Mathieu Boudreault
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Cahiers du GERAD
In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood fun...
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The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statist...
référence BibTeXFirm-specific credit risk modelling in the presence of statistical regimes and noisy prices
Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...
référence BibTeXCredit and systemic risks in the financial services sector: Evidence from the 2008 global crisis
The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....
référence BibTeXEstimation of correlations in portfolio credit risk models based on noisy security prices
Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...
référence BibTeXCredit risk in corporate spreads during the financial crisis of 2008: A regime-switching approach
Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to c...
référence BibTeXCredit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model
This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...
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This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...
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