Guillaume Roussellet

Guillaume Roussellet is an Assistant Professor of Finance in the Desautels Faculty of Management at McGill University. His research focuses on Asset Pricing, Financial Econometrics, Sovereign Credit Risk, and Statistical Methodology. He has contributed to journals such as the Journal of Econometrics and Management Science. Roussellet's academic background includes a Postdoctorate degree from NYU Stern School of Business and a Ph.D. from Paris-Dauphine University/CREST/Banque de France. He has taught courses in Financial Econometrics and Time Series Econometrics at ENSAE and Paris-Sorbonne University. His current research explores topics such as bond investor learning from macroeconomic news and default risk in sovereign bonds.

Guillaume Roussellet, Ph.D., is a researcher specializing in term structure modeling and bond risk premia, asset and fixed income pricing, and time series analysis. His work explores the implications of affine processes in financial modeling, particularly in the context of zero lower bound and macroeconomic risks. Roussellet's research also addresses credit risk, liquidity, and the pricing of credit events, with applications to sovereign bonds and systemic banks. His publications include studies on quadratic approaches, subjective beliefs estimators, and scenario generation for interest rate risk assessment. His research contributes to understanding how macroeconomic news influences bond investors and how to manage liquidity risks in financial markets.