Montreal, Quebec H3T 2A7
HEC Montreal - Department of Management Sciences
Credit default swaps, central clearing, counterparty risk, liquidity, trading activity, bond default spread, difference-in-differences, parallel trend.
Option Pricing, Exotic Options, Dynamic Programming, Installment Options
Chapter 11, bankruptcy, APR violation, recovery, game theory, dynamic programming
CDS-bond basis, Markov regime, arbitrage, liquidity, financial crisis, Basel regulation, Dodd-Frank Act
environmental personhood, environmental law, rights of nature, earth jurisprudence, game theory, cooperation
exhaustible resources, horizontal mergers, environmental regulation, differntial games
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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives
File name: SSRN-id3406082.pdf
credit risk, counterparty risk, credit valuation adjustment (CVA), value-at-risk (VaR), wrong-way risk, constant exposure approximation
bankruptcy procedure, game theory, dynamic programming
Credit risk, Chapter 11, game theory, dynamic programming
Credit risk, Chapter 11, Game theory, Dynamic programming
Futures, asset pricing, dynamic programming, cheapest-to-deliver, delivery options, interest-rate models
portfolio management, asset-based management fees, mutual funds, dynamic flows, stochastic differential game
International Environmental Agreements, Non‐Cooperative Dynamic Game, Coalition Stability
Option pricing, Bond pricing, Dynamic Programming, Options embedded in bonds
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