Mathieu Boudreault

University of Quebec at Montreal (UQAM)

PB 8888 Station DownTown

Succursale Centre Ville

Montreal, Quebec H3C3P8

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

793

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness Under Model Risk

North American Actuarial Journal
Number of pages: 46 Posted: 26 Apr 2016 Last Revised: 31 Aug 2017
Maciej Augustyniak and Mathieu Boudreault
University of Montreal - Department of Mathematics and Statistics and University of Quebec at Montreal (UQAM)
Downloads 244 (127,379)

Abstract:

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segregated funds, equity-linked life insurance, stochastic interest rates, risk management, model uncertainty

2.

Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure

The final publication is available at Springer - Methodology and Computing in Applied Probability (DOI: 10.1007/s11009-016-9541-4)
Number of pages: 33 Posted: 11 Dec 2013 Last Revised: 03 Jan 2017
Maciej Augustyniak, Mathieu Boudreault and Manuel Morales
University of Montreal - Department of Mathematics and Statistics, University of Quebec at Montreal (UQAM) and University of Montreal
Downloads 218 (142,260)
Citation 3

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Markov-switching, regime-switching, GARCH, particle filtering, path dependence, collapsing

3.

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Number of pages: 39 Posted: 17 Aug 2012 Last Revised: 08 Dec 2012
Geneviève Gauthier, Mathieu Boudreault and Tommy Thomassin
HEC Montreal - Department of Decision Sciences, University of Quebec at Montreal (UQAM) and HEC Montreal
Downloads 209 (148,029)

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Credit risk, recovery rate, CDS, hybrid model, intensity, VaR

4.

Firm-Specific Credit Risk Estimation in the Presence of Regimes and Noisy Prices

Number of pages: 17 Posted: 03 May 2016 Last Revised: 28 May 2017
Jean-François Bégin, Mathieu Boudreault and Geneviève Gauthier
Simon Fraser University, University of Quebec at Montreal (UQAM) and HEC Montreal - Department of Decision Sciences
Downloads 84 (301,116)
Citation 1

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Credit risk, maximum likelihood estimation, regime-switching, filtering, noisy prices

5.

On a Joint Frequency and Severity Loss Model Applied to Earthquake Risk

Number of pages: 26 Posted: 07 Sep 2017
Mathieu Boudreault, Hélène Cossette and Etienne Marceau
University of Quebec at Montreal (UQAM), Université Laval - Faculté des Sciences et Génie and Université Laval - Faculté des Sciences et Génie
Downloads 36 (447,955)

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Earthquake Risk, Risk Management, Conditional Weibull Renewal Process, Seismic Gap Hypothesis

6.

Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis

Journal of Risk and Insurance, Vol. 86, Issue 2, pp. 263-296, 2019
Number of pages: 34 Posted: 11 May 2019
Simon Fraser University, University of Quebec at Montreal (UQAM), National Bank of Canada and HEC Montreal
Downloads 2 (649,394)
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