Details about Guillaume Roussellet

Access statistics for papers by Guillaume Roussellet.

Last updated 2023-08-24. Update your information in the RePEc Author Service.

Short-id: pro836

Working Papers

2024

1. Exploring the TIPS‑Treasury Valuation Puzzle
   Liberty Street Economics, Federal Reserve Bank of New York

2020

2. Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
   Working Papers, Center for Research in Economics and Statistics View citations (5)
   See also Journal Article Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion, Management Science, INFORMS (2021) View citations (1) (2021)
3. Preventing COVID-19 Fatalities: State versus Federal Policies
   Papers, arXiv.org View citations (9)

2015

4. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
   Working papers, Banque de France View citations (13)
   See also Journal Article Staying at zero with affine processes: An application to term structure modelling, Journal of Econometrics, Elsevier (2017) View citations (32) (2017)

2014

5. A Quadratic Kalman Filter
   Working papers, Banque de France
   See also Journal Article A Quadratic Kalman Filter, Journal of Econometrics, Elsevier (2015) View citations (8) (2015)
6. Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries
   Post-Print, HAL View citations (1)
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) View citations (2)
   Working Papers, CEPII research center (2012) View citations (1)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) View citations (2)
   PSE - G-MOND WORKING PAPERS, HAL (2012) View citations (1)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) View citations (1)
   Working papers, Banque de France (2013)
   CESifo Working Paper Series, CESifo (2012) View citations (5)
   Working Papers, HAL (2012) View citations (1)
   Post-Print, HAL (2012) View citations (2)
   See also Journal Article Fiscal sustainability in the presence of systemic banks: the case of EU countries, International Tax and Public Finance, Springer (2014) View citations (2) (2014)

2013

7. Credit and Liquidity in Interbank Rates: a Quadratic Approach
   Working papers, Banque de France View citations (6)
   See also Journal Article Credit and liquidity in interbank rates: A quadratic approach, Journal of Banking & Finance, Elsevier (2016) View citations (18) (2016)

Journal Articles

2021

1. Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
   Management Science, 2021, 67, (6), 3674-3693 View citations (1)
   See also Working Paper Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion, Working Papers (2020) View citations (5) (2020)

2017

2. Scenario generation for long run interest rate risk assessment
   Journal of Econometrics, 2017, 201, (2), 333-347 View citations (5)
3. Staying at zero with affine processes: An application to term structure modelling
   Journal of Econometrics, 2017, 201, (2), 348-366 View citations (32)
   Also in Rue de la Banque, 2017, (52) (2017) View citations (27)
   See also Working Paper Staying at Zero with Affine Processes: An Application to Term Structure Modelling, Working papers (2015) View citations (13) (2015)

2016

4. Credit and liquidity in interbank rates: A quadratic approach
   Journal of Banking & Finance, 2016, 68, (C), 29-46 View citations (18)
   See also Working Paper Credit and Liquidity in Interbank Rates: a Quadratic Approach, Working papers (2013) View citations (6) (2013)

2015

5. A Quadratic Kalman Filter
   Journal of Econometrics, 2015, 187, (1), 43-56 View citations (8)
   See also Working Paper A Quadratic Kalman Filter, Working papers (2014) (2014)
6. Disentangling Credit and Liquidity Risks from Interbank Spreads
   Rue de la Banque, 2015, (03)

2014

7. Fiscal sustainability in the presence of systemic banks: the case of EU countries
   International Tax and Public Finance, 2014, 21, (3), 436-467 View citations (2)
   See also Working Paper Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries, Post-Print (2014) View citations (1) (2014)

Books

2015

1. Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
   Economics Thesis from University Paris Dauphine, Paris Dauphine University