Van Son Lai

Université Laval

FSA ULaval

Quebec G1V 0A6

Canada

  • Université Laval

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    • Tel: 418-656-2131, x3943
SCHOLARLY PAPERS

39

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Scholarly Papers (39)

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1.

Bank Moral Hazard and the Introduction of Official Deposit Insurance in Canada

Number of pages: 46 Posted: 22 Mar 2002
Jean-Pierre Gueyie and Van Son Lai
University of Quebec in Montreal-Department of Finance and Université Laval
Downloads 519 (57,123)
Citation 4

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Moral Hazard, Risk-Taking, Capital, Deposit Insurance, Bank Regulation

2.

An Analysis of Private Loan Guarantee Portfolios

EFMA 2002 London Meetings , Journal of Fixed Income, Vol. 16, No. 1, 2006, pp. 55-64
Number of pages: 35 Posted: 19 Jun 2002 Last Revised: 15 May 2015
M. Michel Gendron, Van Son Lai and Issouf Soumaré
Université Laval - Département de Finance et Assurance, Université Laval and Laval University
Downloads 416 (74,981)
Citation 4

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3.

An Analysis of Government Loan Guarantees and Direct Investment through Public-Private Partnerships

Number of pages: 31 Posted: 11 Feb 2009 Last Revised: 15 May 2015
Van Son Lai and Issouf Soumaré
Université Laval and Laval University
Downloads 340 (94,616)
Citation 1

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Government loan guarantee, financial guarantees, government direct investment, public-private partnership (PPP)

4.

Project Risk Choices Under Privately Guaranteed Debt Financing

Quarterly Review of Economics and Finance, Vol. 48, No. 1, 2008
Number of pages: 49 Posted: 30 Nov 2004 Last Revised: 15 May 2015
Issouf Soumaré, Van Son Lai and Paul Angoua
Laval University, Université Laval and National Bank of Canada
Downloads 295 (110,564)

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Equilibrium, Endogenous risk choices, Financial guarantee, Insurance, Moral hazard, Risk sharing

5.

Risk-Based Capital and Credit Insurance Portfolios

Number of pages: 31 Posted: 14 Feb 2009
Van Son Lai and Issouf Soumaré
Université Laval and Laval University
Downloads 243 (135,277)
Citation 1

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Correlation, Credit insurance, Credit risk, Maturity

6.

Banks’ Capital Buffers, Risk and Performance in the Canadian Banking System: Impact of Business Cycles and Regulatory Changes

Journal of Banking and Finance, Vol. 37, No. 9, 2013
Number of pages: 44 Posted: 01 Oct 2011 Last Revised: 15 May 2015
Alaa Guidara, Van Son Lai, Issouf Soumaré and Fulbert Tchana Tchana
Université Laval, Université Laval, Laval University and Ministry of Finance, Quebec
Downloads 238 (138,079)
Citation 2

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Capital Buffer, Risk, Performance, Basel Accords, Regulation, Business Cycles, Canadian Banks

7.

How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?

Forthcoming, Journal of Money, Credit and Banking
Number of pages: 74 Posted: 10 Dec 2014 Last Revised: 03 Aug 2019
Van Son Lai and Xiaoxia Ye
Université Laval and University of Liverpool Management School
Downloads 203 (160,699)

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Bank regulatory closure rules or policy parameter, bank insolvency, regulatory forbearance, market-based closure rules, financial crises

8.

The Effects of Maturity Choices on Loan Guarantee Portfolios

Journal of Risk Finance, Vol. 7, No. 3, 2006, pp. 237-254.
Number of pages: 43 Posted: 30 Nov 2004 Last Revised: 15 May 2015
Issouf Soumaré, Van Son Lai and M. Michel Gendron
Laval University, Université Laval and Université Laval - Département de Finance et Assurance
Downloads 183 (176,666)

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Contingent-claims analysis, Credit risk, Financial guarantee, Insurance, Maturity choices, Project implementation

9.

