Details about Van Son Lai

Access statistics for papers by Van Son Lai.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pla784

Working Papers

2020

1. A Characterization of CAT Bond Performance Indices
   Working Papers, Department of Research, Ipag Business School
   See also Journal Article A characterization of CAT bond performance indices, Finance Research Letters, Elsevier (2019) View citations (3) (2019)
2. Analyse d?impact du Moment de Décaissement d?un Produit avec Garantie de Rachat Viager
   Working Papers, Department of Research, Ipag Business School

2019

3. A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds
   Working Papers, Department of Research, Ipag Business School View citations (4)
   See also Journal Article A general class of distortion operators for pricing contingent claims with applications to CAT bonds, Scandinavian Actuarial Journal, Taylor & Francis Journals (2019) View citations (1) (2019)
4. Diversification Benefits of Cat Bonds: An In-Depth Examination
   Working Papers, Department of Research, Ipag Business School
   See also Journal Article Diversification benefits of cat bonds: An in‐depth examination, Financial Markets, Institutions & Instruments, John Wiley & Sons (2020) (2020)
5. How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?
   Working Papers, Department of Research, Ipag Business School
   See also Journal Article How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?, Journal of Money, Credit and Banking, Blackwell Publishing (2020) (2020)
6. Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence
   Working Papers, Department of Research, Ipag Business School View citations (5)
   See also Journal Article Option pricing under regime-switching models: Novel approaches removing path-dependence, Insurance: Mathematics and Economics, Elsevier (2019) View citations (4) (2019)

2018

7. Are Market Views on Banking Industry Useful for Forecasting Economic Growth?
   Working Papers, Department of Research, Ipag Business School View citations (1)
   See also Journal Article Are market views on banking industry useful for forecasting economic growth?, Pacific-Basin Finance Journal, Elsevier (2019) View citations (2) (2019)
8. Banks? Non-Traditional Activities Under Regulatory Changes: Impact on Risk, Performance and Capital Adequacy
   Working Papers, Department of Research, Ipag Business School
   See also Journal Article Banks’ non-traditional activities under regulatory changes: impact on risk, performance and capital adequacy, Applied Economics, Taylor & Francis Journals (2019) View citations (4) (2019)
9. Discretionary Idiosyncratic Risk, Firm Cash Holdings and Investment
   Working Papers, Department of Research, Ipag Business School View citations (1)

2017

10. Basel III Capital Buffer Requirements and Credit Union Prudential Regulation: Canadian Evidence
    Working Papers, Department of Research, Ipag Business School View citations (12)
    See also Journal Article Basel III capital buffer requirements and credit union prudential regulation: Canadian evidence, Journal of Financial Stability, Elsevier (2017) View citations (21) (2017)
11. Basel III Capital Buffers and Canadian Credit Unions Lending: Impact of The Credit Cycle and The Business Cycle
    Working Papers, Department of Research, Ipag Business School
    See also Journal Article Basel III capital buffers and Canadian credit unions lending: Impact of the credit cycle and the business cycle, International Review of Financial Analysis, Elsevier (2018) View citations (9) (2018)
12. CAT Bond Spreads Via HARA Utility and Nonparametric Tests
    Working Papers, Department of Research, Ipag Business School
13. Reinsurance or CAT Bond? How to Optimally Combine Both
    Working Papers, Department of Research, Ipag Business School View citations (7)

2016

14. Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount
    Working Papers, Department of Research, Ipag Business School View citations (1)

2013

15. Banks’ Capital Buffer, Risk and Performance in the Canadian Banking System: Impact of Business Cycles and Regulatory Changes
    MPRA Paper, University Library of Munich, Germany View citations (69)
    See also Journal Article Banks’ capital buffer, risk and performance in the Canadian banking system: Impact of business cycles and regulatory changes, Journal of Banking & Finance, Elsevier (2013) View citations (59) (2013)

Journal Articles

2025

1. How do underwriting and investment activities affect P&C insurers’ capital adjustments? Evidence from Canada
   Review of Quantitative Finance and Accounting, 2025, 64, (2), 575-594

2020

2. Diversification benefits of cat bonds: An in‐depth examination
   Financial Markets, Institutions & Instruments, 2020, 29, (5), 165-228
   See also Working Paper Diversification Benefits of Cat Bonds: An In-Depth Examination, Working Papers (2019) (2019)
3. How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?
   Journal of Money, Credit and Banking, 2020, 52, (8), 1873-1907
   See also Working Paper How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?, Working Papers (2019) (2019)

