Geneviève Gauthier

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One critical difficulty in implementing Merton's (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires the unobserved asset value and the unknown volatility parameter as inputs. The estimation problem is further complicated by the fact that typical data samples are for the survived firms. This paper(More)
The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending the framework of Engle (2000) is used to specify the joint(More)
Learning in technology mediated learning environments is a complex process that varies across individual and group contexts. Complex learning environments that are mediated by technology require distinct concurrent methodologies that reveal when and where learning may occur. This paper describes the analysis of two technology-mediated problem-solving(More)
This study proposes a visual methodology to validate complex solution processes in the context of ill-structured problem solving. This experiment is anchored in the context of medical case-based teaching. The case validation activity proposed is modeled on the authentic case presentation practice performed by physicians. We are using a computer-based(More)
An option contract now commonly encountered is the Asian quanto-basket option. This contract is useful for risk managers willing to participate to the return of an industrial sector with an international exposure without the foreign exchange risk exposition. Although the price of such contracts can be obtained very accurately using Monte Carlo simulation,(More)
Teaching analytics can provide a useful framework to conceptual-ise the visual methods used in previous work on teachers' assessment practices. I describe two examples of visual methods and discuss their assumptions and potential usefulness beyond the original context in which they were designed. Rethinking visual data analysis around the teaching process(More)
INTRODUCTION This study aimed to describe treatment changes (discontinuation, switching, and therapy add-on) following the initiation of biologic or nonbiologic oral disease-modifying antirheumatic drugs (DMARDs) in psoriatic arthritis (PsA) patients. METHODS Adult patients with ≥2 PsA diagnoses from physician office visits, initiated on a biologic or(More)
The paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and Johnson family distributions. Since there is no closed-form(More)
Society depends on knowledge workers (KWs) to identify, characterize and propose solutions to the many significant challenges it faces. KWs contend with ever changing information technology (IT) and bemoan " information overload. " They commonly consult literature (e.g., Allen, 2001) and use productivity software that, regrettably, fail to leverage key(More)