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Статті в журналах з теми "Valuation du risque chimiqu":
Madiès, Philippe, Mathis Mourey, and Ollivier Taramasco. "L’interconnexion du système financier européen : le pire est-il derrière nous ?" Revue d'économie financière N° 150, no. 2 (July 17, 2023): 289–306. http://dx.doi.org/10.3917/ecofi.150.0289.
Darbellay, K. "Catamn�ses d'interventions pr�ventives sociales et psychiatriques: �valuation du d�veloppement de 15 enfants n�s dans des situations � haut risque." Social Psychiatry 20, no. 4 (1985): 191–98. http://dx.doi.org/10.1007/bf00583299.
Strtak, St�phane, and Mondher Bellalah. "R�flexions sur les d�cisions de cr�dit, le risque de d�faut et l��valuation de la perte en cas de d�faut." La Revue des Sciences de Gestion N�294, no. 6 (2018): 79. http://dx.doi.org/10.3917/rsg.294.0079.
Hamidouche, Mohand, and Anne-Marie Royer. "Le cadre et la marge." Cahiers de l'enfance et de l'adolescence 9, no. 1 (June 20, 2023): 95–110. http://dx.doi.org/10.3917/cead.009.0095.
Ouali, Tejeddine Ben. "La Propriété de l’Entreprise Affecte-t-elle l’Évaluation de Son Cours d’Introduction en Bourse ? Le Cas de Deux Entreprises Tunisiennes." European Scientific Journal, ESJ 19, no. 10 (April 29, 2023): 96. http://dx.doi.org/10.19044/esj.2023.v19n10p96.
Lahatte, Agénor, Sylvain Lassarre, and Anne Rozan. "Analysis of the willingness-to-pay to avoid a non-fatal road accident by using duration models." Les Cahiers Scientifiques du Transport - Scientific Papers in Transportation 50 | 2006 (November 30, 2006). http://dx.doi.org/10.46298/cst.12049.
Дисертації з теми "Valuation du risque chimiqu":
Diallo, Babacar. "X-Valuation adjustments computations by nested simulation on graphics processing units." Thesis, Université Paris-Saclay (ComUE), 2019. http://www.theses.fr/2019SACLE027.
This thesis deals with X-valuation adjustment computation, where X ranges over C for credit, F for funding, M for margin, and K for capital. We investigated different approach based on nested simulation and implemented on graphics processing units (GPU). First, we consider the problem of the numerical computation of its economic capital by an insurance or a bank, in the form of a value-at-risk or expected shortfall of its loss over a given time horizon. Using a stochastic approximation point of view on value-at-risk and expected shortfall, we establish the convergence of the resulting economic capital simulation schemes. Then we present a nested Monte Carlo (NMC) approach for XVA's computation. We show that the overal XVA suite involves five coupound layers of dependence. Higher layers are launched first and trigger nested simulations on-the-fly whenever required in order to compute an item from a lower layer. Finally, we present an algorithm based on a One-layered Nested Monte Carlo (1NMC) to simulate functionals U of a Markov process X. The main originality of the proposed method comes from the fact that it provides a recipe to simulate U_{t>=s} conditionally on X_s. The generality, the stability and the iterative nature of this algorithm, even in high dimension, make its strength
Seddik, Achraf. "Coporate Bond Valuation and Credit Spreads : Lessons from the Finacial Crisis." Thesis, Sorbonne Paris Cité, 2015. http://www.theses.fr/2015USPCD081/document.
