Michèle Breton

HEC Montreal - Department of Management Sciences

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

14

DOWNLOADS

639

CITATIONS

3

Scholarly Papers (14)

1.

The Impact of Central Clearing on the Market for Single-Name Credit Default Swaps

Number of pages: 56 Posted: 12 May 2018 Last Revised: 31 Jan 2019
HEC Montreal, University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 316 (94,694)

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Credit default swaps, central clearing, counterparty risk, liquidity, trading activity, bond default spread, difference-in-differences.

2.

Pricing Installment Options with an Application to Asx Installment Warrants

Number of pages: 26 Posted: 07 Jan 2003
Hatem Ben Ameur, Michèle Breton and Pascal Francois
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 259 (117,185)
Citation 1

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Option Pricing, Exotic Options, Dynamic Programming, Installment Options

3.

Could Chapter 11 Redeem Itself? Wealth and Welfare Effects of the Redemption Option

Number of pages: 35 Posted: 26 Nov 2018
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 35 (442,705)

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Chapter 11, bankruptcy, APR violation, recovery, game theory, dynamic programming

4.

International Cooperation, Coalitions Stability and Free Riding in a Game of Pollution Control

Manchester School, Vol. 74, No. 1, pp. 103-122, January 2006
Number of pages: 18 Posted: 03 Apr 2006
Michèle Breton, Karima Fredj and Georges Zaccour
HEC Montreal - Department of Management Sciences, University of Northern British Columbia - Faculty of Arts and HEC Montreal - Department of Decision Sciences
Downloads 23 (501,923)
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5.

Mergers in Nonrenewable Resource Oligopolies and Environmental Policies

CentER Discussion Paper Series No. 2018-030
Number of pages: 41 Posted: 20 Sep 2018
McGill University - Department of Economics, HEC Montreal - Department of Management Sciences and University of Winnipeg - Department of Economics
Downloads 4 (618,634)

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exhaustible resources, horizontal mergers, environmental regulation, differntial games

6.

Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk

Journal of Risk, Vol. 21, No. 5, 2019
Number of pages: 28 Posted: 19 Jun 2019
Michèle Breton and Oussama Marzouk
HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Decision Sciences
Downloads 1 (649,206)
Citation 1
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credit risk, counterparty risk, credit valuation adjustment (CVA), value-at-risk (VaR), wrong-way risk, constant exposure approximation

7.

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
Downloads 1 (649,206)
Citation 1
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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives

8.

Game Theoretic Analysis of Negotiations under Bankruptcy

Posted: 31 May 2011
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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bankruptcy procedure, game theory, dynamic programming

Resolution of Financial Distress Under Chapter 11

Posted: 12 Dec 2010
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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Credit risk, Chapter 11, game theory, dynamic programming

Resolution of Financial Distress Under Chapter 11

29th International Conference of the French Finance Association (AFFI) 2012
Posted: 19 Sep 2012
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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Credit risk, Chapter 11, Game theory, Dynamic programming

10.

Pricing the CBOT T-Bonds Futures

Posted: 23 Jan 2009
Ramzi Ben-Abdallah, Hatem Ben Ameur and Michèle Breton
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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Futures, asset pricing, dynamic programming, cheapest-to-deliver, delivery options, interest-rate models

11.

Mutual Fund Competition in the Presence of Dynamic Flows

Swiss Finance Institute Research Paper No. 08-26
Posted: 10 Sep 2008 Last Revised: 29 Feb 2012
Michèle Breton, Julien Hugonnier and Tarek Masmoudi
HEC Montreal - Department of Management Sciences, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Caisse de dépôt et Placement du Québec

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portfolio management, asset-based management fees, mutual funds, dynamic flows, stochastic differential game

12.

Dynamic Models for International Environmental Agreements

FEEM Working Paper No. 33.2008
Posted: 14 May 2008
Michèle Breton, Lucia Sbragia and Georges Zaccour
HEC Montreal - Department of Management Sciences, HEC Montreal and HEC Montreal - Department of Decision Sciences

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International Environmental Agreements, Non‐Cooperative Dynamic Game, Coalition Stability

13.

An Analysis of the True Notional Bond System Applied to the CBOT T-Bonds Futures

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 12 Dec 2007
Ramzi Ben-Abdallah, Michèle Breton and Hatem Ben Ameur
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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14.

A Dynamic Programming Approach for Pricing Options Embedded in Bonds

Journal of Economic Dynamics and Control, Vol. 31, No. 7, pp. 2212-2233, July 2007
Posted: 04 Jul 2006 Last Revised: 29 Feb 2012
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences, Goldman, Sachs & Co and University of Montreal

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Option pricing, Bond pricing, Dynamic Programming, Options embedded in bonds