Jan Ericsson

McGill University

Associate Professor of Finance

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

http://people.mcgill.ca/jan.ericsson/

Swedish Institute for Financial Research (SIFR)

Resarch Associate

Drottninggatan 89

SE-113 59 Stockholm, SE-113 60

Sweden

  • McGill University

    • Email
    • Tel: (514) 398-3186
    • Fax: (514) 398-3876
SCHOLARLY PAPERS

23

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23,497

TOTAL CITATIONS
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SSRN RANKINGS

Top 3,472

in Total Papers Citations

495

Scholarly Papers (23)

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1.

Liquidity and Credit Risk

Downloads 4,570 ( 4,578)
Citation 60

Liquidity and Credit Risk

EFA 2003 Glasgow
Number of pages: 48 Posted: 01 Aug 2003
Jan Ericsson and Olivier Renault
McGill University and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 4,570 (4,505)
Citation 60

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Credit risk, corporate bonds, renegotiation, illiquidity

Liquidity and Credit Risk

Journal of Finance, Forthcoming
Posted: 27 Jul 2005
Jan Ericsson and Olivier Renault
McGill University and University of Warwick Business School - Financial Econometrics Research Centre

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Corporate bonds, financial distress, renegotiation, liquidity risk

2.

A Framework for Valuing Corporate Securities

Downloads 2,898 ( 9,511)
Citation 9

A Framework for Valuing Corporate Securities

WP 89
Number of pages: 25 Posted: 12 Dec 1996
Jan Ericsson and Joel Reneby
McGill University and Stockholm School of Economics - Department of Finance
Downloads 2,898 (9,341)
Citation 9

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A Framework for Valuing Corporate Securities

Posted: 11 Mar 1999
Jan Ericsson and Joel Reneby
McGill University and Stockholm School of Economics - Department of Finance

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3.

Estimating Structural Bond Pricing Models

Downloads 2,613 (11,249)
Citation 11

Estimating Structural Bond Pricing Models

Number of pages: 70 Posted: 15 May 2001
Jan Ericsson and Joel Reneby
McGill University and Stockholm School of Economics - Department of Finance
Downloads 2,613 (11,041)
Citation 11

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Credit Risk, Maximum Likelihood, Corporate Bonds

Estimating Structural Bond Pricing Models

Posted: 28 Feb 2004
Jan Ericsson and Joel Reneby
McGill University and Stockholm School of Economics - Department of Finance

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Default risk, corporate bonds, credit spreads, maximum likelihood

4.

The Determinants of Credit Default Swap Premia

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 07 Oct 2004 Last Revised: 05 Sep 2009
Jan Ericsson, Kris Jacobs and Rodolfo Oviedo
McGill University, University of Houston - C.T. Bauer College of Business and Universidad Austral
Downloads 2,251 (14,284)
Citation 220

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Credit risk, Credit default swaps

5.

Asset Substitution, Debt Pricing, Optimal Leverage and Maturity

Number of pages: 57 Posted: 27 Sep 2000
Jan Ericsson
McGill University
Downloads 2,198 (14,820)
Citation 29

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Capital Structure, Corporate Bond Pricing, Agency Problems

6.

Can Structural Models Price Default Risk? New Evidence from Bond and Credit Derivative Markets

EFA 2005 Moscow Meetings Paper
Number of pages: 40 Posted: 27 Jan 2005 Last Revised: 16 Oct 2008
Jan Ericsson, Joel Reneby and Hao Wang
McGill University, Stockholm School of Economics - Department of Finance and Tsinghua University
Downloads 1,961 (17,823)
Citation 69

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Credit risk, credit derivatives, corporate bonds, structural models

7.

Time-Varying Asset Volatility and the Credit Spread Puzzle

Downloads 1,003 (48,332)
Citation 21

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 592 (95,791)
Citation 12

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Asset Volatility, Credit Spread Puzzle, Structural Models

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 348 (180,141)
Citation 4

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Variance risk premia, default swaps, structural credit models

Time-Varying Asset Volatility and the Credit Spread Puzzle

Number of pages: 41 Posted: 22 Mar 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 63 (741,586)
Citation 5

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8.

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, Marshall School of Business, University of Southern California and McGill University
Downloads 930 (53,633)
Citation 10

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financial distress costs, default probabilities

9.

Stock Options as Barrier Contingent Claims

SSE/EFI Working Paper Series in Economics and Finance No. 137
Number of pages: 37 Posted: 09 Jan 1997
Jan Ericsson and Joel Reneby
McGill University and Stockholm School of Economics - Department of Finance
Downloads 909 (55,336)

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10.

The Valuation of Corporate Liabilities: Theory and Tests

Number of pages: 61 Posted: 06 Jul 2001
Joel Reneby and Jan Ericsson
Stockholm School of Economics - Department of Finance and McGill University
Downloads 700 (78,385)
Citation 6

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11.

