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Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
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Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François; Boudreault, Mathieu; … - In: The journal of futures markets 44 (2024) 1, pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
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Firm-specific credit risk estimation in the presence of regimes and noisy prices
Bégin, Jean-François; Boudreault, Mathieu; Gauthier, … - In: Finance research letters 23 (2017), pp. 306-313
Persistent link: https://www.econbiz.de/10011808423