Michèle Breton
Michèle Breton received a B.Sc.A., industrial engineering and M. Ing, operations research, from École Polytechnique de Montréal respectively in 1975 and 1977 and a Ph.D. in Computer Science from Université de Montréal in 1986. Since 1977, she has been at HEC Montréal where she is presently full professor and director of academic affairs. Her current research interests include dynamic programming, stochastic programming and dynamic game theory applied to dynamic problems in management, more specifically in the energy, environment and finance sectors.
Dr. Breton has published over 100 scientific papers and written over 50 academic documents and original case studies on operations research, decision analysis, and the application of decision tools. She was elected Fellow of the Royal Society of Canada in 2009. She has served as president of the International Society of Dynamic Games, scientific director of the Mathematical Finance Institute of Montréal and director of the Center for Research on e-finance. She currently is Associate Editor for four scientific journals.
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Articles by Michèle Breton
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Wrong-way risk of interest rate instruments
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.