2019

4. A characterization of CAT bond performance indices
   Finance Research Letters, 2019, 28, (C), 431-437 View citations (3)
   See also Working Paper A Characterization of CAT Bond Performance Indices, Working Papers (2020) (2020)
5. A general class of distortion operators for pricing contingent claims with applications to CAT bonds
   Scandinavian Actuarial Journal, 2019, 2019, (7), 558-584 View citations (1)
   See also Working Paper A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds, Working Papers (2019) View citations (4) (2019)
6. Are market views on banking industry useful for forecasting economic growth?
   Pacific-Basin Finance Journal, 2019, 57, (C) View citations (2)
   See also Working Paper Are Market Views on Banking Industry Useful for Forecasting Economic Growth?, Working Papers (2018) View citations (1) (2018)
7. Banks’ non-traditional activities under regulatory changes: impact on risk, performance and capital adequacy
   Applied Economics, 2019, 51, (29), 3184-3197 View citations (4)
   See also Working Paper Banks? Non-Traditional Activities Under Regulatory Changes: Impact on Risk, Performance and Capital Adequacy, Working Papers (2018) (2018)
8. Option pricing under regime-switching models: Novel approaches removing path-dependence
   Insurance: Mathematics and Economics, 2019, 87, (C), 130-142 View citations (4)
   See also Working Paper Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence, Working Papers (2019) View citations (5) (2019)

2018

9. Basel III capital buffers and Canadian credit unions lending: Impact of the credit cycle and the business cycle
   International Review of Financial Analysis, 2018, 57, (C), 23-39 View citations (9)
   See also Working Paper Basel III Capital Buffers and Canadian Credit Unions Lending: Impact of The Credit Cycle and The Business Cycle, Working Papers (2017) (2017)

2017

10. Basel III capital buffer requirements and credit union prudential regulation: Canadian evidence
    Journal of Financial Stability, 2017, 30, (C), 92-110 View citations (21)
    See also Working Paper Basel III Capital Buffer Requirements and Credit Union Prudential Regulation: Canadian Evidence, Working Papers (2017) View citations (12) (2017)

2016

11. An analysis of government loan guarantees and direct investment through public-private partnerships
    Economic Modelling, 2016, 59, (C), 508-519 View citations (12)
12. From Oil to Stock Markets
    Journal of Economic Integration, 2016, 31, (1), 103-133 View citations (3)

2015

13. Hedging Flood Losses Using Cat Bonds
    Asia-Pacific Journal of Risk and Insurance, 2015, 9, (2), 149-184 View citations (3)

2014

14. The valuation of catastrophe bonds with exposure to currency exchange risk
    International Review of Financial Analysis, 2014, 33, (C), 243-252 View citations (7)

2013

15. Banks’ capital buffer, risk and performance in the Canadian banking system: Impact of business cycles and regulatory changes
    Journal of Banking & Finance, 2013, 37, (9), 3373-3387 View citations (59)
    See also Working Paper Banks’ Capital Buffer, Risk and Performance in the Canadian Banking System: Impact of Business Cycles and Regulatory Changes, MPRA Paper (2013) View citations (69) (2013)
16. On the Value of Municipal Bond Insurance: An Empirical Analysis
    Financial Markets, Institutions & Instruments, 2013, 22, (4), 209-228

2011

17. Synthetizing a debt guarantee: Super-replication versus utility approach
    International Review of Financial Analysis, 2011, 20, (1), 27-40

2010

18. Credit insurance and investment: A contingent claims analysis approach
    International Review of Financial Analysis, 2010, 19, (2), 98-107 View citations (7)
19. Risk‐Based Capital and Credit Insurance Portfolios
    Financial Markets, Institutions & Instruments, 2010, 19, (1), 21-45

2008

20. Project risk choices under privately guaranteed debt financing
    The Quarterly Review of Economics and Finance, 2008, 48, (1), 123-152

2006

21. Effects of maturity choices on loan‐guarantee portfolios1
    Journal of Risk Finance, 2006, 7, (3), 237-254 View citations (1)

2004

22. The impact of the Gramm-Leach-Bliley act on the financial services industry
    Journal of Economics and Finance, 2004, 28, (3), 333-347 View citations (10)

2003

23. Bank moral hazard and the introduction of official deposit insurance in Canada
    International Review of Economics & Finance, 2003, 12, (2), 247-273 View citations (17)

1997

24. An empirical investigation of asset-liability management of small US commercial banks
    Applied Financial Economics, 1997, 7, (5), 525-536 View citations (4)
25. Thrifty Viability and Traditional Mortgage Lending: A Simultaneous Equations Analysis of the Risk-Return Trade-Off
    Journal of Real Estate Research, 1997, 13, (2), 155-176 View citations (1)

1996

26. The Effects of Variations in Laxity (or Strictness) of Closure Rules on the Valuation of Deposit Insurance
    The Financial Review, 1996, 31, (4), 721-46 View citations (4)

1994

27. On Financial Guarantee Insurance under Stochastic Interest Rates
    The Geneva Risk and Insurance Review, 1994, 19, (2), 119-137 View citations (6)

Undated

28. Hedging portfolios of financial guarantees
    Journal of Risk