Pascal François
Professor of Finance at HEC Montréal
Email: pascal.francois[at]hec.ca
Curriculum
Vitae
Refereed
publications
The Mean-variance (in)Efficiency of
Duration-based Immunization
International
Review of Finance (2024) with Franck Moraux.
Secured and Unsecured Debt in
Creditor-friendly Bankruptcy
Journal of
Corporate Finance (2023) with Hassan Naqvi.
Comoment Risk in
Corporate Bond Yields and Returns
Journal of
Financial Research (2022) with Stephanie Heck, Georges Hübner
and Thomas Lejeune.
Venturing into Uncharted Territory: An Extensible Implied Volatility Surface
Model
Journal of Futures Markets (2022)
with Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin.
Could Chapter 11 Redeem Itself? Wealth and Welfare Effects of the
Redemption Option
International Review of Law and Economics
(2021) with Amira Annabi and Michèle Breton.
Smile-implied Hedging with Volatility Risk
Journal of
Futures Markets (2021) with Lars Stentoft.
Credit Value Adjustment with Market-implied
Recovery
Journal of
Financial Services Research (2019) with Weiyu Jiang.
The Determinants of Market-implied Recovery
Rates
Risks (2019).
Heterogeneous Beliefs and the Choice between
Private Restructuring and Formal Bankruptcy
North American
Journal of Economics and Finance (2017) with Alon Raviv.
Prepayment Risk on Callable Bonds: Theory and Test
Decisions in
Economics and Finance (2015) with Sophie Pardo.
Detecting Regime Shifts in Credit Spreads
Journal of Financial and Quantitative
Analysis (2014) with Olfa Maalaoui Chun and Georges Dionne.
Credit Spread Changes within Switching Regimes
Journal of Banking and Finance (2014)
with Olfa Maalaoui Chun and Georges Dionne.
Optimal Hedging When the Underlying Asset
Follows a Regime-Switching Markov Process
European Journal of Operational Research (2014) with
Geneviève Gauthier and Frédéric Godin.
Convertible Debt and Shareholder Incentives
Journal of
Corporate Finance (2014) with Christian Dorion, Gunnar Grass
and Alexandre Jeanneret.
Currency Total Return Swaps: Valuation and
Risk Factor Analysis
Quantitative
Finance (2013) with Romain Cuchet and Georges Hübner.
Resolution of Financial Distress under Chapter
11
Journal of
Economic Dynamics & Control (2012) with Amira Annabi and Michèle Breton.
Game Theoretic Analysis of Negotiations under
Bankruptcy
European Journal of Operational Research (2012) with
Amira Annabi and Michèle Breton.
A Structural Balance Sheet Model of Sovereign
Credit Risk
Finance (2011) with
Georges Hübner and Jean-Roch Sibille.
Strategic Analysis of Risk-Shifting Incentives
with Convertible Debt
Quarterly Journal of Finance (2011) with
Georges Hübner and Nicolas Papageorgiou.
Closed-Form Solutions to Stochastic Process
Switching Problems
Journal of Mathematical Economics (2008) with Erwan
Morellec.
The Agency Structure of Loan Syndicates
The Financial Review (2007) with
Franck Missonier-Piera.
Tax Loss Carry-Forwards and Optimal Leverage
Applied Financial
Economics (2006).
A Dynamic Programming Approach to Price
Installment Options
European Journal of Operational Research (2006) with
Hatem Ben Ameur and Michèle Breton.
Capital Structure and Asset Prices: Some
Effects of Bankruptcy Procedures
Journal of Business (2004) with
Erwan Morellec.
Credit Derivatives with Multiple Debt Issues
Journal of Banking and Finance (2004) with
Georges Hübner.
Downloadable papers at SSRN
Joint Dynamics for the
Underlying Asset and its Implied Volatility: A New Methodology for Option Risk Management,
with Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin.
Credit Default Swaps
and the Cost of Capital, with Harjeet Bhabra, Thomas Walker and Chunrong Wang.
How does a Cap on
Interest Expense Change the Tax Benefits of Debt? with Karan Bhanot and
Palani-Rajan Kadapakkam.
A Portfolio Approach
to Venture Capital Financing, with Yan Alperovych and Georges Hübner.
The Role of CDS
Spreads in Explaining Bond Recovery Rates, with Matteo Barbagli, Geneviève
Gauthier and Frédéric Vrins.
Enhancing
Deep Hedging of Options with Implied Volatility Surface Feedback Information, with
Geneviève Gauthier,
Frédéric Godin and Carlos Octavio Pérez Mendoza.
Is
the Difference between Deep Hedging and Delta Hedging a Statistical Arbitrage?, with Geneviève Gauthier, Frédéric Godin and Carlos Octavio Pérez Mendoza.