Pascal François

Professor of Finance at HEC Montréal

Email: pascal.francois[at]hec.ca
Curriculum Vitae

Google Scholar page

Refereed publications

The Role of CDS Spreads in Explaining Bond Recovery Rates

Journal of Banking and Finance (2025) with Matteo Barbagli, Geneviève Gauthier and Frédéric Vrins.

How does the Structure of an Interest Expense Cap Change the Tax Benefits of Debt?
Journal of Corporate Finance (2025) with Karan Bhanot and Palani-Rajan Kadapakkam.

Is the Difference between Deep Hedging and Delta Hedging a Statistical Arbitrage?
Finance Research Letters (2025) with Geneviève Gauthier, Frédéric Godin and Carlos Octavio Pérez Mendoza.

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.

A Portfolio Approach to Venture Capital Financing, with Yan Alperovych and Georges Hübner.

Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information, with Geneviève Gauthier, Frédéric Godin and Carlos Octavio Pérez Mendoza.