2023
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation (forthcoming in Journal of Risk)
Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers (forthcoming in Energy Economics)
Causality in empirical analyses with emphasis on asymmetric information and risk management
(forthcoming in Handbook of insurance, third edition)
2022
Précisions importantes sur le backtesting comparatif de la VaR
A re-examination of the U.S. insurance market’s capacity to pay catastrophe losses (Risk Management and Insurance Review 25, 4, 515-549, décembre 2022)
Determinants and real effects of joint hedging: An empirical analysis of the US petroleum industry
The Profitability of Lead-Lag Arbitrage at High-Frequency-05
2021
The new international regulation of market risk: Roles of VaR and CVaR in model validation (French version published in Insurance and Risk Management 87, 3-4, 169-207, January 2021)
Hierarchical random-effects model for insurance pricing of vehicles belonging to a fleet (Journal of Applied Econometrics 38, 2, 242-259, March 2023)
Road safety for fleets of vehicles (International Journal of Banking, Finance and Insurance Technologies 1, 1, 31-59, October 2021)
International High-Frequency Arbitrage for Cross-Listed Stocks (forthcoming in International Review of Financial Analysis)
2020
Reinsurance demand and liquidity creation: A search for bicausality (Journal of Empirical Finance 66, 137-154, January 2022)
Sécurité routière des flottes et des conducteurs de véhicules lourds (L’Actualité économique 96, 3, September 2020)
The new international regulation of market risk: Roles of VaR and CVaR in model validation (Insurance and Risk Management 87, 3-4, 169-207, January 2021)
Deep limit order book events dynamics
2019
Nonparametric testing for information asymmetry in the mortgage servicing market
Coherent diversification measures in portfolio theory: An axiomatic foundation (Risks 10: 205)
The CDS-bond basis: Negativity persistence and limits to arbitrage
2018
The impact of central clearing on the market for single-name credit default swaps (North American Journal of Economics and Finance 56, no 101346, 2021)
Machine learning and high-frequency algorithms during batch auctions
Cyclical variations in liquidity risk of corporate bonds
Forecasting expected shortfall: Should we use a multivariate model for stock market factors? (International Journal of Forecasting 39, 1, 314-331, January-March 2023)
Real implications of corporate risk management: Review of main results and new evidence from a different methodology (L’actualité économique 94, 407-452, December 2018)
Machine learning and risk management: SVDD meets RQE
The governance of risk management: The importance of directors’ independence and financial knowledge (Risk Management and Insurance Review 22, 247-277, October 2019)
2017
Effects of insurance incentives on road safety: Evidence from a natural experiment in China (Scandinavian Journal of Economics 123, 2, 453–477, April 2021)
Reinsurance demand and liquidity creation
2016
Can higher-order risks explain the credit spread puzzle?
Dynamic corporate risk mananagement: Motivations and real implications (Journal of Banking and Finance 95, 97-111, septembre 2018)
Profitability and market quality of high frequency market-makers: An empirical investigation
The dynamics of ex-ante weighted spread: An empirical analysis (Quantitative Finance 20, 4, 593-617, mars 2020)
Asymmetric effects of the limit order book on price dynamics (Journal of Empirical Finance 65, 77-98, 2022)
2015
Modelling and estimating individual and firm effects with count panel data (Astin Bulletin 48, 1049-1078, September 2018)
Hidden Markov regimes in operational loss data: Application to the recent financial crisis (Journal of Operational Risk 12, 1, 23-51, March 2017)
Optimal form of retention for securitized loans under moral hazard (Risks, https://www.mdpi.com/2227-9091/5/4/55/pdf)
The dynamics of ex-ante high-frequency liquidity: An empirical analysis
2014
Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse (Journal of Banking & Finance, 59, 202-219, June 2015)
Health care workers’ risk perceptions of personal and work activities and willingness to report for work during an influenza pandemic (Risks 2018, 6, 8, doi:10.3390/risks6010008)
Production flexibility and hedging (Risks 3, 543-552, 2015)
Economic effects of risk classification bans (The Geneva Risk and Insurance Review 39, 184-221, 2014)
Effects of the limit order book on price dynamics
2013
Gestion des risques: histoire, définition et critique (Assurances et gestion des risques/Insurance and Risk Management 81, 1-2, 19-46, March-April 2013)
Risk management: History, definition and critique (Risk Management and Insurance Review 16, 2, 147-166, Fall 2013)
