selected scholarly activity
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books
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journal articles
- Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility. Journal of Commodity Markets. 36:100425. 2024
- Understanding leveraged ETFs’ compounding effect. Managerial Finance. 49:163-186. 2023
- Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. Journal of Empirical Finance. 70:367-385. 2023
- A coherent economic framework to model correlations between PD, LGD and EaD, and its applications in EaD modelling and IFRS-9. Journal of Risk Management in Financial Institutions. 16:52-78. 2022
- Behavioral Heterogeneity in the Stock Market Revisited: What Factors Drive Investors as Fundamentalists or Chartists?. Journal of Behavioral Finance. 23:73-91. 2022
- A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”. Journal of Futures Markets, The. 41:2079-2082. 2021
- Performance of Japanese leveraged ETFs. Pacific Basin Finance Journal. 65:101490-101490. 2021
- Intra‐industry bankruptcy contagion: Evidence from the pricing of industry recovery rates. European Financial Management. 26:503-534. 2020
- Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9. Journal of Credit Risk. 13:53-83. 2017
- Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management. Journal of Financial Services Research. 50:243-273. 2016
- A New Method to Measure the Performance of Leveraged Exchange‐Traded Funds. Financial Review. 49:735-763. 2014
- Emotional balance and probability weighting. Theory and Decision. 75:17-41. 2013
- THE PRICING EFFICIENCY OF LEVERAGED EXCHANGE‐TRADED FUNDS: EVIDENCE FROM THE U.S. MARKETS. Journal of Financial Research. 36:253-278. 2013
- Introduction to the Special Issue on Exchange-Traded Funds. Managerial Finance. 39:424-427. 2013
- Recent developments in exchange‐traded fund literature. Managerial Finance. 39:427-443. 2013
- Recent developments in exchange-traded fund literature Pricing efficiency, tracking ability, and effects on underlying securities. Managerial Finance. 39:427-+. 2013
- Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?. Journal of Financial Intermediation. 21:123-150. 2012
- The pricing and performance of leveraged exchange-traded funds. Journal of Banking & Finance. 35:966-977. 2011
- Correlation Behavior of Emerging Markets. Research in Finance. 27:283-310. 2011
- Value optimisation in a regulatory constrained regime — A new look at risk vs return optimisation. Journal of Risk Management in Financial Institutions. 5:10. 2011
- Diversification benefits of commodity futures. Journal of International Financial Markets, Institutions and Money. 20:451-474. 2010
- Managing capital buffers in the Pillar II framework: designing an effective ICAAP/ORSA to manage procyclicality and to reconcile short-term and long-term views of capital. Journal of Risk Model Validation. 4:3-47. 2010
- A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach. Journal of Empirical Finance. 17:818-833. 2010
- Stress-testing probability of default and migration rate with respect to Basel II requirements. Journal of Risk Model Validation. 3:3-38. 2009
- A mean-Gini approach to asset allocation involving hedge funds. Research in Finance. 24:197-212. 2008
- Canadian stock market multiples and their predictive content. International Review of Economics and Finance. 17:457-466. 2008
- Correlation Behavior of Emerging Markets. SSRN Electronic Journal. 2008
- Refining momentum strategies by conditioning on prior long‐term returns: Canadian evidence. Canadian Journal of Administrative Sciences. 24:135-145. 2007
- Mean-Gini Portfolio Analysis: A Pedagogic Illustration. Spreadsheets in Education. 2:194-207. 2007
- Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations. Journal of Credit Risk. 2:43-68. 2006
- Practical and theoretical challenges in validating Basel parameters: key learnings from the experience of a Canadian bank. Journal of Credit Risk. 1:89-136. 2005
- Estimating and validating long-run probability of default with respect to Basel II requirements. Journal of Risk Model Validation. 2:3-41.
- Home ownership decision in personal finance: some empirical evidence. Financial Services Review. 24:51-76.
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other
- Fire-sale channel of industry contagion: evidence from the pricing of industry recovery rate 2016
- The uneasy case for real estate investments. Research in Finance. 113-148. 2014
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preprints
- Adapting Basel's A-IRB Models for IFRS 9 Purposes 2016
- Bond Laddering and Bond Indexing: An Empirical Comparison 2016
- Leveraged Exchange-Traded Funds: Their Pricing and Tracking Ability 2011
- Can Basel III Work? Examining the New Capital Stability Rules by the Basel Committee: A Theoretical and Empirical Study of Capital Buffers 2010
- Is Recovery Risk Priced in Debt Contracts? The Roles of Bank Regulation, Corporate Governance and Credit Rating 2009
- Stress-Testing Probability of Default and Migration Rate with Respect to Basel II Requirements 2008
- Discount Rate for Workout Recovery: An Empirical Study 2007
- Estimating and Validating Long-Run Probability of Default With Respect to Basel II Requirements 2007