2024
2023
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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation (forthcoming in Journal of Risk)
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Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers (forthcoming in Energy Economics)
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Causality in empirical analyses with emphasis on asymmetric information and risk management
(forthcoming in Handbook of insurance, third edition)
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2022
Précisions importantes sur le backtesting comparatif de la VaR
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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)
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Determinants and real effects of joint hedging: An empirical analysis of the US petroleum industry
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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)
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Hierarchical random-effects model for insurance pricing of vehicles belonging to a fleet (Journal of Applied Econometrics 38, 2, 242-259, March 2023)
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Road safety for fleets of vehicles (International Journal of Banking, Finance and Insurance Technologies 1, 1, 31-59, October 2021)
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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)
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Sécurité routière des flottes et des conducteurs de véhicules lourds (L’Actualité économique 96, 3, September 2020)
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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)
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Deep limit order book events dynamics
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2019
Nonparametric testing for information asymmetry in the mortgage servicing market
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Coherent diversification measures in portfolio theory: An axiomatic foundation (Risks 10: 205)
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The CDS-bond basis: Negativity persistence and limits to arbitrage
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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)
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Machine learning and high-frequency algorithms during batch auctions
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Cyclical variations in liquidity risk of corporate bonds
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Forecasting expected shortfall: Should we use a multivariate model for stock market factors? (International Journal of Forecasting 39, 1, 314-331, January-March 2023)
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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)
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Machine learning and risk management: SVDD meets RQE
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The governance of risk management: The importance of directors’ independence and financial knowledge (Risk Management and Insurance Review 22, 247-277, October 2019)
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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)
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Reinsurance demand and liquidity creation
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2016
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Can higher-order risks explain the credit spread puzzle?
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Dynamic corporate risk mananagement: Motivations and real implications (Journal of Banking and Finance 95, 97-111, septembre 2018)
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Profitability and market quality of high frequency market-makers: An empirical investigation
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The dynamics of ex-ante weighted spread: An empirical analysis (Quantitative Finance 20, 4, 593-617, mars 2020)
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Asymmetric effects of the limit order book on price dynamics (Journal of Empirical Finance 65, 77-98, 2022)
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2015
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Modelling and estimating individual and firm effects with count panel data (Astin Bulletin 48, 1049-1078, September 2018)
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Hidden Markov regimes in operational loss data: Application to the recent financial crisis (Journal of Operational Risk 12, 1, 23-51, March 2017)
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Optimal form of retention for securitized loans under moral hazard (Risks, https://www.mdpi.com/2227-9091/5/4/55/pdf)
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The dynamics of ex-ante high-frequency liquidity: An empirical analysis
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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)
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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)
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Production flexibility and hedging (Risks 3, 543-552, 2015)
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Economic effects of risk classification bans (The Geneva Risk and Insurance Review 39, 184-221, 2014)
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Effects of the limit order book on price dynamics
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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)
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Risk management: History, definition and critique (Risk Management and Insurance Review 16, 2, 147-166, Fall 2013)
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How do firms hedge risks? Empirical evidence from U.S. oil and gas producers (Energy Economics 63, 348-364, March 2017)
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Default and liquidity regimes in the bond market during the 2002-2012 period (Canadian Journal of Economics 46, 4, 1160-1195, November 2013)
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The maturity structure of corporate hedging: The case of the U.S. oil and gas industry
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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)
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Comparative Ross risk aversion in the presence of mean dependent risks (Journal of Mathematical Economics 51, 128-135, March 2014)
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Structural credit risk models: A review (Assurances et gestion des risques 80, 1, 53-93, April 2012)
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An Alternative Representation of the C-CAPM with Higher-Order Risks
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Entry, imperfect competition, and futures market for the input (International Journal of Industrial Organization 35, 70-83, July 2014)
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Securitization and optimal retention under moral hazard (Journal of Mathematical Economics 55, 74-85, December 2014)
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Comparative Ross risk aversion in the presence of quadrant dependent risks
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Adverse selection in insurance contracting (in G. Dionne Ed., Handbook of Insurance, Second Edition, 231-280, 2014)
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Risk classification and health insurance (in A.J. Culyer Ed., Encyclopedia of Health Economics vol 3, 272-280, 2014)
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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)
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2011
When can expected utility handle first-order risk aversion? (Journal of Economic Theory 154, 403-422, 2014)
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Book review of The Theory of Corporate Finance (Journal of Risk and Insurance 78, 3, 791-793, September 2011)
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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)
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Does opportunistic fraud in automobile theft insurance fluctuate with the business cycle? (Journal of Risk and Uncertainty 47, 67-92, August 2013)
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Risk classification in insurance contracting
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2010
Corporate risk management and dividend signaling theory (Finance Research Letters 8, 188-195, December 2011)
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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”)
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Does asymmetric information affect the premium in mergers and acquisitions? (Canadian Journal of Economics 48, 3, 819-852, August 2015 )
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The impact of prudence on optimal prevention revisited (Economics Letters 113, 147-149, November 2011)
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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)
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A reduced form model of default spreads with Markov-switching macroeconomic factors (Journal of Banking and Finance 35, 8, 1984-2000, 2011)
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Le calcul de la valeur statistique d’une vie humaine (L’Actualité économique 86, 4, 487-530, December 2010)
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A theoretical extension of the consumption-based CAPM model
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2009
Credit spread changes within switching regimes (Journal of Banking and Finance 49, 41-55, December 2014)
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On the determinants of the implied default barrier (Journal of Empirical Finance 19, 395-408, June 2012)
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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”)
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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)
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Structured finance, risk management, and the recent financial crisis (Ivey Business Journal, November-December 2009)
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Finance structurée, gestion des risques et récente crise financière (Risques 80, 122-127, December 2009)
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2008
The costs and benefits of reinsurance (Geneva Papers on Risk and Insurance – Issues and Practice 46, 177-199, March 2021)
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Detecting regime shifts in credit spreads (Journal of Financial and Quantitative Analysis 49, 5/6, 1339-1364, October/December 2014)
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2007
Scaling models for the severity and frequency of external operational loss data (Journal of Banking and Finance 34, 1484-1496, 2010)
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Environmental risks, the judgment-proof problem and financial responsibility (European Journal of Law and Economics 30, 77-87, 2010)
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Poisson models with employer-employee unobserved heterogeneity: An application to absence data
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What about underevaluating operational value at risk in the banking sector?
