Pascal Francois

HEC Montreal - Department of Finance

Full Professor

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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Scholarly Papers (19)

1.

Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures

Simon School of Business Working Paper No. FR 01-22
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 774 (31,149)
Citation 21

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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 556 (48,482)

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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
Olfa Maalaoui Chun, Georges Dionne and Pascal Francois
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 502 (55,136)

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

4.
Downloads 490 ( 56,857)
Citation 2

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 472 (59,001)
Citation 2

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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 (553,608)
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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.

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
Olfa Maalaoui Chun, Georges Dionne and Pascal Francois
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 376 (78,194)
Citation 1

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

6.

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 HEC Montréal
Downloads 300 (100,853)

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

7.

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 260 (117,445)

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Convertible debt, Risk shifting, Non-cooperative game

8.

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 259 (117,910)
Citation 1

Abstract:

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Option Pricing, Exotic Options, Dynamic Programming, Installment Options

9.

The Immunization Performance of Traditional and Stochastic Durations: A Mean-Variance Analysis

Number of pages: 33 Posted: 20 Dec 2007 Last Revised: 12 Dec 2016
Franck Moraux and Pascal Francois
Université de Rennes I and CREM and HEC Montreal - Department of Finance
Downloads 236 (129,644)
Citation 1

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immunization, traditional duration, stochastic duration, mean-variance framework

10.

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
Pascal Francois, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 215 (141,952)
Citation 1

Abstract:

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Dynamic programming, hedging, risk management, regime switching

11.

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 214 (142,568)
Citation 3

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

12.

A Portfolio Approach to Venture Capital Financing

Number of pages: 38 Posted: 01 Dec 2009 Last Revised: 02 May 2013
Pascal Francois and Georges Hübner
HEC Montreal - Department of Finance and HEC Liège
Downloads 191 (158,552)

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

13.

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 190 (159,315)

Abstract:

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Credit derivative, credit risk, currency risk

14.

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 135 (213,110)

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CVA, Implied recovery, Credit risk, OTC derivatives

15.

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 132 (216,986)
Citation 2

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

16.

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 92 (280,003)

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Credit risk, Bond returns, Comoment risk

17.

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

Number of pages: 35 Posted: 26 Nov 2018
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 36 (441,120)

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

18.

Game Theoretic Analysis of Negotiations under Bankruptcy

Posted: 31 May 2011
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan 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

Posted: 12 Dec 2010
Amira Annabi, Michèle Breton and Pascal Francois
Manhattan 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, Michèle Breton and Pascal Francois
Manhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

Abstract:

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Credit risk, Chapter 11, Game theory, Dynamic programming