The aim of this thesis is to contribute to the improvement of the valuation of corporate bonds, particularly by drawing some lessons from the recent economic and financial crisis. In order to achieve this goal, we propose an approach based on corporate bonds' credit spreads. We start, in the first chapter, by analyzing the main existing valuation models, which we reformulate from the standpoint of credit spreads and which we simulate numerically. We show that, despite the attractive features that the structural models have, the latter exert contain several shortcomings which may be misleading especially in a crisis context. In the second and third chapters, we focus on the empirical credit spreads, which we analyze during the subprime crisis and the Eurozone crisis periods. By the means of : (i) a descriptive analysis, (ii) principal component analyses, and(iii) statistical regression analyses, we manage to shed light on a number of factors which affect the movements of the spreads and have not been addressed by the existing models. Among these factors, we show that : (i) the wave of bailouts that occurred during the crisis has had an important effect on the spreads, and (ii) the size of a firm is connected with its spreads. Based on these empirical results, we propose in the fourth chapter a contribution to the modeling of corporate bonds which accounts for the possibility of firms to negotiate a rescue plan in case of distress. This model allows us, on the one hand, to reproduce the empirical observations of lower credit spreads for higher probabilities of receiving a bailout (as it is the case for large banks), and on the other hand, to tackle several drawbacks of the existing models, such as the simple bankruptcy mechanisms or the low credit spreads for short maturities
Kalisa, Thierry. "Economic valuation of ecosystems and natural resources." Thesis, Lyon 2, 2014. http://www.theses.fr/2014LYO22004.
This dissertation aims at investigating the methods of the environmental resources valuation: revealed preferences Travel Cost (TC) method and stated preferences Contingent Valuation (CV) method in order to propose the following contributions. In chapter 1, we show that it is possible if both CV and TC data are available for the same observations, to obtain a better measure of willingness to pay (WTP) by combining the two methods using Simulated maximum Likelihood technique. In chapter 2, we show that the new special regressor approach could be a solution to treat endogeneity issues in CV. Using data on WTP for reducing subjective mortality risks due to arsenic in drinking water, we show that the endogeneity of the subjective mortality risk level can be treated effectively. Finally in chapter 3, using a new survey about rural electrification in Rwanda, we propose a new design for the CV method by allowing people to choose between a contribution in time or in money. Thus, in addition to measure a conventional WTP, we also obtain a willingness to contribute time measure which is as or even more relevant than WTP in the context of a developing country
Mercé, Théo. "High-throughput zebrafish larval locomotion assays of neuronal and muscular functions : Application to organophosphorus toxicity and antid." Electronic Thesis or Diss., Bordeaux, 2024. http://www.theses.fr/2024BORD0011.
The growing prevalence of chemical contaminants poses major public health concerns, necessitating efficient methodologies for toxicological risk assessment. An initial work was carried out to optimize a new approach methodology (NAM) using zebrafish pre-feeding larvae, called the electric field pulse (EFP) motor response test (EFPMRT). The method aims to perform a high-throughput screening of chemicals inducing motor capabilities and postural control defects. The robustness, reproducibility, productivity, and transferability of EFPMRT were enhanced by developing a novel software tool, DanioTracker, performing the automated analysis of endpoints linked to EFP-induced locomotor behavior. Then, using a battery of tests, the neurotoxicity induced by organophosphorus (OPs) compounds and their metabolites was assessed. Behavioral disruptions were evaluated using EFPMRT and a complementary sensory-dependent neurobehavioral test, the visual motor response test (VMRT). Contributions of acetylcholinesterase (AChE) and neuropathy target esterase (NTE) inhibition to behavioral disruptions were tested. Chlorpyrifos, parathion and tri-ortho-cresyl-phosphate disturbed integrative swimming control functions in quantitatively distinct manners and decreased the neuromuscular capacities of pre-feeding larvae. Their respective metabolites chlorpyrifos-oxon, paraoxon and cresyl-saligenin-phosphate fully inhibited AChE, thus inducing a cholinergic syndrome. Comparative study of the antidotal efficacy of an AChE reactivator, pralidoxime, in mitigating some toxic effects was performed. The antidote induced a recovery of the cholinergic syndromes associated with metabolites exposure. Strikingly, pralidoxime (2-PAM) also partially restored hyperactivities induced by parent compounds apparently independently of the activities of AChE and NTE. However, it did not restore neuromuscular dysfunctions induced by parathion or tri-ortho-cresyl phosphate. This suggests the existence of one or more unknown OP-specific multiple modes of action (MOAs) associated with parent compound but not corresponding metabolites, of which some are restorable by 2-PAM. Overall, this work offers a robust, transferable NAM that contributes to a comprehensive chemical risk assessment strategy. It also uncovers potential alternative MOA for selected OPs, suggesting the need for further research on metabolites within regulatory frameworks, and contributes to understanding and preventing neurobehavioral disorders induced by environmental exposures alone or in mixtures
Rangra, Subeer. "Performance shaping factor based human reliability assessment using valuation-based systems : application to railway operations." Thesis, Compiègne, 2017. http://www.theses.fr/2017COMP2375/document.
