Modelling sovereign default risk: comparing models and capturing the impact of the business cycle

Author's Biography

Yao Djifa N'Sougan is a recent graduate from the MSc in Financial Engineering program at Laval University (Canada). He also holds a Statistician-Economist Engineer degree from INSEA (Morocco) in 2007. He is interested in risk management, quantitative finance and econometric topics.

Issouf Soumaré is Associate Professor of Finance and Managing Director of the Laboratory for Financial Engineering at Laval University, Canada. His research and teaching interests include risk management, financial engineering and numerical methods in finance. He co-authored the book ‘Stochastic Simulation and Applications in Finance with Matlab Programs’ (Wiley). His theoretical and applied financial economic works have been published in leading international economics and finance journals. Issouf holds a PhD in business administration in finance from the University of British Columbia (Canada) and is also a certified Professional Risk Manager and Financial Risk Manager.