GENERAL ARTICLES

Difficultés de calculer les cotes des swaps de volatilité
par Raymond Théoret, Pierre Rostan et Lydie Zabré

Consultation publique sur les fusions du secteur financier : une synthèse des réponses des participants
par Claudia Champagne et Jean Roy

EVALUATED ARTICLES

La structure par terme des taux de défaut et ratings
par Sandra Foulcher, Christian Gouriéroux et André Tiomo

Le risque systémique : revue de la littérature
par Oussama Chakroun

COLUMNS

Current Events
under the responsability of Rémi Moreau

Chair's Chronicle
under the responsability of Rémi Moreau
Les activités de la chaire de gestion des risques, HEC Montréal, 2002-2003
by Georges Dionne

Insurance and Risk Management
under the responsability of Gilles Bernier
L’avenir du régime québécois d’assurance automobile

Financial Risk Management
under the responsability of Martin Boyer
Les petites et moyennes entreprises face aux risques financiers
by Kodjovi Assoé et Martin Boyer

Actuarial Chronicle
under the responsability of Groupe-conseil Aon
L’ICA révise la norme de détermination des valeurs actualisées

Major Risks
under the responsability of Jean-Bernard Guindon
Un projet en gestation : le centre de Vigie multirisques de Montréal

Technical Study
under the responsability of Rémi Moreau
Vieillissement de la population et dépenses de l’assurance maladie
by Jean-François Outreville

Internet Surfer Page

L’autorité des marchés financiers
 

LA STRUCTURE PAR TERME DES TAUX DE DÉFAUT ET RATINGS
by Sandra Foulcher, Christian Gouriéroux et André Tiomo

The aim of this paper is to describe and compare the rating principles used by the main rating agencies (Standard & Poor’s, Moody’s and Fitch) with the benchmark scoring developed by the Banque de France. In particular, we analyse the term structures of default and rating and the dynamic of transition matrices.
Keywords: Term structure, rating, scoring, default risk, default probability, migration.

LE RISQUE SYSTÉMIQUE : REVUE DE LA LITTÉRATURE
by Oussama Chakroun

Our study is interested on systemic risk. The aim is to display theoretical and empirical developments dealing with this concept. All over this paper, we distinguish between two cases: the banking markets as a first case and the payment and settlement system as a second case. Besides, we focus our attention on some policies that would be applied in order to prevent from such a risk.
Keywords: Systemic risk, payment and settlement system, extreme value theory, banking market.

Difficultés de calculer les cotes des swaps de volatilité
by Raymond Théoret, Pierre Rostan et Lydie Zabré

Volatility swaps and variance swaps are new derivative products in fashion since 1998. This paper presents an analytical solution to compute the quotation of a volatility swap and examine its limits. This analytical solution was found by Javaheri, Wilmott and Haug (2002) and it uses a GARCH (1,1) process to estimate the volatility of the returns of the financial instrument studied. We apply this procedure to estimate the quotations of volatility swaps of differing maturities written on the S&P TSX60 index of the Toronto Stock Exchange. We have written a Visual Basic (Excel) program to compute these quotes. A simulation of the model revealed that it is very sensible to the estimation of its parameters, particularly the speed of adjustment of the instantaneous variance and the degree of kurtosis in the distribution of returns. A too small speed of adjustment or a too high kurtosis might kill the volatility swap. These results being more pronounced for long term swaps, we might question the use of the analytical solution to price long term swaps. In view of the recent advent of volatility swaps, we hope that our contribution on this subject will help the financial analyst to better grasp the computation of a volatility swap quotation.
Keywords: Option pricing, volatility swap, quote, GARCH, Toronto Stock Exchange.

CONSULTATION PUBLIQUE SUR LES FUSIONS DU SECTEUR FINANCIER : UNE SYNTHÈSE DES RÉPONSES DES PARTICIPANTS
by Claudia Champagne et Jean Roy

This paper presents a synthesis of the public response to the consultation initiative taken during Fall 2003 by the Federal Government on the subject of mergers between large financial institutions. Issues outlined are related to cross pillar and large insurance company mergers, public interest determination, possible guidelines for the future structure of the financial services sector, divestitures, full functionality of ATMs, foreign bank entry, and credit unions. Among the contributors are banks, life-insurance companies, credit union representatives, consumer interest groups and other independent participants.
Keywords: Minister of Finance, government, merger, financial sector, bank, insurance company, competition.