Olivier Renault

University of Warwick Business School - Financial Econometrics Research Centre

Associate Fellow

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

6

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CITATIONS
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in Total Papers Citations

125

Scholarly Papers (6)

1.
Downloads 4,290 ( 1,926)
Citation 120

Liquidity and Credit Risk

EFA 2003 Glasgow
Number of pages: 48 Posted: 01 Aug 2003
Jan Ericsson and Olivier Renault
McGill University and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 4,290 (1,892)
Citation 120

Abstract:

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Credit risk, corporate bonds, renegotiation, illiquidity

Liquidity and Credit Risk

Journal of Finance, Forthcoming
Posted: 27 Jul 2005
Jan Ericsson and Olivier Renault
McGill University and University of Warwick Business School - Financial Econometrics Research Centre

Abstract:

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Corporate bonds, financial distress, renegotiation, liquidity risk

2.

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

FAME Research Paper No. 83
Number of pages: 30 Posted: 10 Jun 2003
Olivier Renault and O. Scaillet
University of Warwick Business School - Financial Econometrics Research Centre and University of Geneva GSEM and GFRI
Downloads 442 (63,692)
Citation 8

Abstract:

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default, recovery, kernel estimation, credit risk

3.

Option Pricing with Discrete Rebalancing

FAME Research Paper No. 55
Number of pages: 40 Posted: 25 Mar 2003
O. Scaillet, Jean-Luc Prigent and Olivier Renault
University of Geneva GSEM and GFRI, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 351 (83,613)
Citation 4

Abstract:

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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process

4.

Business and Financial Indicators: What are the Determinants of Default Probability Changes?

Number of pages: 45 Posted: 05 Nov 2006
Fabien Couderc and Olivier Renault
Axioma Inc and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 263 (114,537)
Citation 2

Abstract:

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censored durations, proportional hazard, business cycle, default

5.

Times-to-Default: Life Cycle, Global and Industry Cycle Impacts

Posted: 09 Mar 2005
Fabien Couderc and Olivier Renault
Axioma Inc and University of Warwick Business School - Financial Econometrics Research Centre

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Censored durations, proportional hazard, business cycle, credit cycle, default determinants, default prediction

6.

A Correction Note on the First Passage Time of an Ornstein-Uhlenbeck Process to a Boundary

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 15 Jan 2000
Boris Leblanc, O. Scaillet and Olivier Renault
Banque Nationale de Paris, University of Geneva GSEM and GFRI and University of Warwick Business School - Financial Econometrics Research Centre

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