**Note that I am currently on leave at the Wharton School. My contact information is:
James R. Thompson
Visiting Assistant Professor of Finance
Department of Finance
The Wharton School, University of Pennsylvania
3620 Locust Walk, Philadelphia, PA.
+1 (215) 746-3716
Ph.D. - Economics, Queen's University (2008)
Masters - Economics, Financial Specialization, Queen's University
(2003)
Bachelors - Economics and Computer Science, University of Western
Ontario (2002)
Using the case of credit risk insurance in banking, we explore
the consequences of counterparty risk on the contracting parties.
Click here
and here
to view the not for publication appendices which include an additional
extension of the model and the key results without the limited
liability
assumption on the insurer.
Winner of the Toronto CFA Society Fellowship Award.
Winner of the Northern Finance Association Best Student Paper
Award.
Theoretical analysis of credit default swaps to determine the features that drive counterparty risk and the differences between these contracts and traditional
insurance.
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
When a bank can chose between dispersing risk by credit derivatives or
direct sales, what influences their choice when both are affected by
asymmetric information?
An Efficient Market for Information, (with Douglas
Gale and Frank
Milne), Draft: September 2008.
Information dissemination while preserving the welfare theorms with
the example of the market for managers and salary evolution.
Liquidity Attacks and The Role of Central Banking, (with Prasanna Gai and Frank Milne),
June 2010.
We model the concept of a liquidity attack and explore how central
bank intervention can mitigate or exacerbate the problem.
Teaching
University of Pennsylvania, Wharton School
FNCE 726 - Advanced Corporate Finance (MBA), 2012
University of Waterloo, School of Accounting and Finance
