Dominic O'Kane

EDHEC Business School - EDHEC Risk Climate Impact Institute

United Kingdom

  • EDHEC Business School - EDHEC Risk Climate Impact Institute

SCHOLARLY PAPERS

8

DOWNLOADS

1,151

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (8)

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1.

Optimizing the Compression Cycle: Algorithms for Multilateral Netting in OTC Derivatives Markets

Number of pages: 25 Posted: 25 Jun 2013 Last Revised: 30 May 2014
Dominic O'Kane
EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 415 (137,775)
Citation 6

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Counterparty, CDS, OTC derivatives, default, algorithm, CDS indices, Numerical methods

2.

Counterparty Risk Reduction by the Optimal Netting of OTC Derivatives

Number of pages: 28 Posted: 25 Nov 2014
Dominic O'Kane
EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 241 (246,013)

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Counterparty Risk, Netting, Derivatives, Linear Programming, Quadratic Programming

3.

Optimal Climate Policy with Negative Emissions

Number of pages: 28 Posted: 03 Jan 2023
Riccardo Rebonato, Dherminder Kainth, Lionel Melin and Dominic O'Kane
EDHEC Business School, EDHEC Business School, EDHEC Business School and EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 195 (300,130)

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4.

Time Consistent Reinforcement Learning for Optimal Consumption Under Epstein-Zin Preferences

Number of pages: 34 Posted: 20 Mar 2023
Matthew Francis Dixon, Ivan Gvozdanovic and Dominic O'Kane
Illinois Institute of Technology, Illinois Institute of Technology and EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 149 (377,156)

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Optimal Consumption, Dynamic Utility Theory, Certainty Equivalents, Reinforcement Learning, Time consistency, Epstein-Zin, Wealth Management

5.

Approximating Independent Loss Distributions with an Adjusted Binomial Distribution

Journal of Credit Risk, Volume 7/Number 4, Winter 2011/12
Number of pages: 15 Posted: 24 Jun 2013
Dominic O'Kane
EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 73 (616,364)

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Credit Portfolio Loss Distribution, CDO, Synthetic Tranche, Gaussian Copula, Base Correlation, Conditionally Independent, Numerical Methods

6.

Substitution Costs in Managed Synthetic CDOs

Number of pages: 19 Posted: 03 Dec 2013
Dominic O'Kane
EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 57 (697,684)

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CDS, CDS Indices, CDO, Gaussian Copula, Base Correlation

7.

The Impact of Climate Change News on Low-Minus-High Carbon Intensity Portfolios

Number of pages: 68 Posted: 30 Apr 2024
Dominic O'Kane and Jean-Michel Maeso
EDHEC Business School - EDHEC Risk Climate Impact Institute and affiliation not provided to SSRN
Downloads 21 (976,696)

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Climate-Change

8.

Force-Fitting CDS Spreads to CDS Index Swaps

Journal of Derivatives, Vol. 18, No. 3, 2011, https://doi.org/10.3905/jod.2011.18.3.061
Posted: 20 May 2019
Dominic O'Kane
EDHEC Business School - EDHEC Risk Climate Impact Institute
Downloads 0 (1,211,180)

Abstract:

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CDS Indices, CDO, Synthetic Tranche, Numerical Methods