Mathieu Boudreault

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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...

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Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

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The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....

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Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

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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...

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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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