Professor of Finance at HEC Montréal
Director, CDI (Canadian Derivatives Institute)
Co-editor of Finance
Credit Value Adjustment with Market-implied Recovery
Journal of Financial Services Research (2019) with Weiyu Jiang.
The Determinants of Market-implied Recovery Rates
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
Credit Default Swaps and the Cost of Capital, with Harjeet Bhabra, Thomas Walker and Chunrong Wang.
Classical Portfolio Performance Measures: A Primer, with Georges Hübner.
Comoment Risk in Corporate Bond Yields and Returns, with Stephanie Heck, Georges Hübner and Thomas Lejeune.
The Immunization Performance of Traditional and Stochastic Durations: A Mean-Variance Analysis, with Franck Moraux.
A Portfolio Approach to Venture Capital Financing, with Georges Hübner.
Could Chapter 11 Redeem Itself? Wealth and Welfare Effects of the Redemption Option, with Amira Annabi and Michèle Breton