Pascal François
|
Professor of Finance at HEC Montréal Director, IFSID
(Montreal Institute of Structured Finance and Derivatives) Research Fellow at CIRPEE Co-editor of Finance Email: pascal.francois[at]hec.ca |
Refereed publications
Convertible Debt and Shareholder
Incentives
Journal of Corporate Finance (forthcoming) with Christian Dorion, Gunnar
Grass and Alexandre Jeanneret.
Detecting Regime Shifts in Credit
Spreads
Journal of Financial and Quantitative
Analysis (forthcoming) with Olfa Maalaoui Chun and Georges Dionne.
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
Heterogeneous Beliefs and the Choice
between Private Restructuring and Formal Bankruptcy, with Alon
Raviv.
The Immunization Performance of Traditional and
Stochastic Durations: A Mean-Variance Analysis, with Franck Moraux.
Credit Spread Changes within Switching Regimes, with Olfa Maalaoui Chun and Georges
Dionne.
A Portfolio Approach to Venture
Capital Financing, with Georges Hübner.
Optimal Hedging When the Underlying Asset Follows a
Regime-Switching Markov Process, with Geneviève
Gauthier and Frédéric Godin.