Research

My research develops robust econometric, Bayesian, and sequential methods for credit-risk model validation, monitoring, and stress testing.

Publications

★ Featured paper A Bayesian Approach to Probability of Default Model Calibration: Theoretical and Empirical Insights on the Jeffreys Test Christophe Hurlin and Yoann Pull · European Journal of Operational Research (accepted, 2026)

A Bayesian reappraisal of the Jeffreys test used by supervisors to validate probability-of-default calibration, with theoretical results and empirical evidence on when the test can be trusted for credit-risk model validation.

Journal (EJOR) SSRN

Working Papers

2026 Generalized Impulse Responses of Portfolio Default Probabilities: A Modular Framework with an Application to Geopolitical Risk Guillaume Flament, Christophe Hurlin, Quentin Lajaunie and Yoann Pull

Submitted

arXiv SSRN

2026 E-calibration: Anytime-Valid Monitoring of Probability of Default Model Calibration Yoann Pull

Working paper

2026 Reverse Stress Testing Geopolitical Risk in Corporate Credit Portfolios: A Formal and Operational Framework Christophe Hurlin, Quentin Lajaunie and Yoann Pull

arXiv