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

11

DOWNLOADS
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2,402

CITATIONS
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SSRN RANKINGS

Top 20,969

in Total Papers Citations

14

Scholarly Papers (11)

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 588 (34,077)

Abstract:

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

EFMA 2002 London Meetings
Number of pages: 23 Posted: 19 Jun 2002
Franck Moraux
Université de Rennes I and CREM
Downloads 463 (44,385)
Citation 14

Abstract:

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 314 (71,945)

Abstract:

Contingent Claim Analysis, Debt Equity Swap, Design

4.

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 217 (106,990)

Abstract:

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

5.

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 179 (133,428)

Abstract:

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

6.

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 170 (127,470)

Abstract:

7.

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

EFMA 2004 Basel Meetings Paper
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 127 (177,712)

Abstract:

Bankruptcy procedure, Extended debt

8.

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 106 (159,189)

Abstract:

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 47 (316,121)

Abstract:

Agency theory, private benefits, tunneling, contingent claim analysis

10.

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 Universitat Autònoma Barcelona
Downloads 40 (327,773)

Abstract:

Debt renegotiation, Debt pricing

11.

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 0 (486,217)

Abstract:

Hawkes process, self exciting process, clustering effects