Basel III Capital Buffer Requirements and Credit Union Prudential Regulation: Canadian Evidence

Journal of Financial Stability, Forthcoming
Number of pages: 50 Posted: 30 Jul 2016 Last Revised: 04 May 2017
Hélyoth Hessou and Van Son Lai
Laval University and Université Laval
Downloads 159 (199,611)
Citation 1

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Capital regulation, Credit union capital, Business cycle fluctuations, Countercyclical capital buffer, Conservative capital buffer, Basel III

10.

Hedging Portfolios of Financial Guarantees

Journal of Risk, Vol. 11, No. 2, 2008-2009
Number of pages: 34 Posted: 14 Feb 2009
Van Son Lai, Yves Langlois and Issouf Soumaré
Université Laval, affiliation not provided to SSRN and Laval University
Downloads 130 (234,875)

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Financial guarantee, Credit insurance, Dynamic hedging, Portfolio replication

11.

Cat Bond Spreads: A New Model with an Empirical Validation Using Nonparametric Tests

Number of pages: 50 Posted: 21 May 2016 Last Revised: 12 Mar 2017
Denis-Alexandre Trottier, Van Son Lai and Anne-Sophie Charest
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Université Laval and Université Laval - Faculté des Sciences et Génie
Downloads 111 (263,834)

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Pricing CAT bonds, HARA, Statistical analyses of CAT bond spreads, Nonparametric specification tests, Econometric pricing models, Out-of-sample analysis

12.

The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk

Number of pages: 30 Posted: 24 Feb 2014
Van Son Lai, Mathieu Parcollet and Bernard Lamond
Université Laval, BNP Paribas - BNP Paribas Investment Partners and Université Laval
Downloads 85 (314,445)
Citation 1

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CAT bond valuation, catastrophic and currency exchange risk, jump-diffusion

13.

Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence

Number of pages: 46 Posted: 18 Aug 2017 Last Revised: 21 Jul 2018
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
Concordia University, Quebec - Department of Mathematics & Statistics, Université Laval and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 83 (319,061)
Citation 2

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Option pricing, Regime-switching, Hidden Markov Models, Esscher transform, Path-dependence

14.

Insurance Firms’ Capital Adjustment, Profitability, and Insolvency Risk Under Underwriting Cycles

Number of pages: 52 Posted: 18 Oct 2015
Alaa Guidara and Van Son Lai
Université Laval and Université Laval
Downloads 68 (357,466)

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Capital adjustment level/speed, Insolvency risk, Profitability, Underwriting cycles, Property-liability insurance

15.

A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds

Forthcoming Scandinavian Actuarial Journal
Number of pages: 48 Posted: 21 Aug 2017 Last Revised: 12 Feb 2019
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
Concordia University, Quebec - Department of Mathematics & Statistics, Université Laval and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 65 (365,913)

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Distortion operator, Arbitrage-free pricing, Wang transform, Insurance pricing, Contingent claim pricing, Pricing of CAT bonds, Distortion risk measure

16.

On the Value of Municipal Bond Insurance: An Empirical Analysis

Financial Markets, Institutions & Instruments, Forthcoming
Number of pages: 32 Posted: 17 May 2013
Van Son Lai and Xueying Zhang
Université Laval and ShanDong University of Finance and Economics
Downloads 64 (368,819)

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Municipal bonds, bond insurance, yields at issue, business cycles

17.

Hedging Flood Losses Using Cat Bonds

Asia-Pacific Journal of Risk and Insurance, Forthcoming
Number of pages: 38 Posted: 31 May 2015
Alexandre Tetu, Van Son Lai, Issouf Soumaré and M. Michel Gendron
Industrial Alliance Insurance and Financial Services Inc.,, Université Laval, Laval University and Université Laval - Département de Finance et Assurance
Downloads 60 (381,010)
Citation 2

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Cat bond, Catastrophe bond, Catastrophe risk, Floods, Insurance, Risk management, Risk transfer, Securitization

18.