How do firms hedge risks? Empirical evidence from U.S. oil and gas producers (Energy Economics 63, 348-364, March 2017)
Default and liquidity regimes in the bond market during the 2002-2012 period (Canadian Journal of Economics 46, 4, 1160-1195, November 2013)
The maturity structure of corporate hedging: The case of the U.S. oil and gas industry
2012
A review of recent theoretical and empirical analyses of asymmetric information in road safety and automobile insurance (Research in Transportation Economics 43, 85-97, July 2013)
Comparative Ross risk aversion in the presence of mean dependent risks (Journal of Mathematical Economics 51, 128-135, March 2014)
Structural credit risk models: A review (Assurances et gestion des risques 80, 1, 53-93, April 2012)
An Alternative Representation of the C-CAPM with Higher-Order Risks
Entry, imperfect competition, and futures market for the input (International Journal of Industrial Organization 35, 70-83, July 2014)
Securitization and optimal retention under moral hazard (Journal of Mathematical Economics 55, 74-85, December 2014)
Comparative Ross risk aversion in the presence of quadrant dependent risks
Adverse selection in insurance contracting (in G. Dionne Ed., Handbook of Insurance, Second Edition, 231-280, 2014)
Risk classification and health insurance (in A.J. Culyer Ed., Encyclopedia of Health Economics vol 3, 272-280, 2014)
The empirical measure of information problems with emphasis on insurance fraud and dynamic data (in G. Dionne Ed., Handbook of Insurance, Second Edition, 423-448, 2014)
2011
When can expected utility handle first-order risk aversion? (Journal of Economic Theory 154, 403-422, 2014)
Book review of The Theory of Corporate Finance (Journal of Risk and Insurance 78, 3, 791-793, September 2011)
Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-level data (Journal of Empirical Finance 33, 276-286, September 2015)
Does opportunistic fraud in automobile theft insurance fluctuate with the business cycle? (Journal of Risk and Uncertainty 47, 67-92, August 2013)
Risk classification in insurance contracting
2010
Corporate risk management and dividend signaling theory (Finance Research Letters 8, 188-195, December 2011)
Extremal events in a bank operational losses (Journal of Operational Risk 5, 2, 63-78, été 2010, under the title: “A practical application of extreme value theory to operational risk in banks”)
Does asymmetric information affect the premium in mergers and acquisitions? (Canadian Journal of Economics 48, 3, 819-852, August 2015 )
The impact of prudence on optimal prevention revisited (Economics Letters 113, 147-149, November 2011)
Separating moral hazard from adverse selection and learning in automobile insurance: Longitudinal evidence from France (Journal of the European Economic Association 11, 4, 897-917, August 2013)
A reduced form model of default spreads with Markov-switching macroeconomic factors (Journal of Banking and Finance 35, 8, 1984-2000, 2011)
Le calcul de la valeur statistique d’une vie humaine (L’Actualité économique 86, 4, 487-530, December 2010)
A theoretical extension of the consumption-based CAPM model
2009
Credit spread changes within switching regimes (Journal of Banking and Finance 49, 41-55, December 2014)
On the determinants of the implied default barrier (Journal of Empirical Finance 19, 395-408, June 2012)
Basket options on heterogeneous underlying assets (Journal of Futures Markets 33, 4, 299-326, 2013; under the title: “Risk management of non-standard basket options with different underlying assets”)
Performance analysis of a collateralized fund obligation (CFO) equity tranche (The European Journal of Finance 19, 6, 518-553)
Analyse empirique des historiques d’infractions au code de la route (Pour une économie de la sécurité routière, L. Carnis et D. Mignot, Economica, p. 123-139, 2012)
Structured finance, risk management, and the recent financial crisis (Ivey Business Journal, November-December 2009)
Finance structurée, gestion des risques et récente crise financière (Risques 80, 122-127, December 2009)
2008
The costs and benefits of reinsurance (Geneva Papers on Risk and Insurance – Issues and Practice 46, 177-199, March 2021)
Detecting regime shifts in credit spreads (Journal of Financial and Quantitative Analysis 49, 5/6, 1339-1364, October/December 2014)
2007
Scaling models for the severity and frequency of external operational loss data (Journal of Banking and Finance 34, 1484-1496, 2010)
Environmental risks, the judgment-proof problem and financial responsibility (European Journal of Law and Economics 30, 77-87, 2010)
Poisson models with employer-employee unobserved heterogeneity: An application to absence data
What about underevaluating operational value at risk in the banking sector?