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Estimating the effect of a change in insurance pricing regime on accidents with endogenous mobility
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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
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2006
Heterogeneous basket options pricing using analytical approximations (Multinational Finance Journal 15, no. 1/2, 47-85, March/June 2011)
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Asymmetric information and adverse selection in Mauritian slave auctions (Review of Economic Studies 76, 1269-1295, 2009)
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Les méthodes de tarification des options paniers
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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)
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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)
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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)
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Autoregressive conditional duration (ACD) models in finance: A survey of the theoretical and empirical literature (Journal of Economic Surveys 22, 4, 711-751)
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Empirical evaluation of investor rationality in the asset allocation puzzle (Economics Letters 100, 304-307, 2008)
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The value of a statistical life: A meta-analysis with a mixed effects regression model (Journal of Health Economics 28, 2, 444-464, 2009)
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2005
Exotic options pricing under stochastic volatility
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Testing explanations of preference reversal: A model
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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)
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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)
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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)
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2004
Conditions ensuring the separability of asset demand for all risk averse investors (The European Journal of Finance 13, 397-404, 2007)
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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)
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On the necessity of using lottery qualities
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On risk management determinants: What really matters? (European Journal of Finance 19, 2, 145-164, 2013)
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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)
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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)
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Comparative mixed risk aversion: Definition and application to self-protection and willingness to pay (Journal of Risk and Uncertainty 29, 3, 261-276, 2004)
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Valuing credit derivatives using Gaussian quadrature: A stochastic volatility framework (Journal of Futures Markets 24, 1, 3-35, 2004)
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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)
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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)
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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)
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2002
Statistical analysis of value-of-life estimates using hedonic wage method
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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)
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Book review of Risk Management (Journal of Risk and Insurance 69, 4, 605-610, 2002)
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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)
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Optimal auditing for insurance fraud (Management Science 55, 58-70, 2009)
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Traffic safety diagnostic and application of countermeasures for rural roads in Burkina Faso (Transportation Research Record 1846, 2003, 39-43)
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2001
Stochastic dominance and optimal portfolio (Economics Letters 71, 347-354, 2001)
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Optimal cognitive processes for lotteries
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La perception du risque d’être arrêté chez les camionneurs et transporteurs routiers (Assurances 69, 1, 61-104, 2001)
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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)
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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)
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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)
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Appariement de l’actif et du passif d’un assureur vie par l’utilisation de produits dérivés (Assurances 69, 4, 565-588, 2002)
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2000
Replacement cost endorsement and opportunistic fraud in automobile insurance (Journal of Risk and Uncertainty, 213-230, 2002)
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Les déterminants de la gestion des risques par les entreprises non financières: une revue de la littérature (Assurances 67, 4, 596-636, 2000)
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Experience rating schemes for fleets of vehicles (Astin Bulletin 31, 1, 81-106, 2001)
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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)
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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
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Une mesure empirique des déterminants qui affectent la gestion des risques des entreprises non financières (Assurances 68, 4, 475-492, 2001)
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Comparative mixed risk aversion
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Risk management determinants affecting firms’ values in the gold mining industry: New empirical results (Economics Letters 79, 1, 43-52, 2003)
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Optimal financial portfolio and dependence of risky assets
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1999
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L’évaluation des risques d’accidents des transporteurs routiers: des résultats préliminaires
Capital structures and compensation policies
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Full pooling in multi-period contracting with adverse selection and noncommitment (Review of Economic Design 5, 1, 1-21, 2000)
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Media attention, insurance regulation and liability insurance pricing (Journal of Risk and Insurance 67, 1, 39-74, 2000)
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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)
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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)
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Information structure, labour contracts and the strategic use of debt
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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
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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)
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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)
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Réflexion sur l’optimalité des contrats d’assurance
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The principal-agent relationship: Two distributions satisfying MLRP and CDFC (Economic Theory 21, 167-173, 2003 – with M. LiCalzi)
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Environmental risk and extended liability: The case of green technologies (Journal of Public Economics 87, 5-6, 1025-1060, 2003)
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An analysis of the title insurance industry (Journal of Insurance Regulation 17, 213-255, 1998)
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Internal control systems and risk management in the life and health insurance industry: Current issues (Assurances 67, 1, 61-85, 1999)
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La mesure empirique des problèmes d’information (L’Actualité économique 74, 4, 585-606, 1998)
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Some remarks about the probability weighting function (Journal of Risk and Uncertainty 22, 1, 21-33, 2001)
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1997
Assurance valeur à neuf et vols d’automobiles: une étude statistique (Assurances 65, 1, 49-62, 1997)
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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)
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Risque de santé, médecine préventive et médecine curative (Revue d’Economie Politique 108, 3, 321-337, 1998)
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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)
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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)
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Insurance taxation and insurance fraud (Journal of Public Economic Theory 2, 1, 2000, 101-134)
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Increases in risk and optimal portfolio
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1996
Corporate insurance with optimal financial contracting (Economic Theory 16, 1, 77-105, 2000)
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Insurance fraud estimation : More evidence from the Quebec automobile insurance industry (Assurances 64, 4, 567-578, 1997)
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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)
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