A Characterization of CAT Bond Performance Indices

Number of pages: 13 Posted: 27 Mar 2018
Denis-Alexandre Trottier, Van Son Lai and Frédéric Godin
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Université Laval and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 55 (397,351)

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Catastrophe bonds, CAT bond Swiss Re indices, Regime-switching GARCH models

19.

Basel III Capital Buffers and Canadian Credit Unions Lending: Impact of the Credit Cycle and the Business Cycle

International Review of Financial Analysis, Forthcoming
Number of pages: 37 Posted: 13 Feb 2018
Hélyoth Hessou and Van Son Lai
Laval University and Université Laval
Downloads 39 (457,353)

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20.

Réplication D'Obligations Risquées Avec Des Modèles D'Options (Hedging Risky Bonds with Options Models)

Number of pages: 16 Posted: 12 Mar 2015
Asshvin Gajadharsingh and Van Son Lai
Université Laval - Faculté d'Administration and Université Laval
Downloads 27 (514,982)

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21.

Diversification Benefits of Cat Bonds: An In-Depth Examination

Number of pages: 64 Posted: 13 Apr 2020
Karl Demers-Belanger and Van Son Lai
iA Financial Group (Industrial Alliance Insurance and Financial Services) and Université Laval
Downloads 17 (575,930)

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Catastrophe Bonds, Asset Allocation, Factor Investing, Diversification, Stochastic Dominance Efficiency, Mean-Variance Spanning, Portfolio Optimization, Time Varying, Regime Switching, Dynamic Correlation

22.

Are Market Views on Banking Industry Useful for Forecasting Economic Growth?

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 33 Posted: 18 Nov 2018
Van Son Lai, Xiaoxia Ye and Lu Zhao
Université Laval, University of Liverpool Management School and Stockholm University - Stockholm Business School
Downloads 17 (575,930)

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Bank regulation, Regulatory forbearance, Forecasting, Economic growth

23.

Risk-Based Capital and Credit Insurance Portfolios

Financial Markets, Institutions & Instruments, Vol. 19, Issue 1, pp. 21-45, February 2010
Number of pages: 25 Posted: 20 Jan 2010
Van Son Lai and Issouf Soumaré
Université Laval and Laval University
Downloads 2 (681,085)
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24.

Reinsurance or Cat Bond? How to Optimally Combine Both

Journal of Fixed Income, Forthcoming, https://doi.org/10.3905/jfi.2017.27.2.065
Posted: 21 May 2019
Denis-Alexandre Trottier and Van Son Lai
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students and Université Laval

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Catastrophe bonds, Reinsurance, Risk management, Contingent claims analysis

25.

Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount

Journal of Fixed Income, 2017, https://doi.org/10.3905/jfi.2017.26.3.063
Posted: 20 Aug 2016 Last Revised: 21 May 2019
Ayoub Gargouri, Van Son Lai and Issouf Soumaré
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Université Laval and Laval University

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Interest Rate Swap, Counterparty Credit Risk, Credit Value Adjustment (CVA), Wrong-Way Risk, Overnight Indexed Swap (OIS)

26.

The Strategic Capital Budgeting Process: A Review of Theories and Practices

Real Options in Capital Investment: New Contributions, L. Trigeorgis (Ed.), Praeger Publishers, 1995, 69-86
Posted: 17 Mar 2015
Van Son Lai and Lenos Trigeorgis
Université Laval and University of Cyprus - Department of Public and Business Administration

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27.

Economic Capital for Bond Insurers

Journal of Fixed Income, Winter 2010, vol. 19, n° 3, 47-65
Posted: 16 Mar 2015
Luc Grégoire, Van Son Lai and Issouf Soumaré
Independent, Université Laval and Laval University

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28.

An Empirical Investigation of Asset-Liability Management of Small Us Commercial Banks

Applied Financial Economics, 7, 1997, 525-536
Posted: 16 Mar 2015
Van Son Lai and M. Kabir Hassan
Université Laval and University of New Orleans - College of Business Administration - Department of Economics and Finance

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29.

Market Discipline of Canadian Banks’ Letters of Credit Activities: An Empirical Examination

The Service Industries Journal, Issue 22.4, 2002, 187-208
Posted: 16 Mar 2015
M. Kabir Hassan, Van Son Lai and Min-Teh Yu
University of New Orleans - College of Business Administration - Department of Economics and Finance, Université Laval and National Chiao Tung University

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30.

Credit Enhancement and Loan Default Risk Premiums

Canadian Journal of Administrative Sciences, vol. 19, 3, 2002, 301-312
Posted: 16 Mar 2015
Chuang-Chang Chang, Van Son Lai and Min-Teh Yu
National Central University at Taiwan - Department of Finance, Université Laval and National Chiao Tung University

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31.

The Impact of the Gramm-Leach-Bliley Act on the Financial Services Industry

Journal of Economics and Finance 28, 3, 2004, 333-347
Posted: 16 Mar 2015
Abdullah Al Mamun, M. Kabir Hassan and Van Son Lai
University of Newcastle (Australia) - Newcastle Business School, University of New Orleans - College of Business Administration - Department of Economics and Finance and Université Laval

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32.

Thrift Viability and Traditional Mortgage Lending: A Simultaneous Equations Analysis of the Risk-Return Trade-Off

The Journal of Real Estate Research, vol. 13, 2, 1997, 155-175.
Posted: 09 Mar 2015
M. Cary Collins, Van Son Lai and James E. McNulty
University of Tennessee, Knoxville - Department of Finance, Université Laval and Florida Atlantic University

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33.

On Financial Guarantee Insurance Under Stochastic Interest Rates

The Geneva Papers on Risk and Insurance Theory, 19, 1994, 119-137.
Posted: 09 Mar 2015
Van Son Lai and M. Michel Gendron
Université Laval and Université Laval - Département de Finance et Assurance

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34.

On the Valuation of Private Loan Guarantees: Wealth Effects and Government Insurance Protection

Research in Finance, vol. 12, 1995, 141-181.
Posted: 09 Mar 2015
Van Son Lai
Université Laval

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35.

The Effects of Variations in Laxity (or Strictness) of Closure Rules on the Valuation of Deposit Insurance

THE FINANCIAL REVIEW, Vol. 31 No. 4 NOVEMBER 1996 PP. 721-746
Posted: 09 Mar 2015
Van Son Lai
Université Laval

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36.

An Analysis of Private Loan Guarantees

Journal of Financial Services Research (1992) 6:223-248
Posted: 09 Mar 2015
Van Son Lai
Université Laval

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37.

Coinsurance and Private-Public Partnership in Deposit Insurance

Research in Finance, vol. 15, 1997, 275-303.
Posted: 08 Mar 2015 Last Revised: 10 Mar 2015
Van Son Lai and Stephan Warywoda
Université Laval and Université Laval - Faculté d'Administration

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38.

On the Value of Municipal Bond Insurance: An Empirical Analysis

Financial Markets, Institutions & Instruments, Vol. 22, Issue 4, pp. 209-228, 2013
Number of pages: 20 Posted: 15 Nov 2013
Van Son Lai and Xueying Zhang
Université Laval and ShanDong University of Finance and Economics
Downloads 0 (711,284)
Citation 1
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Municipal bonds, bond insurance, yields at issue, interest rates, business cycles

39.

The Effectiveness of Bank Measures of Capital: A Canadian Study

Posted: 29 Sep 1999
Daniel Coulombe, Van Son Lai and Robert Mathieu
Université Laval - Département des Sciences Comptables, Université Laval and Wilfrid Laurier University

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