Using the case of credit risk insurance in banking, we explore
the consequences of counterparty risk on the contracting parties.
to view the not for publication appendices which include an additional
extension of the model and the key results without the limited
assumption on the insurer.
Winner of the Toronto CFA Society Fellowship Award.
Winner of the Northern Finance Association Best Student Paper
Theoretical analysis of credit default swaps to determine the features that drive counterparty risk and the differences between these contracts and traditional
Presentations: 2011 WFA (Sante Fe), 2011 FIRS (Sydney), LSE Paul Wooley Center Conference (London), 2011 Risk
Theory Society (Little Rock), Duke (Fuqua), University of Toronto, Bank of Canada,
University of Alberta