Michèle Breton

HEC Montreal - Department of Management Sciences

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

15

DOWNLOADS

729

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (15)

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 341 (96,147)
Citation 2

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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 266 (125,710)
Citation 2

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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: 40 Posted: 26 Nov 2018 Last Revised: 25 Nov 2019
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 52 (414,643)

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

4.

The CDS-Bond Basis: Negativity Persistence and Limits to Arbitrage

Number of pages: 50 Posted: 14 Nov 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 41 (456,886)

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CDS-bond basis, Markov regime, arbitrage, liquidity, financial crisis, Basel regulation, Dodd-Frank Act

5.

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 (547,941)
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6.

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 (677,187)

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exhaustible resources, horizontal mergers, environmental regulation, differntial games

7.

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 (707,942)
Citation 1
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credit risk, counterparty risk, credit valuation adjustment (CVA), value-at-risk (VaR), wrong-way risk, constant exposure approximation

8.

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 (707,942)
Citation 1
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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives

9.

Game Theoretic Analysis of Negotiations under Bankruptcy

European Journal of Operational Research, Volume 221, Issue 3, 16 September 2012, Pages 603-613.
Posted: 31 May 2011 Last Revised: 08 Nov 2019
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

Journal of Economic Dynamics and Control, Vol. 36, No. 12, 2012
Posted: 12 Dec 2010 Last Revised: 08 Nov 2019
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

11.

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

12.

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

13.

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

14.

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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15.

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