Time Varying Risk Premia in Corporate Bond Markets

Downloads 560 (104,122)
Citation 11

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 462 (130,078)
Citation 11

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

Time Varying Risk Premia in Corporate Bond Markets

Number of pages: 54 Posted: 17 Feb 2009 Last Revised: 14 Nov 2022
Redouane Elkamhi and Jan Ericsson
University of Toronto - Rotman School of Management and McGill University
Downloads 68 (712,005)

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

Time Varying Risk Premia in Corporate Bond Markets

Number of pages: 46 Posted: 05 Mar 2007
Jan Ericsson and Redouane Elkamhi
McGill University and University of Toronto - Rotman School of Management
Downloads 30 (1,018,079)

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risk premia, corporate bonds, structural models

12.

Exploring Dynamic Default Dependence

Number of pages: 43 Posted: 07 May 2009
Peter Christoffersen, Jan Ericsson, Kris Jacobs and Xisong Jin
University of Toronto - Rotman School of Management, McGill University, University of Houston - C.T. Bauer College of Business and Universite du Luxembourg - Luxembourg School of Finance
Downloads 401 (155,296)
Citation 2

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credit risk, structured products, dynamic equicorrelation, CDS, CDO, default

13.

On Pricing Credit Default Swaps with Observable Covariates

Number of pages: 49 Posted: 02 Jul 2011 Last Revised: 16 Mar 2012
Hitesh Doshi, Jan Ericsson, Kris Jacobs and Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business, McGill University, University of Houston - C.T. Bauer College of Business and University of Houston - C.T. Bauer College of Business
Downloads 391 (159,791)
Citation 17

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credit default swap, no-arbitrage, observable covariates, volatility, leverage, distance-to-default

14.

The Risk and Return of Equity and Credit Index Options

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 14 Jul 2021 Last Revised: 20 Aug 2024
Hitesh Doshi, Jan Ericsson, Mathieu Fournier and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, McGill University, UNSW Business School and University of Wisconsin - Madison
Downloads 379 (165,431)
Citation 3

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structural credit risk model, compound options, credit index options, pricing consistency

15.

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: 14 Nov 2022
Jan Ericsson and Redouane Elkamhi
McGill University and University of Toronto - Rotman School of Management
Downloads 374 (167,855)
Citation 1

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

16.

What Risks Do Corporate Bond Put Features Insure Against?

Number of pages: 43 Posted: 16 Mar 2007 Last Revised: 21 Jan 2020
Jan Ericsson, Redouane Elkamhi and Hao Wang
McGill University, University of Toronto - Rotman School of Management and Tsinghua University
Downloads 300 (213,064)

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Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

17.

Excess Co-movement in Default Risk

Number of pages: 81 Posted: 05 May 2021 Last Revised: 20 Feb 2025
Jan Ericsson, Alexandre Jeanneret, Lucie Y. Lu and Kristoffer J. Glover
McGill University, UNSW Business School, University of Melbourne, Faculty of Business and Economics and University of Technology Sydney (UTS) - UTS Business School
Downloads 265 (242,146)

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Credit Risk, Structural Models, Asset Prices, Co-movement, Equity Volatility

18.

The Cost of Financial Distress and the Timing of Default

AFA 2011 Denver Meetings Paper
Number of pages: 58 Posted: 19 Mar 2010
Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson
University of Toronto - Rotman School of Management, Marshall School of Business, University of Southern California and McGill University
Downloads 260 (246,912)
Citation 19

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financial distress costs, capital structure

19.

Capital Investment and Variance Risk Premia

Number of pages: 77 Posted: 13 Jul 2016 Last Revised: 30 Sep 2020
Jan Ericsson, Evan Jo and Babak Lotfaliei
McGill University, Queen's University - Smith School of Business and Carmona College of Business
Downloads 219 (292,053)
Citation 1

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Real option, Variance risk premium, Optimal timing, Stochastic volatility

20.

Leverage and Asymmetric Volatility: The Firm Level Evidence

Number of pages: 31 Posted: 21 Feb 2007
Jan Ericsson, Xiao Huang and Stefano Mazzotta
McGill University, Kennesaw State University and Kennesaw State University - Michael J. Coles College of Business
Downloads 141 (430,456)
Citation 2

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Financial leverage, stock volatility, panel data, VAR

21.

Accounting Transparency and the Implied Volatility Skew

Number of pages: 60 Posted: 28 Sep 2022
Hitesh Doshi, Jan Ericsson, Stephen Szaura and Fan Yu
University of Houston - C.T. Bauer College of Business, McGill University, BI Norwegian School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 129 (462,052)

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Implied Volatility Skew, Accounting Transparency, Credit Risk

22.

Time-Varying Asset Volatility and the Credit Spread Puzzle

Number of pages: 54 Posted: 16 Mar 2012
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 45 (850,616)
Citation 4

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23.

Implementing Structural Credit Risk Models Using Both Stock and Bond Prices - an Empirical Study

Posted: 28 Feb 2004
Joel Reneby and Jan Ericsson
Stockholm School of Economics - Department of Finance and McGill University

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Credit risk, yield spreads, structural models