Cahiers : GERAD

Group for Research in Decision Analysis

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