Ramzi Ben-Abdallah

University of Quebec at Montreal - School of Management - Department of Finance

Professor

315 Sainte-Catherine East

Montreal, Quebec H2X 3X2

Canada

SCHOLARLY PAPERS

4

DOWNLOADS

317

CITATIONS

1

Scholarly Papers (4)

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 (94,683)

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

2.

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 (649,034)
Citation 1
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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives

3.

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

4.

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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