Jun 2019 Likelihood evaluation of jump-diffusion models using deterministic nonlinear filters Jean-François Bégin and Mathieu Boudreault G-2019-38
Dec 2017 Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias Diego Amaya, Mathieu Boudreault, and Don L. McLeish G-2017-107
Jul 2016 Firm-specific credit risk modelling in the presence of statistical regimes and noisy prices Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier G-2016-56
Oct 2015 Credit and systemic risks in the financial services sector: Evidence from the 2008 global crisis Jean-François Bégin, Mathieu Boudreault, Delia-Alexandra Doljanu, and Geneviève Gauthier G-2015-114
Dec 2014 Estimation of correlations in portfolio credit risk models based on noisy security prices Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin G-2014-109
Nov 2014 Credit risk in corporate spreads during the financial crisis of 2008: A regime-switching approach Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier G-2014-77
Aug 2012 Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin G-2012-45
Jul 2010 Credit Risk Model: On the Non-Linear Relationship Between Default Intensity and Leverage Mathieu Boudreault and Geneviève Gauthier G-2010-40