315 Sainte-Catherine East
Montreal, Quebec H2X 3X2
University of Quebec at Montreal - School of Management - Department of Finance
Credit default swaps, central clearing, counterparty risk, liquidity, trading activity, bond default spread, diﬀerence-in-diﬀerences.
CDS-bond basis, Markov regime, arbitrage, liquidity, financial crisis, Basel regulation, Dodd-Frank Act
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File name: SSRN-id3398187.pdf
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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives
Futures, asset pricing, dynamic programming, cheapest-to-deliver, delivery options, interest-rate models
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