Analysis of 3d knee joint deformation using a multiscale modelling approach
The human knee joint is the largest and most complex joint of the human body. The interdependencies encountered in the musculoskeletal system are crucial in understanding musculoskeletal conditions. Patient-specific models are promising methods to unravel clinical diagnosis. However, as the range of medical and experimental data is expanding, it has become a challenge to integrate...
Institution partenaire
English / 01/01/2016
The value perspective in the analysis and design of service systems
The thesis proposes an interdisciplinary framework for service research in information systems that goes beyond the technological concerns and integrates the business concerns about service processes and models and the user's concerns about service usage and value. Based on this framework, the thesis analyzes further the concept of service value and suggests the value...
Institution partenaire
English / 01/01/2016
Efficient extraction of musculoskeletal structures from multi-channel MR images
We propose the extraction of musculoskeletal structures (bones, muscles) from the lower limb, following three main objectives: development of an MRI protocol, processing and labelling of the image data, and the exploitation of multi-channel data during the segmentation of individual muscles. We propose an MR acquisition protocol that generates seamless, high-resolution images of...
Institution partenaire
English / 01/01/2016
Collateralization, bank loan rates, and monitoring
We show that collateral plays an important role in the design of debt contracts, the provision of credit, and the incentives of lenders to monitor borrowers. Using a unique data set from a large bank containing timely assessments of collateral values, we find that the bank responded to a legal reform that exogenously reduced collateral values by increasing interest rates, tightening...
Institution partenaire
English / 01/01/2016
Monetary transmission and regulatory impacts: empirical evidence from the post-crisis banking literature
Institution partenaire
English / 01/01/2016
Decoding Financial Networks: Hidden Dangers and Effective Policies
Two changes have ushered in a new era of analyzing the complex and interdependent world surrounding us. One is related to the increased influx of data, furnishing the raw material for this revolution that is now starting to impact economic thinking. The second change is due to a subtler reason: a paradigm shift in the analysis of complex systems.
Institution partenaire
English / 01/01/2016
Financial fragility and distress propagation in a network of regions
Building on previous works on business fluctuations, we model the propagation of financial distress in a network of regions, each populated by heterogeneous interacting firms and banks. In order to diversify risk, firm sell goods outside their own region and borrow from banks located there. However, this results in ties across regions which propagate financial distress across...
Institution partenaire
English / 01/01/2016
DebtRank and the network of leverage
The interconnectedness of the financial system is one of the main factors contributing to systemic risk. The financial crisis has shown how the network of intrafinancial exposures may, in times of systemic distress, amplify initially small shocks. In this work, the authors build on the DebtRank methodology by introducing the notion of a network of leverage and propose a two-round...
Institution partenaire
English / 01/01/2016
Complexity theory and financial regulation
Traditional economic theory could not explain, much less predict, the near collapse of the financial system and its long-lasting effects on the global economy. Since the 2008 crisis, there has been increasing interest in using ideas from complexity theory to make sense of economic and financial markets. Concepts, such as tipping points, networks, contagion, feedback, and resilience...
Institution partenaire
English / 01/01/2016
The financial system as a nexus of interconnected networks
In this Chapter, we describe the phenomenology of multilevel financial networks. Network analysis represents a useful tool for the analysis of financial systems, allowing, in particular, for a better understanding of the mechanics of systemic distress. However, the level of complexity reached by the financial system, coupled with the linkages arising to and from other economic...
Institution partenaire
English / 01/01/2016
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