Humans are and remain one of the critical constituents of modern transport operations. Human Reliability Analysis (HRA) methods provide a multi-disciplinary approach: systems engineering and cognitive science methods to evaluate the interaction between humans and the system. This thesis proposes a novel HRA methodology acronymed PRELUDE (Performance shaping factor based human REliability assessment using vaLUation-baseD systEms). Performance shaping factors (PSFs) are used to characterize a dangerous operational context. The proposed framework of Valuation-based System (VBS) and belief functions theory (BFT) uses mathematical rules to formalize the use of expert data and construction of a human reliability model capable of representing all kinds of uncertainty. PRELUDE is able to predict the human error probability given a context, and also provide a formal feedback to reduce the said probability. The second part of this work demonstrates the feasibility of PRELUDE with empirical data from simulators. A protocol to obtain data, a transformation and data analysis method is presented. An experimental simulator campaign is carried out to illustrate the proposition. Thus, PRELUDE is able to integrate data from multiple sources (empirical and expert) and types (objective and subjective). This thesis, hence address the problem of human error analysis, taking into account the evolution of the HRA domain over the years by proposing a novel HRA methodology. It also keeps the rail industry’s usability in mind, providing a quantitative results which can easily be integrated with traditional risk analyses. In an increasingly complex and demanding world, PRELUDE will provide rail operators and regulatory authorities a method to ensure human interaction-related risk is understood and managed appropriately in its context
Sayah, Mabelle. "Understanding some new Basel III implementation issues for Lebanese Commercial Banks." Thesis, Lyon, 2017. http://www.theses.fr/2017LYSE1150/document.
This thesis aims at providing Bank Audi with an updated tool to understand and investigate in given risk types encountered in their portfolios and the way Basel suggests computing their capital charges. International regulator is constantly changing and modifying previously used approaches to enhance the reflection of the market and banking sector risks. The recent financial crisis played a major role in these reforms, in addition the situation of Bank Audi and the markets it is operating in, represent certain specifications that should be accounted for. The work handles interest rate risk in the trading book, Counterparty Credit Risk faced with derivatives along a closer look on the Credit Valuation Adjustment topic and the incorporation of Wrong Way Risk. The first part discusses the new Fundamental Review of the Trading Book: focusing on the general interest rate risk factor, the paper compared Basel’s Sensitivity Based Approach (SBA) capital charge to more traditional approaches of VaR using several models such as Generalized Auto Regressive Conditional Heteroscedasticity (GARCH), Principal Components Analysis (PCA), Independent Components Analysis (ICA) and Dynamic Nelson Siegel. Application on portfolios with zero coupon bonds of different sovereigns revealed the divergence in results between stable markets (such as France and Germany), less stable (such as the USA) and emergent markets (such as Turkey). The second part is dedicated to the Counterparty Credit Risk. A new capital charge methodology was proposed by Basel and set as a standard rule in 2014: the Standardized Approach for Counterparty Credit Risk (SA-CCR). Applying this approach on different derivatives portfolios, we compared it to internal models. The internal methodologies incorporated historical estimations and future projections based on Vasicek and GARCH models. Different hedging cases were investigated on EUR and USD portfolios. The impact of each hedging technique and the difference between IMM and the standardized methods were highlighted in this work: without hedging, the internal approach amends 80% of the standardized capital whereas, in general, the hedging is encouraged more under the standardized approach relatively to its capital reduction under the internal model. The third part remains a part of the Counterparty Credit Risk however, the main focus in this work is the Credit Valuation Adjustment. This topic was neglected in terms of capital charge earlier but due to its important impact is now incorporated as a capital charge amended when no central clearing is put in place when dealing with derivatives. We focus on the regulatory approaches of capital computation, comparing both accepted approaches based on portfolios of interest rate swaps held with investment grade sovereigns. An incorporation of the Wrong Way Risk is another addition in this work: using Error Correction Models we were able to reflect the impact of the correlation between the exposure and the credit quality of the investment grade sovereign we are dealing with. Based on such results, a suggestion of a re-calibrated standardized approach is in place to encourage the use of the CDS as an indicator of the credit quality of the counterparty and not its grade (investment or not) as followed by the new Basel regulations
Tran, Ha Thu. "Three essays on the composition of boards of directors and their contribution to effective corporate governance." Thesis, Limoges, 2018. http://www.theses.fr/2018LIMO0044/document.
