Franck Moraux

Université de Rennes I and CREM

Professor

IAE de Rennes

11, rue Jean Macé

Rennes, 35000

France

http://perso.univ-rennes1.fr/franck.moraux/

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 22,863

in Total Papers Downloads

2,425

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (12)

1.

Common Factors in International Bond Returns Revisited: A Common Principal Component Approach

Number of pages: 41 Posted: 04 Mar 2002
Université de Rennes I and CREM, HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 632 (47,938)
Citation 3

Abstract:

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Term Structure, Interest Rates, Factor Models, Principal Component Analysis, Common Principal Component Analysis

2.

Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier

Number of pages: 23 Posted: 19 Jun 2002
Franck Moraux
Université de Rennes I and CREM
Downloads 542 (58,277)
Citation 21

Abstract:

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Bankruptcy procedures, Debt pricing, Default, Liquidation

3.

Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 23 Posted: 13 Dec 2007
Franck Moraux and Patrick Navatte
Université de Rennes I and CREM and Université de Rennes I
Downloads 354 (97,101)

Abstract:

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Contingent Claim Analysis, Debt Equity Swap, Design

4.

On the Pricing and Early Call of American and Bermudan Callable Bonds

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 26 Posted: 05 Nov 2012
Maxime Debon, Franck Moraux and Patrick Navatte
Université d'Évry, Université de Rennes I and CREM and Université de Rennes I
Downloads 209 (167,158)
Citation 1

Abstract:

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5.

Quadratic, Affine and Hybrid Gaussian Term Structure Models in Discrete Time: Theory and Evidence

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 52 Posted: 26 Oct 2009 Last Revised: 28 Mar 2013
Grégoire Leblon and Franck Moraux
University of Rennes I, Graduate School of Management and CREM and Université de Rennes I and CREM
Downloads 207 (168,713)
Citation 2

Abstract:

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6.

Relations between Corporate Bonds, Treasuries and the Equity Market: Evidences from Daily Options Adjusted Credit Spreads

Number of pages: 29 Posted: 01 May 2006
Anthony Miloudi and Franck Moraux
affiliation not provided to SSRN and Université de Rennes I and CREM
Downloads 187 (185,235)

Abstract:

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Credit spreads, equity market, long run relation, short term dynamics

7.

Extending the Maturity of a Defaulting Debt: When it is Worthwhile!

Number of pages: 28 Posted: 28 May 2004
Franck Moraux and Patrick Navatte
Université de Rennes I and CREM and Université de Rennes I
Downloads 135 (243,342)
Citation 1

Abstract:

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Bankruptcy procedure, Extended debt

8.

Debt Renegotiation

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 23 Posted: 05 Nov 2012
Franck Moraux and Florina Silaghi
Université de Rennes I and CREM and Autonomous University of Barcelona
Downloads 59 (408,708)

Abstract:

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Debt renegotiation, Debt pricing

9.

Private Benefits in a Contingent Claim Framework: Valuation Effects and Other Implications

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 32 Posted: 16 May 2011
Patrick Navatte and Franck Moraux
Université de Rennes I and Université de Rennes I and CREM
Downloads 55 (422,470)

Abstract:

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Agency theory, private benefits, tunneling, contingent claim analysis

10.

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 03 Jun 2016
Donatien Hainaut and Franck Moraux
Université Catholique de Louvain and Université de Rennes I and CREM
Downloads 32 (519,798)

Abstract:

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Hawkes process, self exciting process, clustering effects

11.

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 11 (653,930)

Abstract:

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Immunization, Mean-variance, Duration, Risk management

12.

Hedging of Options in the Presence of Jump Clustering

Journal of Computational Finance, Forthcoming
Number of pages: 36 Posted: 03 Dec 2018
Donatien Hainaut and Franck Moraux
Université Catholique de Louvain and Université de Rennes I and CREM
Downloads 2 (723,343)
Citation 3
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Abstract:

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self-excitation, Hawkes process, minimum variance hedging, options pricing, shot noise process