Patrick Augustin

McGill University, Desautels Faculty of Management

Assistant Professor of Finance

1001 Sherbrooke Street West

Quebec

Montreal, Quebec H3A 1G5

Canada

http://www.patrickaugustin.se

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 7,292

in Total Papers Downloads

5,146

CITATIONS
Rank 30,871

SSRN RANKINGS

Top 30,871

in Total Papers Citations

7

Scholarly Papers (14)

1.
Downloads 668 ( 31,453)
Citation 2

Sovereign Credit Default Swap Premia

Forthcoming, Journal of Investment Management
Number of pages: 53 Posted: 09 May 2012 Last Revised: 16 Apr 2014
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 668 (30,955)
Citation 2

Abstract:

Credit Default Swap Spreads, Default Risk, Descriptive Statistics, Literature Review, Sovereign Debt, Term structure

Sovereign Credit Default Swap Premia

NYU Working Paper
Posted: 26 Jul 2012
Patrick Augustin
McGill University, Desautels Faculty of Management

Abstract:

Credit Default Swap Spreads, Default Risk, Descriptive Statistics, Literature Review,, Sovereign Debt, Term structure

The Term Structure of CDS Spreads and Sovereign Credit Risk

Number of pages: 61 Posted: 08 Nov 2012 Last Revised: 10 Nov 2012
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 285 (88,999)

Abstract:

Credit Default Swaps, Default Risk, Sovereign Debt, Term Structure

The Term Structure of CDS Spreads and Sovereign Credit Risk

Number of pages: 58 Posted: 01 Nov 2014 Last Revised: 22 Apr 2016
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 207 (123,891)

Abstract:

Credit Default Swaps, Default Risk, Sovereign Debt, Term Structure

Sovereign to Corporate Risk Spillovers

Number of pages: 55 Posted: 02 Jul 2012 Last Revised: 20 Sep 2017
McGill University, Desautels Faculty of Management, BI Norwegian Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 402 (59,626)

Abstract:

bailout, contagion, credit risk, Greece, risk transmission

Sovereign to Corporate Risk Spillovers

ECB Working Paper No. 1878
Number of pages: 58 Posted: 18 Jan 2016
McGill University, Desautels Faculty of Management, BI Norwegian Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 75 (273,765)

Abstract:

bailout, contagion, credit risk, Greece, risk transmission

4.

Informed Options Trading Prior to M&A Announcements: Insider Trading?

Number of pages: 117 Posted: 26 May 2014 Last Revised: 27 Oct 2015
Patrick Augustin, Menachem Brenner and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 379 (17,979)
Citation 2

Abstract:

Asymmetric Information, Civil Litigations, Insider Trading, Mergers and Acquisitions, Market Microstructure, Equity Options, SEC

5.

Credit Default Swaps – A Survey

Foundations and Trends® in Finance: Vol. 9: No. 1–2, pp 1-196,
Number of pages: 199 Posted: 03 Dec 2014 Last Revised: 13 Jan 2015
McGill University, Desautels Faculty of Management, New York University - Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 335 (27,854)

Abstract:

6.
Downloads 231 (111,599)
Citation 2

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
McGill University, Desautels Faculty of Management, New York University - Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 231 (111,121)
Citation 2

Abstract:

agency conflicts, asset pricing, CDS, credit risk, derivatives, market structure, sovereign debt

Credit Default Swaps: Past, Present, and Future

Annual Review of Financial Economics, Vol. 8, pp. 175-196, 2016
Posted: 18 Nov 2016
McGill University, Desautels Faculty of Management, New York University - Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

Abstract:

7.

Real Economic Shocks and Sovereign Credit Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 23 Nov 2010 Last Revised: 01 Mar 2017
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 203 (91,958)
Citation 1

Abstract:

Credit Default Swap Spreads, Generalized Disappointment Aversion, Sovereign Risk, Term Structure

8.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 93 Posted: 11 Feb 2015 Last Revised: 01 Nov 2015
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York University - Stern School of Business
Downloads 122 (96,782)

Abstract:

Asymmetric Information, CDS, Corporate Bonds, Insider Trading, Spinoffs, Market Microstructure, Options, TRACE

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Swedish House of Finance Research Paper No. 14-14
Number of pages: 41 Posted: 29 Aug 2014 Last Revised: 18 May 2016
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 84 (255,447)

Abstract:

Generalized Disappointment Aversion, Expectations Hypothesis, Numerical Solution Methods, Term Structure of Interest Rates

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 41 Posted: 04 Jun 2016
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 20 (467,439)

Abstract:

Bond Predictability, Generalized Disappointment Aversion, Expectations Hypothesis, Numerical solution methods, Term Structure of Interest Rates

10.

Multi-Market Trading and Cross-Asset Integration

Darden Business School Working Paper No. 2660829
Number of pages: 80 Posted: 16 Sep 2015 Last Revised: 16 May 2017
McGill University, Desautels Faculty of Management, University of Lethbridge - Faculty of Management, McGill University and University of Virginia ­ Darden School of Business
Downloads 18 (167,851)

Abstract:

G12, G13, G14, G15

11.

A Note on CDS Returns

Number of pages: 25 Posted: 13 Jun 2017
Patrick Augustin and Fahad Saleh
McGill University, Desautels Faculty of Management and New York University (NYU) - Leonard N. Stern School of Business
Downloads 0 (273,209)

Abstract:

Correlations, Credit Default Swaps, Derivatives, Hedge Ratios, ISDA

12.

How Do Insiders Trade?

CFS WP No. 541
Number of pages: 66 Posted: 09 Oct 2016
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University - Stern School of Business
Downloads 0 (75,836)

Abstract:

Insider Trading, Market Microstructure, Corporate Announcements, Extreme Price Movements, Equity Options

13.

Why Do Investors Buy Sovereign Default Insurance?

CFS WP No. 540
Number of pages: 67 Posted: 09 Oct 2016 Last Revised: 15 Mar 2017
McGill University, Desautels Faculty of Management, Stockholm School of Economics - Department of Finance, New York University - Stern School of Business and Darden School of Business
Downloads 0 (267,025)

Abstract:

Banking Regulation, Basel III, Contagion, Credit Default Swaps, OTC, Sovereign Credit Risk, Systemic Risk

14.

Ambiguity, Volatility, and Credit Risk

Number of pages: 58 Posted: 07 May 2016 Last Revised: 16 Jan 2017
Patrick Augustin and Yehuda (Yud) Izhakian
McGill University, Desautels Faculty of Management and City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 0 (89,486)

Abstract:

Derivatives, Equilibrium, Heterogeneous Agents, Insurance, Risk aversion