Pascal Francois

HEC Montreal - Department of Finance

Full Professor

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

25

DOWNLOADS
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Top 9,648

in Total Papers Downloads

6,375

SSRN CITATIONS
Rank 21,155

SSRN RANKINGS

Top 21,155

in Total Papers Citations

34

CROSSREF CITATIONS

14

Scholarly Papers (25)

1.

Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures

Number of pages: 32 Posted: 02 Nov 2001
Erwan Morellec and Pascal Francois
Ecole Polytechnique Fédérale de Lausanne and HEC Montreal - Department of Finance
Downloads 790 (40,130)
Citation 27

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2.

Credit Derivatives with Multiple Debt Issues

Number of pages: 39 Posted: 22 Nov 2001
Georges Hübner and Pascal Francois
HEC Liège and HEC Montreal - Department of Finance
Downloads 562 (62,708)
Citation 1

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credit derivatives, credit risk, structural model

3.

Detecting Regime Shifts in Credit Spreads

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 84 Posted: 16 Jun 2008 Last Revised: 11 Mar 2013
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 526 (68,123)
Citation 3

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Credit spread regimes, level regimes, volatility regimes, credit cycle, economic cycle, monetary effect, credit supply effect

4.
Downloads 511 ( 70,687)
Citation 4

The Agency Structure of Loan Syndicates

Number of pages: 50 Posted: 06 May 2005
Franck Missonier-Piera and Pascal Francois
University of Geneva - Graduate School of Business (HEC-Geneva) and HEC Montreal - Department of Finance
Downloads 493 (73,037)
Citation 4

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banking, loan syndication, specialization, monitoring

The Agency Structure of Loan Syndicates

Financial Review, Vol. 42, No. 2, pp. 227-245, May 2007
Number of pages: 19 Posted: 04 Jun 2007
Franck Missonier-Piera and Pascal Francois
University of Geneva - Graduate School of Business (HEC-Geneva) and HEC Montreal - Department of Finance
Downloads 18 (686,720)
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The Agency Structure of Loan Syndicates

Financial Review, Vol. 42, No. 2, May 2007
Posted: 24 Apr 2007
Franck Missonier-Piera and Pascal Francois
University of Geneva - Graduate School of Business (HEC-Geneva) and HEC Montreal - Department of Finance

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Loan syndication, Monitoring, Bank specialization, Coagents

5.

Classical Portfolio Performance Measures: A Primer

Number of pages: 47 Posted: 09 Feb 2020 Last Revised: 26 May 2020
Pascal Francois and Georges Hübner
HEC Montreal - Department of Finance and HEC Liège
Downloads 481 (76,253)

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Portfolio Performance, Sharpe Ratio, Jensen's alpha, Treynor Ratio, Information Ratio, Peer Group Comparison

6.

Credit Spread Changes within Switching Regimes

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 12 Feb 2009 Last Revised: 11 Mar 2013
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 389 (97,577)
Citation 2

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Credit spread, Markov switching regimes, market risk, liquidity risk, default risk, credit cycle, NBER economic cycle.

7.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 345 (111,715)

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Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

8.

A Dynamic Model of Risk-Shifting Incentives with Convertible Debt

Number of pages: 43 Posted: 21 Feb 2006 Last Revised: 17 Aug 2009
HEC Montreal - Department of Finance, HEC Liège and HEC Montreal - Department of Finance
Downloads 286 (136,633)

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Convertible debt, Risk shifting, Non-cooperative game

9.

Pricing Installment Options with an Application to Asx Installment Warrants

Number of pages: 26 Posted: 07 Jan 2003
Hatem Ben Ameur, Michèle Breton and Pascal Francois
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 275 (142,341)
Citation 2

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Option Pricing, Exotic Options, Dynamic Programming, Installment Options

10.

How to Select a Portfolio Performance Measure?

Number of pages: 43 Posted: 23 Sep 2020
Pascal Francois and Georges Hübner
HEC Montreal - Department of Finance and HEC Liège
Downloads 258 (152,391)

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Portfolio Performance, Sharpe Ratio, Jensen's alpha, Treynor Ratio, Information Ratio, Peer Group Comparison

11.

Venturing into Uncharted Territory: An Extensible Parametric Implied Volatility Surface Model

Number of pages: 63 Posted: 19 Jul 2021 Last Revised: 23 Jul 2021
HEC Montreal - Department of Finance, HEC Montréal, Students, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 242 (161,672)

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Implied volatility surfaces, Incomplete Markets, Derivatives pricing, Factor models.

12.

Optimal Hedging When the Underlying Asset Follows a Regime-Switching Markov Process

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 17 Aug 2012 Last Revised: 19 Aug 2012
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 237 (164,956)
Citation 1

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Dynamic programming, hedging, risk management, regime switching

13.