His thesis aims to provide some answers to the question of what makes a board effective in carrying out its monitoring and advising functions. In Chapter 1, we examine whether board structures that include directors that are related to minority shareholders can be an effective corporate governance mechanism to limit expropriation by controlling shareholders, without exacerbating risk. We focus our empirical analysis of this chapter on banks with a concentrated ownership structure. We find that the inclusion of such minority directors does indeed increase the effectiveness of bank boards, as it results in higher market valuations, without increasing risk. Chapter 2 complements the first chapter to determine the factors, at the bank and at the country level, that could favor the presence of minority directors on bank boards. We find that: (i) the voting rights of controlling shareholders, the quality of recommendations for boards of directors in Corporate Governance Codes and higher shareholder protection are factors that promote the presence of minority directors on bank boards; (ii) the degree of opacity and stronger supervisory regimes reduce the presence of minority directors on bank boards. Our work suggests that bank authorities should recommend banks with concentrated ownership structure to include a minimum of minority directors in their board. In Chapter 3, we investigate the impact of gender quotas on firm performance and corporate decisions using Belgium, France and Italy as a natural experiment. Our statistical analysis shows that the percentage of female directors significantly increases, and board members characteristics significantly change after the implementation of the gender quota. The results of our empirical analysis show evidence that gender quotas do not have a significant impact on both firm outcomes and corporate decisions. Our findings support the decision of policy-makers to use mandatory rules to force firm to achieve gender balance on corporate boards. Our results suggest that policy-makers create unrealistic expectations for women to boost firm performance, at least in the short-run when negative side effects of mandatory rules are potentially strongest
Genin, Adrien. "Asymptotic approaches in financial risk management." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC120/document.
This thesis focuses on three problems from the area of financial risk management, using various asymptotic approaches. The first part presents an importance sampling algorithm for Monte Carlo pricing of exotic options in exponential Lévy models. The optimal importance sampling measure is computed using techniques from the theory of large deviations. The second part uses the Laplace method to study the tail behavior of the sum of n dependent positive random variables, following a log-normal mixture distribution, with applications to portfolio risk management. Finally, the last part employs the notion of multivariate regular variation to analyze the tail behavior of a random vector with heavy-tailed components, whose dependence structure is modeled by a Gaussian copula. As application, we consider the tail behavior of a portfolio of options in the Black-Scholes model
Iben, Taarit Marouan. "Valorisation des ajustements Xva : de l’exposition espérée aux risques adverses de corrélation." Thesis, Paris Est, 2018. http://www.theses.fr/2018PESC1059/document.
