Pascal François
|
Professor of Finance at HEC Montréal Co-editor of Finance Email: pascal.francois[at]hec.ca |
Refereed publications
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
Credit Default Swaps and the Cost of Capital, with
Harjeet Bhabra, Thomas Walker and Chunrong Wang.
How will the TCJA of 2017 Change the Tax Benefits of
Debt? The Unintended Industry Effect of the Cap on Interest Expense, with Karan
Bhanot and Palani-Rajan Kadapakkam.
Smile-implied Hedging with Volatility Risk, with Lars
Stentoft.
Classical Portfolio Performance Measures: A Primer,
with Georges Hübner.
How to Select a Portfolio Performance Measure? 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