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

  • McGill University, Desautels Faculty of Management

SCHOLARLY PAPERS

15

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CITATIONS
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7

Scholarly Papers (15)

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1.

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

Number of pages: 48 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 1,283 (13,689)
Citation 2

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

2.

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
Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
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 852 (25,280)

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3.

Sovereign Credit Default Swap Premia

Downloads 767 ( 29,280)

Sovereign Credit Default Swap Premia

Forthcoming, Journal of Investment Management
Number of pages: 53 Posted: 09 May 2012 Last Revised: 28 May 2018
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 767 (28,814)
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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

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

4.

The Term Structure of CDS Spreads and Sovereign Credit Risk

Downloads 621 ( 38,971)

The Term Structure of CDS Spreads and Sovereign Credit Risk

Number of pages: 61 Posted: 08 Nov 2012 Last Revised: 28 May 2018
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 316 (88,427)

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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 305 (92,042)

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

5.

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, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 524 (48,560)

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Derivatives, Equilibrium, Heterogeneous Agents, Insurance, Risk aversion

6.

Sovereign to Corporate Risk Spillovers

Downloads 519 ( 49,180)

Sovereign to Corporate Risk Spillovers

Number of pages: 61 Posted: 02 Jul 2012 Last Revised: 20 Aug 2018
Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder and Jan Schnitzler
McGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 437 (60,334)

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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
Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder and Jan Schnitzler
McGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 82 (285,083)

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bailout, contagion, credit risk, Greece, risk transmission

7.

How Do Insiders Trade?

CFS Working Paper, No. 541
Number of pages: 66 Posted: 09 Oct 2016 Last Revised: 18 Jan 2018
Patrick Augustin, Menachem Brenner, Gunnar Grass and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University - Stern School of Business
Downloads 515 (49,687)

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

8.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 93 Posted: 11 Feb 2015 Last Revised: 01 Nov 2015
Patrick Augustin, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
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 304 (92,923)

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

9.

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 293 (96,739)
Citation 1

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

10.

Credit Default Swaps: Past, Present, and Future

Downloads 283 (100,454)
Citation 2

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
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 283 (99,963)
Citation 2

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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
Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
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

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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 McGill University - Desautels Faculty of Management
Downloads 186 (152,094)

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

12.

Multi-Market Trading and the Dynamics between Credit and Equity Returns

Darden Business School Working Paper No. 2660829
Number of pages: 80 Posted: 16 Sep 2015 Last Revised: 21 Jul 2018
Patrick Augustin, Feng Jiao, Sergei Sarkissian and Michael J. Schill
McGill University, Desautels Faculty of Management, University of Lethbridge - Faculty of Management, McGill University and University of Virginia - Darden School of Business
Downloads 186 (152,094)

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G12, G13, G14, G15

13.

Why Do Investors Buy Sovereign Default Insurance?

CFS Working Paper No. 540
Number of pages: 67 Posted: 09 Oct 2016 Last Revised: 28 May 2018
Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University - Stern School of Business and Darden School of Business
Downloads 131 (204,557)

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

14.

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

Downloads 131 (204,557)

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 97 (255,974)

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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 34 (432,550)

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

15.

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

Downloads 10 (546,630)

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

NBER Working Paper No. w24506
Number of pages: 73 Posted: 24 Apr 2018
Patrick Augustin, Mikhail Chernov and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 8 (581,850)
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Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

CEPR Discussion Paper No. DP12857
Number of pages: 73 Posted: 16 Apr 2018
Patrick Augustin, Mikhail Chernov and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (623,609)
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt