[fre] Deux projections à l'horizon 2000 construites à l'aide du modèle MINI-DMS-ÉNERGIE permettent de mieux cerner les relations entre facture énergétique, contrainte extérieure et croissance. Dans la première, dite «coopérative», le prix du pétrole progresse sensiblement, du fait de...

This paper is dedicated to risk analysis of credit portfolios. Assuming that default indicators form an exchangeable sequence of Bernoulli random variables and as a consequence of de Finetti's theorem, default indicators are Binomial mixtures. We can characterize the supermodular order between...

Up to the 2007 crisis, research within bottom-up CDO models mainly concentrated on the dependence between defaults. Since then, due to substantial increases in market prices of systemic credit risk protection, more attention has been paid to recovery rate assumptions. In this paper, we use...