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Details about Guillaume Roussellet

Homepage:https://guillaumeroussellet.quarto.pub/guillaume-roussellet/
Workplace:Desautels Faculty of Management, McGill University, (more information at EDIRC)

Access statistics for papers by Guillaume Roussellet.

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

Short-id: pro836


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Working Papers

2024

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

2020

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

2015

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

2014

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

    See also Journal Article Fiscal sustainability in the presence of systemic banks: the case of EU countries, International Tax and Public Finance, Springer (2014) Downloads View citations (2) (2014)

2013

  1. Credit and Liquidity in Interbank Rates: a Quadratic Approach
    Working papers, Banque de France Downloads View citations (6)
    See also Journal Article Credit and liquidity in interbank rates: A quadratic approach, Journal of Banking & Finance, Elsevier (2016) Downloads 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 Downloads View citations (1)
    See also Working Paper Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion, Working Papers (2020) Downloads View citations (5) (2020)

2017

  1. Scenario generation for long run interest rate risk assessment
    Journal of Econometrics, 2017, 201, (2), 333-347 Downloads View citations (5)
  2. Staying at zero with affine processes: An application to term structure modelling
    Journal of Econometrics, 2017, 201, (2), 348-366 Downloads View citations (32)
    Also in Rue de la Banque, 2017, (52) (2017) Downloads View citations (27)

    See also Working Paper Staying at Zero with Affine Processes: An Application to Term Structure Modelling, Working papers (2015) Downloads View citations (13) (2015)

2016

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

2015

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

2014

  1. Fiscal sustainability in the presence of systemic banks: the case of EU countries
    International Tax and Public Finance, 2014, 21, (3), 436-467 Downloads View citations (2)
    See also Working Paper Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2014) Downloads View citations (2) (2014)

Books

2015

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