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Geneviève Gauthier

Professor,  Department of Decision Sciences


Geneviève Gauthier

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: genevieve.gauthier@hec.ca
Phone: 514 340-5627
Secretary: 514 340-6472
Fax: 514 340-5634
Office: 4.864

Personal page

Education

  • M.Sc.(mathématiques) UQAM
  • Ph.D.(mathématiques), Carleton U., Ottawa

Expertise

  • Stochastic Calculus
  • Probability and statistic
  • Mathematical modelling
  • Financial engineering
  • Pricing
  • Risk management
  • Credit risk

This publication selection covers the last five years.


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Journal articles (13)


GAMBETTI, Paolo, GAUTHIER, Geneviève, VRINS, Frédéric; « Recovery rates: Uncertainty certainly matters », Journal of Banking and Finance, 2020 (status : accepted).

BÉGIN, Jean-François, BOUDREAULT, Mathieu, DOLJANU, Delia Alexandra, GAUTHIER, Geneviève; « Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis », The Journal of Risk and Insurance, vol. 86, no 2, 2019, p. 263-296.

BOURSICOT, Delphine, GAUTHIER, Geneviève, ESFAHANI, Farhad; « Contingent Convertible Debt: The Impact on Equity Holders », Risks, vol. 7, no 2, 2019, p. 1-35.

BÉGIN, Jean-François, GAUTHIER, Geneviève; « Price Bias and Common Practice in Option Pricing », The Canadian Journal of Statistics/La revue canadienne de statistique, 2019 (status : online).

BÉGIN, Jean-François, DORION, Christian, GAUTHIER, Geneviève; « Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options », Review of Financial Studies, 2019 (status : accepted).

BÉGIN, Jean-François, BOUDREAULT, Mathieu, GAUTHIER, Geneviève; « Firm-specific credit risk estimation in the presence of regimes and noisy prices », Finance Research Letters, vol. 23, 2017, p. 306-313.

DUPUIS, Debbie J., GAUTHIER, Geneviève, GODIN, Frédéric; « Short-term Hedging for an Electricity Retailer », Energy Journal, vol. 37, no 2, 2016, p. 31-59.

FERLAND, René, GAUTHIER, Geneviève, LALANCETTE, Simon; « The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime-Shift Pricing Approach », Journal of Futures Markets, vol. 36, no 1, 2016, p. 66-87.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Estimation of correlations in portfolio credit risk models based on noisy security prices », Journal of Economic Dynamics & Control, vol. 61, 2015, p. 334-349.

AMAYA, Diego, GAUTHIER, Geneviève, LEAUTIER, Thomas-Olivier; « Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions », The Journal of Risk and Insurance, vol. 82, no 2, 2015, p. 359-399.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Contagion effect on bond portfolio risk measures in a hybrid credit risk model », Finance Research Letters, vol. 11, no 2, 2014, p. 131-139.

FRANÇOIS, Pascal, GAUTHIER, Geneviève, GODIN, Frédéric; « Optimal hedging when the underlying asset follows a regime-switching Markov process », European Journal of Operational Research, vol. 237, no 1, 2014, p. 312-322.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Recovery rate risk and credit spreads in a hybrid credit risk model », Journal of Credit Risk, vol. 9, no 3, 2013, p. 3-39.

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Book chapters (1)


GAMBETTI, Paolo, GAUTHIER, Geneviève, VRINS, Frédéric; « Stochastic Recovery Rate: Impact of Pricing Measure’s Choice and Financial Consequences on Single-Name Products », New Methods in Fixed Income Modeling, Springer, 2018, p. 181-203.



This award and honor selection covers the last five years.


GAUTHIER, Geneviève
SSC Award For Impact of Applied and Collaborative Work, Statistical Society of Canada, 2018

AMAYA, Diego, BÉGIN, Jean-François, GAUTHIER, Geneviève
Best Paper Award on Derivatives, AMAYA, Diego, BÉGIN, Jean-François, GAUTHIER, Geneviève (2017). "Extracting Latent States from High Frequency Option Prices", communication présentée au Northern Finance Association, Halifax, 15 - 17 septembre., Northern Finance Association (NFA), 2017


This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (4)


In codirection with : BÉGIN, Jean-François
Particle Filter Performance with High Frequency Option Prices, by Marie-Eve Malette-Campeau
March 2018

In codirection with : LABBÉ, Chantal
Credit value adjustment of a portfolio in the context of the dependency between the value of the portfolio and the credit quality of the counterparty , by Forough Ensandoust Ghazvini
January 2017


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Supervised project supervision – MSc in Management (7)

Évaluation des produits dérivés avec risque de contrepartie: les xV A , by Kpedetin Tatiana Lorelle Avissoudo
September 2018

In codirection with : PINEAU, Pierre-Olivier
Impact des contrats de tarification de l'électricité sur la distribution de marges de revenus d'une aluminerie , by Guillaume Dyotte-Cournoyer
October 2016

Amélioration du Générateur de Scénario Économique. , by Oussama Charifi
March 2016

Corrélations dans un portefeuille d'obligations , by Kyle Zarmair
January 2016

Pricing Methodology and Vetting Results for OTC Derivatives , by Guillaume Desnoyers
September 2015

Analyse critique du modèle de capital économique pour le risque de crédit , by Emmanuelle Tremblay
September 2014

Adaptation d'un générateur de scénario économique canadien , by Simon Marleau-Hinton
September 2013

Winter 2019

80-646-16A
Stochastic Calculus I
80-214-17A
Numerical Methods in Quantitative Finance

Fall 2018

80-626-17
Méthodes statistiques en ingénierie financière
3-602-09
Modèles probabilistes et stochastiques de la gestion
80-646-08
Calcul stochastique I

Winter 2018

80-646-16A
Stochastic Calculus I

Fall 2017

80-214-17A
Numerical Methods in Quantitative Finance
80-646-08
Calcul stochastique I
80-647-08
Calcul stochastique II

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