Pascal François
|
Professor of Finance at HEC Montréal Director, CDI
(Canadian Derivatives Institute) Co-editor of Finance Email: pascal.francois[at]hec.ca |
Refereed publications
Credit Value Adjustment with
Market-implied Recovery
Journal of Financial Services Research
(forthcoming) with Weiyu Jiang.
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
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