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Spin-glass models and interdisciplinary applications
The main subject of this thesis is the physics of spin glasses. After their introduction in the 70s in order to describe dilute magnetic alloys, spin-glass models have... -
Liquidity risk in the banking system
This thesis examines the different facets of the liquidity risk and aims to analyse their essential role in the stability of the financial system. In the theoretical... -
Stress-Test Exercises and the Pricing of Very Long-Term Bonds
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess... -
Resilience and Contagion in a Connected Economy
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Resilience and Contagion in a Connected Economy
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La controverse autour de l'intégration du risque systémique dans le calcul so...
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Essays on Financial Crises
Complex financial systems, such as the interbank network, can be naturally captured using a network approach. This allows to calculate contamination of defaults and to... -
Illiquidity, Contagion and Systemic Risk
The aim of this thesis is to improve the management of financial risks through the employment of econometric methods. We focus on liquidity (market and funding),...