A Structural Balance Sheet Model of Sovereign Credit Risk

Number of pages: 35 Posted: 22 Dec 2011
Pascal Francois, Georges Hübner and Jean-Roch Sibille
HEC Montreal - Department of Finance, HEC Liège and Riskdynamcis
Downloads 221 (176,383)
Citation 4

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Sovereign Credit Spread, Balance Sheet, Recovery Rate, Contingent Claims Analysis, Contagion Effects

14.

Currency Total Return Swaps: Valuation and Risk Factor Analysis

Number of pages: 38 Posted: 03 Jun 2011
Romain Cuchet, Pascal Francois and Georges Hübner
Barclays Corporate Banking, HEC Montreal - Department of Finance and HEC Liège
Downloads 207 (187,486)

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Credit derivative, credit risk, currency risk

15.

A Portfolio Approach to Venture Capital Financing

Number of pages: 79 Posted: 01 Dec 2009 Last Revised: 09 Nov 2021
Yan Alperovych, Pascal Francois and Georges Hübner
EMLYON Business School, HEC Montreal - Department of Finance and HEC Liège
Downloads 200 (193,565)

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Venture capital, portfolio theory, financial contracting, entrepreneur's risk aversion, cost of capital

16.

Credit Value Adjustment with Market-Implied Recovery

Number of pages: 42 Posted: 28 Jun 2016 Last Revised: 09 Oct 2017
Pascal Francois and Wei Yu Jiang
HEC Montreal - Department of Finance and McGill University, Students
Downloads 161 (233,722)
Citation 1

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CVA, Implied recovery, Credit risk, OTC derivatives

17.

Credit Default Swaps and the Cost of Capital

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 77 Posted: 24 Apr 2020 Last Revised: 13 Oct 2020
Saint Mary's University, HEC Montreal - Department of Finance, Concordia University, Quebec - Department of Finance and Concordia University
Downloads 151 (246,559)

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Credit Default Swaps, Weighted Average Cost of Capital, Empty Creditors, Capital Structure, Public debt, Bank debt

18.

Heterogeneous Beliefs and the Choice between Private Restructuring and Formal Bankruptcy

Number of pages: 33 Posted: 27 Nov 2013 Last Revised: 13 Dec 2016
Pascal Francois and Alon Raviv
HEC Montreal - Department of Finance and Bar-Ilan University - Graduate School of Business Administration
Downloads 141 (260,434)
Citation 3

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formal procedure, informal process, heterogeneous beliefs, judicial discretion, bankruptcy, liquidation

19.

Comoment Risk in Corporate Bond Yields and Returns

Number of pages: 42 Posted: 10 Oct 2017 Last Revised: 09 May 2018
HEC Montreal - Department of Finance, HEC-Management School of the University of Liège, HEC Liège and National Bank of Belgium
Downloads 110 (312,895)

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Credit risk, Bond returns, Comoment risk

20.

Smile-Implied Hedging with Volatility Risk

Number of pages: 37 Posted: 16 Oct 2020
Pascal Francois and Lars Stentoft
HEC Montreal - Department of Finance and Department of Economics, University of Western Ontario
Downloads 95 (344,694)

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Options, Hedging, Volatility smile, Stochastic implied volatility

21.

Could Chapter 11 Redeem Itself? Wealth and Welfare Effects of the Redemption Option

Number of pages: 40 Posted: 26 Nov 2018 Last Revised: 25 Nov 2019
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 84 (372,151)

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Chapter 11, bankruptcy, APR violation, recovery, game theory, dynamic programming

22.

How Will the TCJA (2017) Cap on Interest Expense Change the Tax Benefits of Debt?

Number of pages: 58 Posted: 11 Sep 2020 Last Revised: 14 Jul 2021
Karan Bhanot, Pascal Francois and Palani-Rajan Kadapakkam
University of Texas at San Antonio - Department of Finance, HEC Montreal - Department of Finance and University of Texas at San Antonio - Department of Finance
Downloads 57 (457,808)

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Tax Cuts and Jobs Act, Tax Benefits

23.

Minimum Variance Immunization

Number of pages: 59 Posted: 12 Jan 2021
Pascal Francois and Franck Moraux
HEC Montreal - Department of Finance and Université de Rennes I and CREM
Downloads 46 (502,421)

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Immunization, Mean-variance, Duration, Risk management

24.

Game Theoretic Analysis of Negotiations under Bankruptcy

European Journal of Operational Research, Volume 221, Issue 3, 16 September 2012, Pages 603-613.
Posted: 31 May 2011 Last Revised: 08 Nov 2019
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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bankruptcy procedure, game theory, dynamic programming

Resolution of Financial Distress Under Chapter 11

Journal of Economic Dynamics and Control, Vol. 36, No. 12, 2012
Posted: 12 Dec 2010 Last Revised: 08 Nov 2019
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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Credit risk, Chapter 11, game theory, dynamic programming

Resolution of Financial Distress Under Chapter 11

29th International Conference of the French Finance Association (AFFI) 2012
Posted: 19 Sep 2012
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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Credit risk, Chapter 11, Game theory, Dynamic programming