Nicolas Papageorgiou

Contact

Nicolas Papageorgiou
Professeur agrégé / Associate Professor
HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Tel: 514 340-7309
Fax: 514 340-5632

Email : nicolas.papageorgiou@hec.ca

Affiliations

Research

Refereed Publications

"A Constant Volatility Framework for Managing Tail Risk", Journal of Portfolio Management, forthcoming, with Alexandre Hocquard and Sunny Ng.

"The Payoff Distribution Model: Applications to Risk Management", Quantitative Finance, forthcoming, with Alexandre Hocquard and Bruno Remillard.

"Performance Analysis of a Collateralized Fund Obligation Equity Tranche", European Journal of Finance , forthcoming, with Shady Abdoul-Enein and Georges Dionne.

"Copula-based semiparametric models for multivariate analysis", Journal of Multivariate Analysis, 2012, with Bruno Remillard and Frederic Soustra.

"Strategic Analysis of Risk-shifting Incentives with Convertible Debt", Quarterly Journal of Finance, 2011, with Pascal Francois and Georges Hübner.

"An empirial study of dependence of credit default swap data and equity prices", Journal of Futures Markets, 2009, with Debbie Dupuis, Eric Jacquier and Bruno Rémillard.

"Replicating the statistical properties of hedge fund returns", Journal of Alternative Investments, 2008, with Alexandre Hocquard and Bruno Remillard.

"Credit migration and the pricing of credit derivatives using copulas", Journal of Computational Finance, 2006, with Tony Berrada, Debbie Dupuis, Eric Jacquier and Bruno Rémillard.

"Funds of funds versus simple portfolios of hedge funds: A comparative study of persistence in performance", Journal of Derivatives and Hedge Funds, 2007, with Greg Gregoriou, Georges Hübner and Fabrice Rouah.

"Credit spreads and the zero-coupon Treasury term-structure", Journal of Financial Research, 2006, with Frank Skinner.

"Survival of Commodity Trading Advisors: 1990-2003", Journal of Futures Markets, 2005, with Greg Gregoriou, Georges Hübner and Fabrice Rouah.

"Predicting the direction of interest rate movements", Journal of Fixed Income, 2002, with Frank Skinner.

Book Chapters

"Optimal hedging of American Options in discrete time” in American Style Options Pricing, Springer, 2011,with Alexandre Hocquard, Hugues Langlois and Bruno Remillard

"The role of hedge funds in the financial crisis: Victim or culprit", in The Financial Crisis Handbook, Chapman-Hall/Taylor and Francis, 2009,with Florent Salmon.

"A copula based credit rating model for evaluating basket credit derivatives", in The Handbook of Credit Asset Management, McGraw-Hill, 2008, with Jean-Luc Gardere and Bruno Remillard.

"Simple hedge fund strategies as an alternative to fund of funds: Evidence from large cap funds", in Funds of Hedge Funds: Performance Assessment, Diversification and Statistical Properties, Wiley Publishers, 2006, with Greg Gregoriou, Georges Hübner and Fabrice Rouah.

"Optimal fund of fund asset allocation: Hedge funds, CTAs and Reits", in Funds of Hedge Funds: Performance assessment, Diversification and Statistical Properties, Wiley Publishers, 2006, with Alain Elkaim.

"The performance of CTAs in changing market conditions", in Commodity Trading Advisors: Risk, Performance Analysis and Selection, Wiley Publishers, 2004, with Georges Hübner.

Other Publications

"How to manage tail risk", Canadian Investment Review, 2011, with Alexandre Hocquard and Sunny Ng.

"Optimal hedging strategies with an appplication to hedge fund replication", Wilmott Magazine, 2007, with Alexandre Hocquard and Bruno Remillard.

"An overview of the market for credit risk transfer", Assurance et Gestion des Risques, 2005, with Martin Boyer.

"Passing the buck! Implications of the new Basle accord to credit risk management", Assurance et Gestion des Risques, 2004, with Martin Boyer.

Books

"Hedge funds: Performance analysis, risk and selection", eds. Gregoriou, Hübner, Papageorgiou and Rouah, Wiley publishers, 2005

Working Papers

"A new approach to testing the performance persistence of hedge funds", with P. Amvella and I. Meier.

"Where do Hedge fund managers come from? Past employment experience and managerial performance", with J. Parwada and K. Tan.

"Betas and the myth of market neutrality", with J. Reeves and K. Xie.

"Directional and Non-Directional Risk Exposures in hedge fund returns", with Georges Hübner and Marie Lambert.

"Modeling asset returns with Markov regime-switching models" with Alexandre Hocquard and Bruno Remillard.

"The Global Performance Measure", with Alexandre Hocquard and Bruno Remillard.

"Estimating and Forecasting Corporate Bond Prices"

Teaching

Analysis of Fixed Income Securities (MBA)
Quantitative Fund Management (MSc)
Trading in Financial Markets (MBA)
Négotiations en Salle des Marchés (BAA)
Options et Contrats à Termes (BAA)

Press Coverage