Estimating the effect of a change in insurance pricing regime on accidents with endogenous mobility
On debt service and renegotiation when debt-holders are more strategic (Journal of Financial Intermediation 22, 353-372, July 2013)
A reduced form model of default spreads with Markov switching macroeconomic factors
2006
Heterogeneous basket options pricing using analytical approximations (Multinational Finance Journal 15, no. 1/2, 47-85, March/June 2011)
Asymmetric information and adverse selection in Mauritian slave auctions (Review of Economic Studies 76, 1269-1295, 2009)
Les méthodes de tarification des options paniers
Predicted risk perception and risk-taking behavior: The case of impaired driving (Journal of Risk and Uncertainty 35, 3, 237-264, 2007)
Estimation of the default risk of publicly traded Canadian companies (Canadian Journal of Administrative Sciences 25, 2, 134-152, 2008)
Efficiency of insurance firms with endogenous risk management and financial intermediation activities (Journal of Productivity Analysis 32, 2, 145-159, 2009)
Lottery qualities (Journal of Risk and Uncertainty 32, 195-216, 2006)
Consolidation and value creation in the insurance industry: The role of governance (Journal of Banking and Finance 32, 56-68, 2008)
Book review of "Foundations of Economic Analysis of Law", Shavell, S., The Belknap Press of Harvard University Press, 2004 (Journal of Risk and Insurance 73, 4, 737-743, 2006)
Autoregressive conditional duration (ACD) models in finance: A survey of the theoretical and empirical literature (Journal of Economic Surveys 22, 4, 711-751)
Empirical evaluation of investor rationality in the asset allocation puzzle (Economics Letters 100, 304-307, 2008)
The value of a statistical life: A meta-analysis with a mixed effects regression model (Journal of Health Economics 28, 2, 444-464, 2009)
2005
Exotic options pricing under stochastic volatility
Testing explanations of preference reversal: A model
Research on corporate hedging theories: A critical review of the evidence to date (ICFAI Journal of Financial Economics IV, 14-40, 2006)
New evidence on the determinants of absenteeism using linked employer-employee data (Industrial and Labor Relations Review 61, 1, 108-120, 2007)
Modélisation et estimation des effets individuels et d’entreprise avec des données de panel: une application aux flottes de véhicules (Assurances et gestion des risques/Insurance and Risk Management 73, 4, 457-497, 2006)
Default risk in corporate yield spreads (Financial Management 39, 2, 707-731, 2010)
Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange (Journal of Empirical Finance 16, 5, 777-792, 2009)
2004
Conditions ensuring the separability of asset demand for all risk averse investors (The European Journal of Finance 13, 397-404, 2007)
La perception des risques d’accident et d’arrestation lors de conduite avec facultés affaiblies (Assurances et gestion des risques/Insurance and Risk Management 72, 3, 491-553, 2004)
On the necessity of using lottery qualities
On risk management determinants: What really matters? (European Journal of Finance 19, 2, 145-164, 2013)
Book review of Credit risk: Pricing, measurement, and management (Journal of Risk and Insurance 72, 1, 177-182, 2005)
Vehicle and fleet random effects in a model of insurance rating for fleets of vehicles (Astin Bulletin, 36, 1, 25-77, 2006)
2003
Banks’ capital, securitization and credit risk: An empirical evidence for Canada (Assurances et gestion des risques/Insurance and Risk Management 75, 4, 459-485, 2008)
Comparative mixed risk aversion: Definition and application to self-protection and willingness to pay (Journal of Risk and Uncertainty 29, 3, 261-276, 2004)
Valuing credit derivatives using Gaussian quadrature: A stochastic volatility framework (Journal of Futures Markets 24, 1, 3-35, 2004)
Risk management and corporate governance (Risk 17, 5, S19-S21, 2004)
Corporate risk management: A model based on forward and volatility risk premia (The Quarterly Review of Economics and Finance 44, 710-726, 2004)
