Olivier Renault

University of Warwick Business School - Financial Econometrics Research Centre

Associate Fellow

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 12,759

SSRN RANKINGS

Top 12,759

in Total Papers Downloads

5,508

SSRN CITATIONS
Rank 14,769

SSRN RANKINGS

Top 14,769

in Total Papers Citations

60

CROSSREF CITATIONS

17

Scholarly Papers (6)

1.
Downloads 4,408 ( 3,067)
Citation 60

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 4,408 (3,025)
Citation 60

Abstract:

Loading...

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:

Loading...

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 Swiss Finance Institute - University of Geneva
Downloads 460 (88,511)
Citation 19

Abstract:

Loading...

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
Swiss Finance Institute - University of Geneva, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 362 (116,524)

Abstract:

Loading...

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, Fabien Couderc and Olivier Renault
Axioma IncEcole Polytechnique Fédérale de Lausanne and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 278 (153,953)
Citation 2

Abstract:

Loading...

censored durations, proportional hazard, business cycle, default

5.

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

Posted: 09 Mar 2005
Fabien Couderc, Fabien Couderc and Olivier Renault
Axioma IncEcole Polytechnique Fédérale de Lausanne and University of Warwick Business School - Financial Econometrics Research Centre

Abstract:

Loading...

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

Posted: 15 Jan 2000
Boris Leblanc, O. Scaillet and Olivier Renault
Banque Nationale de Paris, Swiss Finance Institute - University of Geneva and University of Warwick Business School - Financial Econometrics Research Centre

Abstract:

Loading...