Oussama Marzouk

HEC Montreal - Department of Management Sciences

Montreal, Quebec H3T 2A7

Canada

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Wrong-Way Risk of Interest Rate Instruments

Journal of Credit Risk, Forthcoming
Number of pages: 23 Posted: 03 Jun 2019
Ramzi Ben-Abdallah, Michèle Breton and Oussama Marzouk
University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Management Sciences
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Abstract:

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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives