Redouane Elkamhi

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 4,046

SSRN RANKINGS

Top 4,046

in Total Papers Downloads

8,206

CITATIONS
Rank 7,328

SSRN RANKINGS

Top 7,328

in Total Papers Citations

65

Scholarly Papers (26)

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 690 (29,303)
Citation 33

Abstract:

GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 52 Posted: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 367 (65,765)
Citation 33

Abstract:

GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

2.

The Cost of Financial Distress and the Timing of Default

EFA 2009 Bergen Meetings Paper
Number of pages: 50 Posted: 04 Feb 2009 Last Revised: 26 May 2009
Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson
University of Toronto - Rotman School of Management, University of California, San Diego (UCSD) - Rady School of Management and McGill University
Downloads 664 (28,531)
Citation 10

Abstract:

financial distress costs, default probabilities

3.

The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

Number of pages: 45 Posted: 17 Dec 2010 Last Revised: 12 Mar 2011
Redouane Elkamhi, Kris Jacobs and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Tulane University
Downloads 365 (53,054)
Citation 3

Abstract:

CDS, recovery rate, quadratic model, credit risk, default, tangible assets

4.

Time Varying Risk Premia in Corporate Bond Markets

Number of pages: 50 Posted: 26 Mar 2008
Redouane Elkamhi and Jan Ericsson
University of Toronto - Rotman School of Management and McGill University
Downloads 357 (68,579)
Citation 8

Abstract:

corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk.

5.

Market Jump Risk and the Price Structure of Individual Equity Options

WFA 2010 Victoria meetings
Number of pages: 55 Posted: 19 Jul 2009 Last Revised: 01 Jun 2010
Redouane Elkamhi and Chayawat Ornthanalai
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 356 (57,189)
Citation 2

Abstract:

market jump risk, equity option, filtering, crash risk, skewness premium

6.

Informed Option Trading and Stock Market Mispricing

Number of pages: 49 Posted: 07 Aug 2010 Last Revised: 28 Jun 2011
Redouane Elkamhi, Yong Lee and Tong Yao
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management and University of Iowa - Henry B. Tippie College of Business
Downloads 332 (65,988)

Abstract:

informed option trading, idiosyncratic volatility anomaly

Time-Varying Asset Volatility and the Credit Spread Puzzle

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 14 Oct 2011
Redouane Elkamhi, Jan Ericsson and Min Jiang
University of Toronto - Rotman School of Management, McGill University and University of Iowa - Henry B. Tippie College of Business
Downloads 247 (102,746)

Abstract:

Variance risk premia, default swaps, structural credit models

Time-Varying Asset Volatility and the Credit Spread Puzzle

Rotman School of Management Working Paper No. 1787508
Number of pages: 86 Posted: 29 Nov 2016
Du Du, Redouane Elkamhi and Jan Ericsson
Hong Kong University of Science & Technology (HKUST), University of Toronto - Rotman School of Management and McGill University
Downloads 79 (263,279)

Abstract:

Asset Volatility, Credit Spread Puzzle, Structural Models

8.

Business Cycles and the Bankruptcy Code: A Structural Approach

AFA 2012 Chicago Meetings Paper
Number of pages: 62 Posted: 13 Apr 2010 Last Revised: 02 Jun 2011
Redouane Elkamhi and Min Jiang
University of Toronto - Rotman School of Management and University of Iowa - Henry B. Tippie College of Business
Downloads 315 (79,113)
Citation 2

Abstract:

credit risk, macroeconomic conditions, bankruptcy, Chapter 11

9.

Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite Loans

Number of pages: 70 Posted: 03 Nov 2012 Last Revised: 12 May 2014
Indiana University - Kelley School of Business - Department of Finance, University of Toronto - Rotman School of Management, University of Virginia and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 290 (60,178)
Citation 1

Abstract:

Covenants, Debt contracting, Syndicated Loans, Bank loans, Agency Costs

10.

Dynamic Correlation Hedging in Copula Models for Portfolio Selection

Paris December 2009 Finance International Meeting
Number of pages: 64 Posted: 26 Oct 2009
Denitsa Stefanova and Redouane Elkamhi
Luxembourg School of Finance and University of Toronto - Rotman School of Management
Downloads 254 (92,546)

Abstract:

correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence

11.

Accounting Information Releases and CDS Spreads

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 48 Posted: 29 Jun 2011 Last Revised: 17 Mar 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Paris and University of Toronto - Rotman School of Management
Downloads 248 (80,831)
Citation 2

Abstract:

Accounting information; CDS; jumps; market integration

12.

Managerial Activeness and Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming
Number of pages: 44 Posted: 20 Apr 2014 Last Revised: 09 May 2015
Hitesh Doshi, Redouane Elkamhi and Mikhail Simutin
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 230 (35,689)

Abstract:

Mutual fund performance, Portfolio management, closet indexing

13.

What Risks Do Corporate Bond Put Features Insure Against?

Number of pages: 43 Posted: 16 Mar 2007 Last Revised: 16 Oct 2008
Jan Ericsson, Redouane Elkamhi and Hao Wang
McGill University, University of Toronto - Rotman School of Management and Tsinghua University
Downloads 226 (107,303)
Citation 1

Abstract:

Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

14.

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

AFA 2012 Chicago Meetings Paper
Number of pages: 51 Posted: 15 Mar 2011
Denitsa Stefanova and Redouane Elkamhi
Luxembourg School of Finance and University of Toronto - Rotman School of Management
Downloads 176 (111,541)

Abstract:

correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence

15.

Reputation and Loan Contract Terms: The Role of Principal Customers

Review of Finance, Forthcoming
Number of pages: 54 Posted: 27 Mar 2014 Last Revised: 10 May 2015
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Toronto - Rotman School of Management and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 167 (95,875)

Abstract:

Principal customers, loan contracts, reputation-building, cross-monitoring

16.

Dynamic Hedging and Extreme Asset Co-Movements

Number of pages: 57 Posted: 28 Oct 2009 Last Revised: 24 Mar 2014
Denitsa Stefanova and Redouane Elkamhi
Luxembourg School of Finance and University of Toronto - Rotman School of Management
Downloads 166 (120,980)
Citation 2

Abstract:

Asset allocation, intertemporal hedging, tail risk, extreme co-movement

17.

The Influence of Investor Identity and Contract Terms on Firm Value: Evidence from PIPEs

Journal of Financial Intermediation, Forthcoming
Number of pages: 46 Posted: 14 Mar 2011 Last Revised: 22 Jan 2015
Matthew T. Billett, Redouane Elkamhi and Ioannis V. Floros
Indiana University - Kelley School of Business - Department of Finance, University of Toronto - Rotman School of Management and Iowa State University - Department of Finance
Downloads 159 (156,559)
Citation 1

Abstract:

PIPE, private placement, investor identity, contract terms, financial contracting

18.

Rare Disasters, Credit and Option Market Puzzles

Rotman School of Management Working Paper No. 2270517
Number of pages: 56 Posted: 22 Aug 2013 Last Revised: 22 Feb 2016
Peter Christoffersen, Du Du and Redouane Elkamhi
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 138 (106,329)

Abstract:

Credit spreads, volatility, term structure, option skewness, stochastic recovery, consumption risk

19.

Bank Loan Price Reactions to Corporate Events: Evidence from Traded Syndicated Loans

Kelley School of Business Research Paper No. 15-14
Number of pages: 49 Posted: 17 Jan 2015
Indiana University - Kelley School of Business - Department of Finance, University of Toronto - Rotman School of Management, University of North Carolina at Charlotte and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 134 (112,025)

Abstract:

Loan returns, Bank contracts, Wealth transfers, Share repurchases, SEOs

20.

Global Equity Correlation in FX Carry and Momentum Trades

Number of pages: 64 Posted: 11 Nov 2014 Last Revised: 22 Jul 2016
Joon Woo Bae and Redouane Elkamhi
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 134 (85,541)

Abstract:

Exchange Rates, Dynamic Conditional Correlation, Carry Trades, Momentum Trades, Predictability, Consumption Risk

21.

The Design of Financial Maintenance Covenants

Number of pages: 75 Posted: 13 Oct 2011 Last Revised: 16 Feb 2015
Redouane Elkamhi, Latchezar Popov and Raunaq S. Pungaliya
University of Toronto - Rotman School of Management, University of Virginia and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 125 (159,978)

Abstract:

Covenants, Moral Hazard, Contract Design

22.

What Do Credit Markets Tell Us About the Speed of Adjustment?

Number of pages: 47 Posted: 15 Feb 2012 Last Revised: 22 Jan 2013
Redouane Elkamhi, Raunaq S. Pungaliya and Anand M. Vijh
University of Toronto - Rotman School of Management, Sungkyunkwan University (SKK) Graduate School of Business and University of Iowa - Department of Finance
Downloads 103 (204,392)

Abstract:

Target leverage, tradeoff theory, speed of adjustment, pecking order, market timing, bond pricing

23.

The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

Rotman School of Management Working Paper No. 2633557
Number of pages: 57 Posted: 22 Jul 2015 Last Revised: 01 Oct 2016
Joon Woo Bae, Redouane Elkamhi and Mikhail Simutin
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 80 (83,922)

Abstract:

International diversification, emerging markets, developed markets, diversification benefits, performance, export links, market integration

24.

Rare Macro Disasters in Credit and Option Markets

Number of pages: 54 Posted: 16 Mar 2012
Du Du and Redouane Elkamhi
Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 67 (244,020)

Abstract:

Peso problem, credit spread, volatility, smirk premium, market integration

25.

Getting Paranoid When Disasters Strike: A Learning-Based Explanation for Asset Pricing Puzzles

Number of pages: 62 Posted: 16 Mar 2012
Redouane Elkamhi and Du Du
University of Toronto - Rotman School of Management and Hong Kong University of Science & Technology (HKUST)
Downloads 32 (362,266)

Abstract:

26.

Where to Hide in Bad Times: Or Should One Still Diversify Internationally?

Rotman School of Management Working Paper No. 2812623, 29th Australasian Finance and Banking Conference 2016
Number of pages: 50 Posted: 25 Jul 2016 Last Revised: 30 Sep 2016
Redouane Elkamhi and Denitsa Stefanova
University of Toronto - Rotman School of Management and Luxembourg School of Finance
Downloads 0 (286,476)

Abstract:

Asset Allocation, Dynamic Correlations, Asymmetric Dependence, Diversification

Other Papers (1)

Total Downloads: 335    Citations: 8
1.

Time Varying Default Risk Premia in Corporate Bond Markets

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 49 Posted: 20 Mar 2007 Last Revised: 13 May 2009
Jan Ericsson and Redouane Elkamhi
McGill University and University of Toronto - Rotman School of Management
Downloads 332
Citation 8

Abstract:

corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk