Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure. The advantages of this method are first, that, unlike classical principal component analysis, common factors can be estimated without assuming that the volatility of the factors is constant; and second, that the factor structure can be decomposed into permanent and transitory common factors. We conclude that only permanent factors are relevant for modeling the dynamics of interest rates, and that the common principal component approach appears to be more accurate than the classical principal component one to estimate the risk factor structure.Term Structure of Interest Rates, Principal Component Analy-sis, Common Principal Component Analysis

Evolution of Market Uncertainty around Earnings Announcements

This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates. The volatility implied by option prices can be interpreted as the level of volatility expected by the market over the remaining life of the option. We propose a theoretical framework for the evolution of the ISD that takes into account two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. In this context, the ISD should decrease after an earnings announcement but the post-announcement ISD path depends on the content of the earnings announcement: good news or bad news. An empirical investigation is conducted on the Swiss market over the period 1989-1998.

Periodic motions of coupled impact oscillators

International audienceWe study existence of time-periodic oscillations in a chain of coupled impact oscillators, for rigid impacts without energy dissipation. We formulate the search of periodic solutions as a boundary value problem incorporating unilateral constraints. This problem is solved numerically and different solution branches corresponding to nonlinear localized modes (breathers) and normal modes are computed

Periodic motions of coupled impact oscillators

International audienceIn this work, we study the existence and stability of time-periodic oscillations in a chain of linearly coupled impact oscillators reminiscent of a model analyzed in [2], for rigid impacts without energy dissipation. We introduce a numerical method allowing to compute branches of time-periodic so- lutions when an arbitrary number of nodes undergo rigid impacts. For this purpose, we reformulate the search of periodic solutions as a boundary value problem incorporating unilateral constraints. We illustrate this numerical approach by computing some families of nonlinear spatially localized modes (breathers) and extended modes

Measuring the Driving Forces of Predictive Performance: Application to Credit Scoring

In credit scoring, machine learning models are known to outperform standard parametric models. As they condition access to credit, banking supervisors and internal model validation teams need to monitor their predictive performance and to identify the features with the highest impact on performance. To facilitate this, we introduce the XPER methodology to decompose a performance metric (e.g., AUC, $R^2$) into specific contributions associated with the various features of a classification or regression model. XPER is theoretically grounded on Shapley values and is both model-agnostic and performance metric-agnostic. Furthermore, it can be implemented either at the model level or at the individual level. Using a novel dataset of car loans, we decompose the AUC of a machine-learning model trained to forecast the default probability of loan applicants. We show that a small number of features can explain a surprisingly large part of the model performance. Furthermore, we find that the features that contribute the most to the predictive performance of the model may not be the ones that contribute the most to individual forecasts (SHAP). We also show how XPER can be used to deal with heterogeneity issues and significantly boost out-of-sample performance

Multi-CPU and multi-GPU hybrid computations of multi-scale scalar transport

International audienceThe aim of this work is to propose an hybrid implementation of a semi-Lagrangian particle method on a multi-CPU and multi-GPU architecture. The applications we have in view deal with the transport of a passive scalar in a turbulent flow. For high Schmidt numbers (ratio of flow viscosity to scalar diffusivity), these problems exhibit two different scales: one related to the flow and the other -a smaller scale - to the scalar fluctuations. This scale separation motivates the use of hybrid methods where scalar and flow dynamics can be solved with different algorithms and at different resolutions. The coupling between these scales is done through the velocity field

Expérience vécue chez un chef étoilé et achat de produits locaux par les clients

La plupart des chefs étoilés mettent à l’honneur les produits locaux. Ils contribuent ainsi à mieux faire connaître les produits emblématiques de leurs régions auprès de leurs clients. Si la plupart des études s’intéressent à l’offre, nous nous intéressons ici à la demande et cherchons à mieux comprendre à travers une étude exploratoire le rôle que peuvent jouer les chefs étoilés dans l’achat de produits locaux par leurs clients à travers l’expérience gastronomique vécue par ces derniers. Les chefs étoilés seraient alors, non plus seulement des ambassadeurs de leurs régions, mais de véritables prescripteurs des producteurs de produits locaux.Most of chefs highlight local products through their cooking. They help to reveal to their customers their local iconic products. While most studies focus on offer, we are interested in demand. Through an exploratory study, we try to understand the role of the chefs in the purchase of local products by their customers through a gastronomic experience. The chefs would be not only ambassadors for their regions, but real prescribers for local producers

Immune mechanisms underlying the premunition against Plasmodium falciparum malaria

The most unique characteristic of a parasite when it is in its normal host is the ability to make itself tolerated, which clearly indicates that it has sophisticated means to ensure the neutrality of its host. This is true also in the case of Plasmodium falciparum, since after numerous malaria attacks an equilibrium is reached with a chronic stage of infection, characterized by a relatively low parasitemia, and low or no disease (Sergent & Parrot 1935). We shall briefly review the main characteristics of this state of "premunition", and present data suggesting that the underlying mechanisms of defense rely on the cooperation between cell and antibodies, leading to an antibody dependent cellular inhibition of the intra-erythrocytic growth of the parasite

Magmatic evolution of the Nevado del Ruiz volcano, Central Cordillera, Colombia : mineral chemistry and geochemistry

A partir de nouvelles données pétrographiques, minéralogiques et géochimiques, les auteurs réalisent une caractérisation géochimique des laves du Nevado del Ruiz (éruptions quaternaires, historiques et récentes) et des formations volcaniques du Pliocène des pentes de la Cordillère central