Pascal Francois

HEC Montreal - Department of Finance

Full Professor

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

  • HEC Montreal - Department of Finance

    • Email
    • Tel: 514-340-7743
    • Fax: 514-340-5632
SCHOLARLY PAPERS

25

DOWNLOADS
Rank 12,209

SSRN RANKINGS

Top 12,209

in Total Papers Downloads

6,992

SSRN CITATIONS
Rank 21,176

SSRN RANKINGS

Top 21,176

in Total Papers Citations

43

CROSSREF CITATIONS

13

Scholarly Papers (25)

Actions:
Email selected abstracts
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 834 (51,239)
Citation 30

Abstract:

Loading...

2.

Detecting Regime Shifts in Credit Spreads

Journal of Financial and Quantitative Analysis, 49, 5/6, 1339-1364, 2014
Number of pages: 84 Posted: 16 Jun 2008 Last Revised: 05 Jan 2023
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
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 610 (77,011)
Citation 3

Abstract:

Loading...

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

3.

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 575 (82,878)
Citation 1

Abstract:

Loading...

credit derivatives, credit risk, structural model

4.

The Agency Structure of Loan Syndicates

Downloads 516 (94,859)
Citation 6

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 516 (93,845)
Citation 4

Abstract:

Loading...

banking, loan syndication, specialization, monitoring

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

Abstract:

Loading...

Loan syndication, Monitoring, Bank specialization, Coagents

5.

Credit Spread Changes within Switching Regimes

Journal of Banking and Finance, Vol. 49, No. 1, 2014
Number of pages: 48 Posted: 12 Feb 2009 Last Revised: 05 Jan 2023
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
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 418 (121,915)
Citation 2

Abstract:

Loading...

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
Christian Dorion, Pascal Francois, Gunnar Grass and Alexandre Jeanneret
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 393 (130,811)

Abstract:

Loading...

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

7.

Joint Dynamics For The Underlying Asset and Its Implied Volatility Surface: A New Methodology For Option Risk Management

Number of pages: 40 Posted: 09 Jan 2023
Pascal Francois, Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montréal, Students, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 348 (149,634)

Abstract:

Loading...

Implied volatility, Dynamic factor model, Risk management, VIX

8.

A Dynamic Model of Risk-Shifting Incentives with Convertible Debt

Number of pages: 43 Posted: 21 Feb 2006 Last Revised: 17 Aug 2009
Pascal Francois, Georges Hübner and Nicolas A. Papageorgiou
HEC Montreal - Department of Finance, HEC Liège and HEC Montreal - Department of Finance
Downloads 319 (164,238)

Abstract:

Loading...

Convertible debt, Risk shifting, Non-cooperative game

9.

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
Harjeet Bhabra, Pascal Francois, Thomas John Walker and Chunrong Wang
Saint Mary's University, HEC Montreal - Department of Finance, Concordia University, Quebec - Department of Finance and Concordia University
Downloads 309 (169,880)
Citation 1

Abstract:

Loading...

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

10.

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 299 (175,789)
Citation 2

Abstract:

Loading...

Option Pricing, Exotic Options, Dynamic Programming, Installment Options

11.

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

Number of pages: 66 Posted: 19 Jul 2021 Last Revised: 15 Feb 2022
Pascal Francois, Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montréal, Students, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 293 (179,607)

Abstract:

Loading...

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
Pascal Francois, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 266 (198,220)
Citation 1

Abstract:

Loading...

Dynamic programming, hedging, risk management, regime switching

13.

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 241 (218,437)
Citation 2

Abstract:

Loading...

Options, Hedging, Volatility smile, Stochastic implied volatility

14.

A Portfolio Approach to Venture Capital Financing

Number of pages: 68 Posted: 01 Dec 2009 Last Revised: 13 Dec 2022
Yan Alperovych, Pascal Francois and Georges Hübner
emlyon business school, HEC Montreal - Department of Finance and HEC Liège
Downloads 239 (220,202)

Abstract:

Loading...

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

15.

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 237 (222,027)
Citation 4

Abstract:

Loading...

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

16.

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 235 (223,882)

Abstract:

Loading...

Credit derivative, credit risk, currency risk

17.

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 - Desautels Faculty of Management
Downloads 187 (276,431)
Citation 1

Abstract:

Loading...

CVA, Implied recovery, Credit risk, OTC derivatives

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 168 (303,382)
Citation 3

Abstract:

Loading...

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

19.

How Does a Cap on Interest Expense Change the Tax Benefits of Debt?

Downloads 151 (331,959)

How Does a Cap on Interest Expense Change the Tax Benefits of Debt?

Number of pages: 57 Posted: 11 Sep 2020 Last Revised: 28 Mar 2023
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 133 (367,961)

Abstract:

Loading...

Tax Cuts and Jobs Act, Tax Benefits

How Does a Cap on Interest Expense Change the Tax Benefits of Debt?

Number of pages: 58 Posted: 11 Sep 2023
Karan Bhanot, Pascal Francois and Palani-Rajan Kadapakkam
University of Texas at San Antonio - Department of Finance, HEC Montreal - Department of Finance and The University of Texas at San Antonio
Downloads 18 (933,205)

Abstract:

Loading...

G1, G32, G33

20.

Comoment Risk in Corporate Bond Yields and Returns

Number of pages: 42 Posted: 10 Oct 2017 Last Revised: 09 May 2018
Pascal Francois, Stephanie Heck, Georges Hübner and Thomas Lejeune
HEC Montreal - Department of Finance, HEC-Management School of the University of Liège, HEC Liège and National Bank of Belgium
Downloads 134 (364,792)
Citation 2

Abstract:

Loading...

Credit risk, Bond returns, Comoment risk

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 131 (371,143)

Abstract:

Loading...

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

22.

Secured and Unsecured Debt in Creditor-friendly Bankruptcy

Journal of Corporate Finance, Volume 80, June 2023, 102413.
Number of pages: 52 Posted: 21 Sep 2022 Last Revised: 26 May 2023
Pascal Francois and Hassan Naqvi
HEC Montreal - Department of Finance and Monash University
Downloads 55 (632,470)

Abstract:

Loading...

Bankruptcy, intangible assets, premature liquidation, risky debt pricing, secured debt, strategic creditors, unsecured debt

23.

The Mean-variance (in)Efficiency of Duration-based Immunization

Number of pages: 58 Posted: 19 Oct 2022
Pascal Francois and Franck Moraux
HEC Montreal - Department of Finance and Université de Rennes I and CREM
Downloads 34 (765,672)

Abstract:

Loading...

Immunization, Bond portfolio, 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

Abstract:

Loading...

bankruptcy procedure, game theory, dynamic programming

25.

Resolution of Financial Distress Under Chapter 11

Downloads 0 (1,059,542)

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

Abstract:

Loading...

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

Abstract:

Loading...

Credit risk, Chapter 11, Game theory, Dynamic programming