Christian Robert

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)

50, Avenue Tony Garnier

Lyon Cedex 07, 69366

France

SCHOLARLY PAPERS

2

DOWNLOADS

178

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Optimal Asset Allocation Subject to Liquidity and Withdrawal Risks

Number of pages: 39 Posted: 08 Jan 2021
affiliation not provided to SSRN, Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and Boston University
Downloads 92 (382,372)

Abstract:

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Asset allocation, ALM, liquidity risk, withdrawal risk

2.

Credit Risk Valuation with Rating Transitions and Partial Information

Forthcoming in International Journal of Applied and Theoretical Finance
Number of pages: 30 Posted: 03 Feb 2013 Last Revised: 26 Oct 2014
Donatien Hainaut and Christian Robert
Université Catholique de Louvain and University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 86 (398,528)

Abstract:

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Credit migrations models, Partial and delayed information, Corporate bonds, Credit derivatives, Phase-type distributions