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Synthetizing a debt guarantee : super-replication versus utility approach
Jacques, Sébastien; Lai, Van Son; Soumaré, Issouf - In: International review of financial analysis 20 (2011) 1, pp. 27-40
Persistent link: https://www.econbiz.de/10009295925
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Synthetizing a debt guarantee: Super-replication versus utility approach
Jacques, Sébastien; Lai, Van Son; Soumaré, Issouf - In: International Review of Financial Analysis 20 (2011) 1, pp. 27-40
This paper compares two strategies for replicating a put option used to synthetize a debt guarantee contract. The first strategy, super-replication, while maintaining the portfolio value greater or equal to a target value, minimizes the transaction cost of replicating a debt insurance put option...
Persistent link: https://www.econbiz.de/10008863208
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Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub; Lai, Van Son; Soumaré, Issouf - In: The journal of fixed income 26 (2017) 3, pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
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An analysis of private loan guarantee portfolios
Gendron, Michel; Lai, Van Son; Soumaré, Issouf - In: Financial risk and financial risk management, (pp. 395-415). 2002
Persistent link: https://www.econbiz.de/10001755653
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Economic capital for bond insurers
Grégoire, Luc; Lai, Van Son; Soumaré, Issouf - In: The journal of fixed income 19 (2009/10) 3, pp. 47-65
Persistent link: https://www.econbiz.de/10003940855
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Hedging portfolios of financial guarantees
Lai, Van Son; Langlois, Yves; Soumaré, Issouf - In: Journal of risk 11 (2008/09) 2, pp. 39-63
Persistent link: https://www.econbiz.de/10003809406
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Banks' capital buffer, risk and performance in the Canadian banking system : impact of business cycles and regulatory changes
Guidara, Alaa; Lai, Van Son; Soumaré, Issouf; Tchana … - In: Journal of banking & finance 37 (2013) 9, pp. 3373-3387
Persistent link: https://www.econbiz.de/10010126420
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Project finance with limited recourse : an option pricing approach to debt capacity and project risk
Gendron, Michel; Lai, Van Son; Soumaré, Issouf - In: The journal of structured finance 13 (2007/08) 3, pp. 97-104
Persistent link: https://www.econbiz.de/10003862378
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Risk-based capital and credit insurance portfolios
Lai, Van Son; Soumaré, Issouf - In: Financial markets, institutions & instruments 19 (2010) 1, pp. 21-45
Persistent link: https://www.econbiz.de/10003972086
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An analysis of portfolios of insured debts
Gendron, Michel; Lai, Van Son; Soumaré, Issouf - In: The journal of fixed income 16 (2006) 1, pp. 55-64
Persistent link: https://www.econbiz.de/10003376587