Modèle bayésien de tarification de l’assurance des flottes de véhicules (L’Actualité économique 80, 2-3, 253-303, 2004)
The (1992) bonus-malus system in Tunisia: An empirical evaluation (The Journal of Risk and Insurance 72, 4, 609-633, 2005)
The foundations of banks’ risk regulation: A review of the literature (In: The Evolving Financial System and Public Policy, Actes de conférence, Banque du Canada, 177-215, December 2003)
2002
Statistical analysis of value-of-life estimates using hedonic wage method
How to make a public choice about the value of a statistical life: The case of road safety (Journal of Transport Economics and Policy 38, 2, 247-274, 2004)
Book review of Risk Management (Journal of Risk and Insurance 69, 4, 605-610, 2002)
Les déterminants du comportement des banques canadiennes en matière de titrisation (Assurances et gestion des risques/Insurance and Risk Management 70, 4, 649-676, 2003)
Optimal auditing for insurance fraud (Management Science 55, 58-70, 2009)
Traffic safety diagnostic and application of countermeasures for rural roads in Burkina Faso (Transportation Research Record 1846, 2003, 39-43)
2001
Stochastic dominance and optimal portfolio (Economics Letters 71, 347-354, 2001)
Optimal cognitive processes for lotteries
La perception du risque d’être arrêté chez les camionneurs et transporteurs routiers (Assurances 69, 1, 61-104, 2001)
Commitment and automobile insurance regulation in France, Quebec and Japan (In: Deregulating Property-Liability Insurance, J.D. Cummins Ed., AEI-Brookings, Washington, 362-390, 2001)
The role of memory in long-term contracting with moral hazard: Empirical evidence in automobile insurance (An extension of this version published in The Review of Economics and Statistics 93, 1, 218-227)
Pricing of automobile insurance in presence of asymmetric information : A study on panel data
Dynamics of realized volatility and correlations : An empirical study using interest rate spread options (Journal of Banking and Finance 30, 2109-2130, 2006)
Les assureurs français ont-ils intérêt à utiliser les points de permis pour tarifer l’assurance automobile? (Assurances 69, 3, 423-462, 2001)
Un modèle de tarification optimal pour l’assurance automobile dans le cadre d’un marché réglementé: application à la Tunisie (Assurances 69, 4, 589-601, 2002)
Appariement de l’actif et du passif d’un assureur vie par l’utilisation de produits dérivés (Assurances 69, 4, 565-588, 2002)
2000
Replacement cost endorsement and opportunistic fraud in automobile insurance (Journal of Risk and Uncertainty, 213-230, 2002)
Les déterminants de la gestion des risques par les entreprises non financières: une revue de la littérature (Assurances 67, 4, 596-636, 2000)
Experience rating schemes for fleets of vehicles (Astin Bulletin 31, 1, 81-106, 2001)
The empirical measure of information problems with emphasis on insurance fraud (In: Handbook of Insurance, G. Dionne, Éd., Kluwer Academic Publishers, Boston, 395-419, 2000)
Adverse selection in insurance markets (In: Handbook of Insurance, G. Dionne, Éd., Kluwer Academic Publishers, Boston, 185-243, 2000)
L’importance de la procédure dans les choix de loterie (L’Actualité économique 76, 3, 321-340, 2000)
Credit spread option valuation under GARCH (Journal of Derivatives 14, 1, 27-39, 2006)
Dynamic financial contract under extended liability
Une mesure empirique des déterminants qui affectent la gestion des risques des entreprises non financières (Assurances 68, 4, 475-492, 2001)
Comparative mixed risk aversion
Risk management determinants affecting firms’ values in the gold mining industry: New empirical results (Economics Letters 79, 1, 43-52, 2003)
Optimal financial portfolio and dependence of risky assets
1999
L’évaluation des risques d’accidents des transporteurs routiers: des résultats préliminaires
Capital structures and compensation policies
Full pooling in multi-period contracting with adverse selection and noncommitment (Review of Economic Design 5, 1, 1-21, 2000)
