For more information regarding Bristol-Myers Squibb Clinical Trial participation, please visit www.BMSStudyConnect.com Inclusion Criteria: For Part 9 (only arm open for enrollment): - Stage IV metastatic or unresectable triple negative breast cancer (TNBC) with zero or one prior systemic therapies in the advanced metastatic setting - Participants with < 12 months from receipt of last curative-intent chemotherapy are allowed; curative chemotherapy will be considered first-line therapy - Prior receipt of chemotherapy in the (neo)adjuvant setting is acceptable, as long as completed greater than 6 months from start of treatment - Tumor biopsy samples (mandatory pre- and on-treatment biopsies) are required for all participants enrolled - Must have histologic or cytologic confirmation of a malignancy that is advanced (metastatic, recurrent, refractory, and/or unresectable) with measurable disease per Response Evaluation Criteria in Solid Tumors (RECIST) v1.1 - Eastern Cooperative Oncology Group (ECOG) performance status of ≤ 1 - Men and women must agree to follow specific methods of contraception, if applicable Exclusion Criteria: - Must be immunotherapy treatment naïve, including no prior therapy with T cell immune checkpoint blocker (anti-PDL1, anti-PD1). Prior receipt of intralymphatic cytokine therapy (IRX-2) is acceptable (Part 9 only) - Other active malignancy requiring concurrent intervention - Prior therapy with any agent specifically targeting T-cell co-stimulation pathways such as anti-OX40 antibody, anti-CD137, anti- glucocorticoid-induced TNFR-related gene (anti-GITR) antibody, and anti-CD27 - Known or underlying medical or psychiatric condition and/or social reason that, in the opinion of the investigator or Sponsor, could make the administration of study drug hazardous to the participant or could adversely affect the ability of the participant to comply with or tolerate the study Other protocol-defined inclusion/exclusion criteria apply