Ramzi Ben-Abdallah

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

Professor

315 Sainte-Catherine East

Montreal, Quebec H2X 3X2

Canada

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

    • Email
    • Tel: (514) 987-3000 # 2821
    • Fax: (514) 987-0422
SCHOLARLY PAPERS

5

DOWNLOADS

529

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (5)

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1.

The impact of central clearing on the market for single-name credit default swaps

Number of pages: 58 Posted: 12 May 2018 Last Revised: 15 Dec 2020
Mohamed-Ali Akari, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne
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 437 (111,649)
Citation 3

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

2.

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

Number of pages: 50 Posted: 14 Nov 2019
Sahar Guesmi, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne
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 89 (470,259)
Citation 1

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

3.

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 3 (1,005,151)
Citation 1
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counterparty credit risk, wrong-way risk (WWR), gap risk, interest rate volatility, dependence, interest rate derivatives

4.

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

5.

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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