The point of departure of this thesis is the valuation of the expected exposure which represents one of the major components of XVA adjustments. Under independence assumptions with credit and funding costs, we derive in Chapter 3 a new representation of the expected exposure as the solution of an ordinary differential equation w.r.t the default time variable. We rely on PDE arguments in the spirit of Dupire’s local volatility equation for the one dimensional problem. The multidimensional extension is addressed using the co-area formula. This forward representation gives an explicit expression of the exposure’s time value, involving the local volatility of the underlying diffusion process and the first order Greek delta, both evaluated only on finite set of points. From a numerical perspective, dimensionality is the main limitation of this approach. Though, we highlight high accuracy and time efficiency for standalone calculations in dimensions 1 and 2.The remaining chapters are dedicated to aspects of the correlation risk between the exposure and XVA costs. We start with the general correlation risk which is classically modeled in a joint diffusion process for market variables and the credit/funding spreads. We present a novel approach based on asymptotic expansions in a way that the price of an XVA adjustment with correlation risk is given by the classical correlation-free adjustment to which is added a sum of explicit correction terms depending on the exposure Greeks. Chapter 4 is consecrated to the technical derivation and error analysis of the expansion formulas in the context of pricing credit contingent derivatives. The accuracy of the valuation approach is independent of the smoothness of the payoff function, but it is related to the regularity of the credit intensity model. This finding is of special interest for pricing in a real financial context. Pricing formulas for CVA and FVA adjustments are derived in Chapter 5, along with numerical experiments. A generalization of the asymptotic expansions to a bilateral default risk setting is addressed in Chapter 6.Our thesis ends by tackling the problem of modeling the specific Right-Way Risk induced by rating trigger events within the collateral agreements. Our major contribution is the calibration of a rating transition model to market implied default probabilities
Qiu, Siqi. "Modèles graphiques de l'évaluation de Sûreté de Fonctionnement et l'analyse des risques des Systèmes de Systèmes en présence d'incertitudes." Thesis, Compiègne, 2014. http://www.theses.fr/2014COMP2160.
Systems of Systems (SoS) are large systems whose components are themselves systems which interact to realize a common goal, and for which the malfunction of a single system can have some serious consequences on the performance of the whole SoS. So it’s important that the design of these SoSs takes into account the dependability requirements of safety standard. In this thesis, our interests concern the modeling of SoS and the reliability analysis of SoS under uncertainty which is due to the lack of knowledge related to failure data and model. Therefore, two modeling methods which deal with different issues are applied to model SoSs and the corresponding quantitative reliability analysis is proposed. The objective of this thesis is to propose graphical models for dependability assessment and risk analysis of SoSs under uncertainty. Firstly, it will propose a dysfunctional model of the ERTMS which is considered as an SoS. The model will integrate the hardware aspect, the network aspect and the human factors. Then, it will evaluate some dependability attributes of the whole SoS. Later, it will take different kinds of uncertainties into account quantitatively. The proposed methodology is applied on the ERTMS Level 2. The main contribution of this thesis lies in three aspects. First, we propose a methodology to model and evaluate SoSs. Second, we consider ERTMS Level 2 as an SoS and seek to evaluate its dependability parameters by considering the unavailability of the whole SoS as an emergent property. Third, we model quantitatively different kinds of uncertainties in the proposed models
Книги з теми "Valuation du risque chimiqu":
my, Bernard Barthe le. Gestion des risques: Me thode d'optimisation globale. 2nd ed. [Paris]: E ditions d'Organisation, 2004.
Roche, Yvon. Chirurgie dentaire et patients a risque: E valuation et pre cautions a prendre en pratique quotidienne. Paris: Me decine-sciences Flammarion, 1996.
Garrod, Guy. Economic valuation of the environment: Methods and case studies. Cheltenham, UK: Edward Elgar, 1999.
Douglas, Mary. Risk and blame: Essays in cultural theory. London: Routledge, 1992.
Porras, Eva R. The cost of capital. Basingstoke: Palgrave Macmillan, 2011.
Benoi t. Pe ribe re. Le guide de la se curite au travail ! 2nd ed. La Plaine Saint-Denis: AFNOR, 2010.
Rees, Martin J. Notre dernier sie cle? Paris: J.C. Latte s, 2004.
McGeachie, Sue. Finance and the environment in North America: The state of play on the integration of environmental issues into financial research : executive summary. Ottawa: Environment Canada, 2005.
Schoutens, Wim, and Dilip B. Madan. Nonlinear Valuation and Non-Gaussian Risks in Finance. Cambridge University Press, 2022.
Camilleri, Emanuel, and Roxanne Camilleri. Accounting for Financial Instruments: A Guide to Valuation and Risk Management. Taylor & Francis Group, 2017.