Redouane Elkamhi

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

29

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CITATIONS
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101

Scholarly Papers (29)

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 715 (33,724)
Citation 2

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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 413 (68,532)
Citation 27

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

2.

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 827 (28,059)
Citation 10

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Mutual fund performance, Portfolio management, closet indexing

3.

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, Foster School of Business, University of Washington and McGill University
Downloads 756 (31,746)
Citation 14

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financial distress costs, default probabilities

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 277 (107,971)
Citation 3

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Variance risk premia, default swaps, structural credit models

Time-Varying Asset Volatility and the Credit Spread Puzzle

Journal of Finance, Forthcoming
Number of pages: 50 Posted: 29 Nov 2016 Last Revised: 21 Mar 2018
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 258 (116,794)
Citation 6

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Asset Volatility, Credit Spread Puzzle, Structural Models

5.

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

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2633557
Number of pages: 87 Posted: 22 Jul 2015 Last Revised: 23 Aug 2018
Joon Woo Bae, Redouane Elkamhi and Mikhail Simutin
Case Western Reserve University - Weatherhead School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 529 (51,286)
Citation 1

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

6.

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 484 (56,985)
Citation 9

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

7.

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 467 (59,578)
Citation 9

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

8.

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 450 (62,366)
Citation 2

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

9.

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 391 (73,816)

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informed option trading, idiosyncratic volatility anomaly

10.

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 388 (74,472)
Citation 8

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

11.

Global Equity Correlation in FX Carry and Momentum Trades

Number of pages: 76 Posted: 11 Nov 2014 Last Revised: 30 Sep 2017
Joon Woo Bae and Redouane Elkamhi
Case Western Reserve University - Weatherhead School of Management and University of Toronto - Rotman School of Management
Downloads 385 (75,169)
Citation 3

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

12.

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 358 (81,763)

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credit risk, macroeconomic conditions, bankruptcy, Chapter 11

13.

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
The Chinese University of Hong Kong, Chinese University of Hong Kong, Lancaster University, and CEPR, University of Toronto - Rotman School of Management and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 355 (82,565)
Citation 7

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

14.

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 - Finance Department and University of Toronto - Rotman School of Management
Downloads 339 (87,096)
Citation 6

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Accounting information; CDS; jumps; market integration

15.

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 311 (95,790)
Citation 2

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

16.

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 (UNC) at Charlotte and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 279 (107,669)
Citation 1

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

17.

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 279 (107,669)

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

18.

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 251 (120,281)

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

19.

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 249 (121,238)

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Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

20.

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 224 (134,737)
Citation 4

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

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 178 (166,814)
Citation 1

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Covenants, Moral Hazard, Contract Design

22.

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 University of Wisconsin - Milwaukee - Department of Finance
Downloads 177 (167,662)
Citation 6

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

23.

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 121 (228,939)

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

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 103 (256,826)

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

25.

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 78 (306,012)

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Asset Allocation, Dynamic Correlations, Asymmetric Dependence, Diversification

26.

Time-Varying Market Participation, Consumption Risk-Sharing, and Asset Dynamics

Number of pages: 67 Posted: 06 Apr 2019
Redouane Elkamhi and Chanik Jo
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 46 (397,350)

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Time-varying market participation, Consumption Risk, Heterogeneous agents, Conditional consumption-based asset pricing, labor income, recursive utility

27.

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 46 (397,350)

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28.

The Term Structure of Expected Recovery Rates

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 14 Aug 2018
Hitesh Doshi, Redouane Elkamhi and Chayawat Ornthanalai
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 37 (431,338)

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Credit Default Swaps (CDS); Stochastic Recovery; Term Structure Seniority; No-Arbitrage

29.

Countercyclical Stockholders' Consumption Risk and Tests of Conditional CCAPM

Number of pages: 62 Posted: 04 Apr 2019
Redouane Elkamhi and Chanik Jo
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 31 (457,014)

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conditional asset pricing test, consumption CAPM, heterogeneous-agents model, price of consumption risk, conditional value premium puzzle

Other Papers (1)

Total Downloads: 343
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 343

Abstract:

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