Olfa Maalaoui

Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance

Bloomberg L.P.

731 Lexington Ave

NY, NY 10022

United States

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 19,902

SSRN RANKINGS

Top 19,902

in Total Papers Downloads

3,640

SSRN CITATIONS
Rank 41,989

SSRN RANKINGS

Top 41,989

in Total Papers Citations

10

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.

The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms

Number of pages: 33 Posted: 28 Aug 2021
Mario Bondioli, Martin Goldberg, Nan Hu, Chengrui Li, Olfa Maalaoui, Olfa Maalaoui and Harvey J. Stein
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads 1,246 (23,417)

Abstract:

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Merton, Black-Cox, distance to default, real-world default probability, logistic regression, public firms, credit risk

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge

Number of pages: 66 Posted: 14 Mar 2012 Last Revised: 11 Mar 2013
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 547 (70,984)
Citation 3

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Risk management, hedging using derivatives, SOX and NYSE regulations, university education of directors, firm performance

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge

Number of pages: 64 Posted: 12 Jun 2012
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 135 (294,561)
Citation 2

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Corporate governance, risk management, Sarbanes Oxley act, university education

3.

Detecting Regime Shifts in Credit Spreads

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 84 Posted: 16 Jun 2008 Last Revised: 11 Mar 2013
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 548 (71,612)
Citation 3

Abstract:

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Credit spread regimes, level regimes, volatility regimes, credit cycle, economic cycle, monetary effect, credit supply effect

4.

The Bloomberg Corporate Default Risk Model (DRSK) for Private Firms

Number of pages: 31 Posted: 27 Aug 2021
Mario Bondioli, Martin Goldberg, Nan Hu, Chengrui Li, Olfa Maalaoui, Olfa Maalaoui and Harvey J. Stein
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads 429 (96,121)

Abstract:

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DRSK, private firms, real-world default probability, distance to default, credit risk, logistic regression

5.

Credit Spread Changes within Switching Regimes

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 12 Feb 2009 Last Revised: 11 Mar 2013
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 395 (105,729)
Citation 2

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Credit spread, Markov switching regimes, market risk, liquidity risk, default risk, credit cycle, NBER economic cycle.

6.

Can Higher-Order Risks Explain the Credit Spread Puzzle?

Number of pages: 51 Posted: 01 Jun 2016
Cedric Okou, Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Jingyuan Li
University of Quebec at Montreal (UQAM), Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 103 (355,588)
Citation 1

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Credit Spread Puzzle, Asymmetry, Illiquidity, Higher-Order Risks

Default and Liquidity Regimes in the Bond Market During the 2002-2012 Period

Canadian Journal of Economics, Forthcoming
Number of pages: 39 Posted: 21 Aug 2013 Last Revised: 17 Sep 2013
Georges Dionne, Olfa Maalaoui and Olfa Maalaoui
HEC Montreal - Department of Finance and Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 96 (375,041)

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Credit spread, credit default swaps, real-time regime detection, market risk, liquidity cycle, default cycle, credit cycle, NBER economic cycle

Default and Liquidity Regimes in the Bond Market During the 2002–2012 Period (Régimes de risque de défaut de paiement et de liquidité dans le marché obligataire pour la période 2002–2012)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 46, Issue 4, pp. 1160-1195, 2013
Number of pages: 36 Posted: 15 Nov 2013
Georges Dionne, Olfa Maalaoui and Olfa Maalaoui
HEC Montreal - Department of Finance and Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 0
Citation 1

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8.

Does Good Governance Create Value for International Acquirers in Africa: Evidence from US Acquisitions

Number of pages: 31 Posted: 19 Apr 2013
Narjess Boubakri, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
American University of Sharjah - School of Business and Management, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 85 (401,017)
Citation 1

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Governance, Mergers, Africa, Acquisitions, Financial Performance

The Governance of Risk Management: The Importance of Directors’ Independence and Financial Knowledge

Number of pages: 79 Posted: 05 Jun 2019
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 56 (507,097)
Citation 1

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risk management governance, financial knowledge, financial and accounting education of director, financial experience of director, independence of director, policy implications

The Governance of Risk Management: The Importance of Directors’ Independence and Financial Knowledge

Risk Management and Insurance Review, Vol. 22, Issue 3, pp. 247-277, 2019
Number of pages: 31 Posted: 05 Jun 2020
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and affiliation not provided to SSRN
Downloads 0

Abstract:

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10.

Default Risk for Bonds with a Make Whole Call Provision

Posted: 11 Mar 2013
Olfa Maalaoui and Olfa Maalaoui
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance

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make whole call provision, time-varying strike price, default probability