PAPAPANTOLEON Antonis

The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing houses. The two main issues in systemic risk measurement are the computation of an overall reserve level and its allocation to the different components according to their systemic relevance. We develop here a pragmatic approach to systemic risk measurement and allocation based on multivariate shortfall risk measures, where acceptable allocations are first computed and then aggregated so as to minimize costs. We analyze the sensitivity of the risk allocations to various factors and highlight its relevance as an indicator of systemic risk. In particular, we study the interplay between the loss function and the dependence structure of the components. Moreover, we address the computational aspects of risk allocation. Finally, we apply this methodology to the allocation of the default fund of a CCP on real data.

This thesis focuses on valuation and financial strategies for hedging risks in energy markets. These markets present particularities that distinguish them from standard financial markets, notably illiquidity and incompleteness. Illiquidity is reflected in high transaction costs and constraints on volumes traded. Incompleteness is the inability to perfectly replicate derivatives. We focus on different aspects of market incompleteness. The first part deals with valuation in Lévy models. We obtain an approximate formula for the indifference price and we measure the minimum premium to be brought over the Black-Scholes model. The second part concerns the valuation of spread options in the presence of stochastic correlation. Spread options deal with the price difference between two underlying assets -- for example gas and electricity -- and are widely used in the energy markets. We propose an efficient numerical procedure to calculate the price of these options. Finally, the third part deals with the valuation of a product with an exogenous risk for which forecasts exist. We propose an optimal dynamic strategy in the presence of volume risk, and apply it to the valuation of wind farms. In addition, a section is devoted to asymptotic optimal strategies in the presence of transaction costs.

This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, which in particular may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to have a wellposedness result for BSDEs driven by discrete approximations of general martingales.

We introduce a multiple curve framework that combines tractable dynamics and semianalytic pricing formulas with positive interest rates and basis spreads. Negative rates and positive spreads can also be accommodated in this framework. The dynamics of overnight indexed swap and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which allows us to derive Fourier pricing formulas for caps, swaptions, and basis swaptions. A model specification with dependent LIBOR rates is developed that allows for an efficient and accurate calibration to a system of caplet prices.