Gestion d'actifs et dérivés de crédit : opportunités et incertitudes

Asset management and credit derivatives : opportunities and uncertainties The qualified success of credit derivatives results from the very promising possibilities they offer in terms of investment opportunities and portfolio diversification. However, the market is still in its infancy : volumes represent a small fraction of the underlying credit, risk is being transferred on a thin population of credits and liquidity increases only gradually. Those products also bring new challenges, insofar as they not only modify the way borrowers are selected and monitored, but also strengthen relationships between market segments and affect the spreading of risks within the financial system. It is therefore not a surprise that regulators have paid considerable attention to the development of this market, acknowledging its potential benefits, as well as underlying the importance of thorough risk management and post-market processes and calling for enhanced market information. JEL classification : G11, G12, G14, G28Le formidable succès des dérivés de crédit atteste des possibilités extrêmement larges qu’ils offrent en termes d’opportunités d’investissement et de diversification de portefeuille. Mais ce marché n’en est encore qu’à ses débuts : les encours restent modestes au regard du sous-jacent, le transfert s’effectue sur une population de crédits encore relativement étroite et la liquidité ne s’accroît que progressivement. Ces produits font également apparaître de nouveaux défis, dans la mesure où ils transforment le processus de sélection et de surveillance des emprunteurs, renforcent les interactions entre compartiments de marché et affectent la répartition des risques au sein du système financier. C’est ce qui explique la vigilance des régulateurs, qui sont sensibles aux bénéfices potentiels de ce marché, mais souhaitent que les acteurs disposent de systèmes de traitement des opérations et de gestion des risques à la hauteur des enjeux et que la qualité de l’information s’améliore. Classification JEL : G11, G12, G14, G28Michaud François-Louis. Gestion d'actifs et dérivés de crédit : opportunités et incertitudes . In: Revue d'économie financière, n°79, 2005. L'industrie de la gestion d'actifs. pp. 79-93

What drives interbank rates? Evidence from the Libor panel

The risk premium contained in the interest rates on three-month interbank deposits at large, internationally active banks increased sharply in August 2007 and risk premia have remained at an elevated level since. This feature aims to identify the drivers of this increase, in particular the role of credit and liquidity factors. While there is evidence of a role played by credit risk, at least at lower frequencies, the absence of a close relationship between the risk of default and risk premia in the money market, as well as the reaction of the interbank markets to central bank liquidity provisions, point to the importance of liquidity factors for banks' day-to-day quoting behaviour.

Adaptable sensor fusion using multiple Kalman filters

This paper presents an innovative sensor fusion strategy for the positioning of an underwater ROV. The use of multiple Kalman filters makes the system highly adaptable by allowing different combinations of sensors without any modification of the models. This algorithm can handle any number of redundant sensors by using multi-filter fusion and can work asynchronously with different sensor data rates through a filter switching process. 1

Biographie universelle, ancienne et moderne, ou, Histoire par ordre alphabétique de la vie publique et privée de tous les hommes qui se sont fait remarquer par leurs écrits, leurs actions, leurs talents, leurs vertus ou leurs crimes : ouvrage entièrement neuf /

53-55: Biographie universelle, ancienne et moderne : partie mythologique56-85: SupplémentFounded by J.F. Michaud and his brother, L.G. Michaud; chiefly the work of the latter.Uitgever varieertArticles signed by initials; "Signatures des auteurs" at beginning of each volume except in "Partie mythologique" (v. 53-55) where articles are anonymous."Liste générale des auteurs": v. 52.Herkomst: Ex libris Ant.-Car. CousseauEuropeana-GoogleBook

Histoire des croisades /

OPLADEN-RUG0

The role of cysteine and sulfide in the interplay between microbial Hg(II) uptake and sulfur metabolism

International audienceBiogenic thiols, such as cysteine, have been used to control the speciation of Hg(II) in bacterial exposure experiments. However, the extracellular biodegradation of excess cysteine leads to the formation of Hg(II)–sulfide species, convoluting the interpretation of Hg(II) uptake results. Herein, we test the hypothesis that Hg(II)–sulfide species formation is a critical step during bacterial Hg(II) uptake in the presence of excess cysteine. An Escherichia coli (E. coli) wild-type and mutant strain lacking the decR gene that regulates cysteine degradation to sulfide were exposed to 50 and 500 nM Hg with 0 to 2 mM cysteine. The decR mutant released ∼4 times less sulfide from cysteine degradation compared to the wild-type for all tested cysteine concentrations during a 3 hour exposure period. We show with thermodynamic calculations that the predicted concentration of Hg(II)–cysteine species remaining in the exposure medium (as opposed to forming HgS(s)) is a good proxy for the measured concentration of dissolved Hg(II) (i.e., not cell-bound). Likewise, the measured cell-bound Hg(II) correlates with thermodynamic calculations for HgS(s) formation in the presence of cysteine. High resolution X-ray absorption near edge structure (HR-XANES) spectra confirm the existence of cell-associated HgS(s) at 500 nM total Hg and suggest the formation of Hg–S clusters at 50 nM total Hg. Our results indicate that a speciation change to Hg(II)–sulfide controls Hg(II) cell-association in the presence of excess cysteine

Fluids Circulation in Subduction Zones: How Fluids Impact Seismic/Aseismic Slip in Ecuador ?

International audienceIdentifying the circulation of fluids in subduction zone system and understanding their role on the megathrust fault slip modes remains one of the outstanding challenges in Earth Sciences. As these faults have the capacity to generate mega-earthquakes, the associated hazard to the society is significant.In recent years, studies in Japan, Costa Rica and New Zealand try to find the processes that control slip behaviours through marine campaigns and IODP drillings. The Ecuadorian margin is an exceptional laboratory to continue this international effort by adding a subduction zone to the list of those with contrasted slips at shallow depth. In April 2016, a Mw 7.8 earthquake broke the southern part of the 1906 earthquake rupture zone, causing hundreds of deaths and millions of dollars in damages along an increasingly populated coastline. The seismological and geodetic network in place since several years and a dense post-seismic deployment, contributed to observe and define the rupture zone and areas affected by aseismic slip on the shallowest portion of the megathrust fault.Thanks to two marine campaigns (HIPER and SUPER) and other existing onshore/offshore data acquisition, our project Fluid2Slip will participate to determine the exact role of fluids on slip behaviour around the updip part of the seismogenic megathrust fault by localizing fluids and seismicity, imaging fault properties and deformation. Our large experiment allowed a high density onshore/offshore deployment to perform shots and earthquakes FWI (Full Waveform Inversion) and obtain sufficient resolution to tackle the role of fluids with respect to interplate roughness, the nature of sediments, upper plate and lower plate’s structural heterogeneity in seismic/aseismic slip behavior. In addition, subsurface observation and fluid geochemistry will help detect fluid flow and discuss the path they take through the upper plate