Media attention, insurance regulation and liability insurance pricing (Journal of Risk and Insurance 67, 1, 39-74, 2000)
1998
Offre d’assurance non vie : une revue de la littérature récente (Encyclopédie de l’assurance, F. Ewald, J.H. Lorenzi, Éd., Economica, France, 1997, 1533-1558)
The informational content of household decisions with applications to insurance under adverse selection (Journal of Political Economy 109, 2001, 444-453; improved version in: Competitive Failures in Insurance Markets, P.A. Chiappori et C. Gollier, Eds, MIT Press Book, 159-184, 2006)
Information structure, labour contracts and the strategic use of debt
Overcompensation as a partial solution to commitment and renegotiation problems : The case of ex-post moral hazard (Journal of Risk and Insurance 71, 559-582, 2004)
A rationale for borrowing more than needed
Analysis of the economic impact of medical and optometric driving standards on costs incurred by trucking firms and on the social costs of traffic accidents (Automobile Insurance: Road Safety, New Drivers, Risks, Insurance Fraud and Regulation, G. Dionne and C. Laberge-Nadeau, Eds, 323-351, 1999)
The estimation of deposit insurance with interest rate risk (Journal of Empirical Finance 9, 109-132, 2002)
Portfolio response to a shift in a return distribution: Comment (Economic Letters 71, 347-354, 2001)
Evidence of adverse selection in automobile insurance markets (Automobile Insurance: Road Safety, New Drivers, Risks, Insurance Fraud and Regulation, G. Dionne and C. Laberge-Nadeau, Eds, 13-46, 1999)
Réflexion sur l’optimalité des contrats d’assurance
The principal-agent relationship: Two distributions satisfying MLRP and CDFC (Economic Theory 21, 167-173, 2003 – with M. LiCalzi)
Environmental risk and extended liability: The case of green technologies (Journal of Public Economics 87, 5-6, 1025-1060, 2003)
An analysis of the title insurance industry (Journal of Insurance Regulation 17, 213-255, 1998)
Internal control systems and risk management in the life and health insurance industry: Current issues (Assurances 67, 1, 61-85, 1999)
La mesure empirique des problèmes d’information (L’Actualité économique 74, 4, 585-606, 1998)
Some remarks about the probability weighting function (Journal of Risk and Uncertainty 22, 1, 21-33, 2001)
1997
Assurance valeur à neuf et vols d’automobiles: une étude statistique (Assurances 65, 1, 49-62, 1997)
Analyse de l’effet des règles d’obtention d’un permis de conduire au Québec (1991) sur la sécurité routière (L’Actualité économique 75, 269-232, 1999. Reproduced in Économie publique, N. Marceau, P. Pestieau, F. Vaillancourt, Éd., Economica, France, 2000)
Risque de santé, médecine préventive et médecine curative (Revue d’Economie Politique 108, 3, 321-337, 1998)
Développement d’un système expert de détection automatique de la fraude à l’assurance automobile (Assurances 67, 2, 251-274, 1999)
The non-optimality of deductible contracts against fraudulent claims: An empirical evidence in automobile insurance (Review of Economics and Statistics 83, 2, 290-301, 2001)
Development of an expert system for the automatic detection of automobile insurance fraud (Geneva Papers on Risk and Insurance Issues and Practice 25, 4, 517-538, 2000)
Diffidence theorem and state dependent preferences (Geneva Papers on Risk and Insurance Theory 26, 2, 139-154, 2001)
Insurance taxation and insurance fraud (Journal of Public Economic Theory 2, 1, 2000, 101-134)
Increases in risk and optimal portfolio
1996
Corporate insurance with optimal financial contracting (Economic Theory 16, 1, 77-105, 2000)
Insurance fraud estimation : More evidence from the Quebec automobile insurance industry (Assurances 64, 4, 567-578, 1997)
Une évaluation empirique de la nouvelle tarification de l’assurance automobile (1992) au Québec (L’Actualité économique 73, 1-2-3, 47-80. Reproduced in Économétrie appliquée, C. Montmarquette, C. Gouriéroux, Ed., Economica, France, 1997)