Mathieu Maurice

HEC Montréal

Research professional

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

5

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1,566

TOTAL CITATIONS
Rank 39,467

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Top 39,467

in Total Papers Citations

33

Scholarly Papers (5)

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1.

Default Risk in Corporate Yield Spreads

Canada Research Chair in Risk Management Working Paper No. 05-08, Financial Management 39, 2, 707-731, 2010
Number of pages: 36 Posted: 08 Nov 2010 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 580 (94,572)
Citation 3

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Corporate yield spread, default risk, estimation period, generator, recovery rate, data filtration, confidence intervals

2.

Default Risk, Default Risk Premiums, and Corporate Yield Spreads

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 01 Mar 2006
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 430 (136,028)
Citation 1

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Corporate yield spread, default risk, default risk premium, credit spread level puzzle, macroeconomic risk premium

3.

The Role of Memory in Long-Term Contracting with Moral Hazard: Empirical Evidence in Automobile Insurance

Number of pages: 61 Posted: 04 Aug 2005
Georges Dionne, Mathieu Maurice, Jean Pinquet and Charles Vanasse
HEC Montreal - Department of Finance, HEC Montréal, Université Paris X Nanterre and TD Asset Management
Downloads 309 (195,861)
Citation 21

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Memory, long-term contracting, moral hazard, empirical evidence, automobile

4.

A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors

Journal of Banking and Finance, Vol. 35, No. 8, 2011
Number of pages: 53 Posted: 09 Nov 2010 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 146 (395,448)
Citation 4

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Credit Spread, Default Spread, Markov Switching, Macroeconomic Factors, Reduced Form Model of Default, Random Subjective Discount Factor, Credit Default Swap, CDS

5.

Point-Record Incentives, Asymmetric Information and Dynamic Data

Number of pages: 52 Posted: 27 Aug 2007
Jean L. Pinquet, Georges Dionne, Charles Vanasse and Mathieu Maurice
Economix, HEC Montreal - Department of Finance, TD Asset Management and HEC Montréal
Downloads 101 (522,616)
Citation 4

Abstract:

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Incentives, road safety, point-record mechanisms