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

SCHOLARLY PAPERS

16

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19,780

SSRN CITATIONS
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SSRN RANKINGS

Top 3,324

in Total Papers Citations

195

CROSSREF CITATIONS

134

Scholarly Papers (16)

1.
Downloads 4,314 ( 2,030)

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 4,314 (1,991)
Citation 53

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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.
Downloads 2,840 ( 4,185)
Citation 5

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 2,840 (4,089)
Citation 5

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A Framework for Valuing Corporate Securities

Applied Mathematical Finance, 1998 Vol. 5
Posted: 11 Mar 1999
Jan Ericsson and Joel Reneby
McGill University and Stockholm School of Economics - Department of Finance

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3.
Downloads 2,535 ( 5,056)
Citation 10

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 2,535 (4,949)
Citation 10

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Credit Risk, Maximum Likelihood, Corporate Bonds

Estimating Structural Bond Pricing Models

Journal of Business, Forthcoming
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 2,029 (7,322)
Citation 174

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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 1,973 (7,700)
Citation 23

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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 1,863 (8,485)
Citation 55

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Credit risk, credit derivatives, corporate bonds, structural models

7.

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 863 (27,657)

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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
University of Toronto - Rotman School of Management, Foster School of Business, University of Washington and McGill University
Downloads 762 (32,884)
Citation 9

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financial distress costs, default probabilities

9.

The Valuation of Corporate Liabilities: Theory and Tests

EFA 2001 Barcelona Meetings
Number of pages: 61 Posted: 06 Jul 2001
Joel Reneby and Jan Ericsson
Stockholm School of Economics - Department of Finance and McGill University
Downloads 637 (41,903)
Citation 5

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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 297 (104,590)
Citation 4

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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 281 (110,958)
Citation 4

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Variance risk premia, default swaps, structural credit models

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 401 (74,958)
Citation 10

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

12.

Exploring Dynamic Default Dependence

Number of pages: 43 Posted: 07 May 2009
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 335 (92,132)
Citation 1

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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
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 290 (107,916)
Citation 13

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

14.

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 253 (124,586)

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Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

15.

Variance Risk Premium and Investment Uncertainty

Number of pages: 50 Posted: 13 Jul 2016
Jan Ericsson and Babak Lotfaliei
McGill University and Finance Department, San Diego State University
Downloads 107 (260,669)

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

16.

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

Journal of Fixed Income, 2004
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

Other Papers (2)

Total Downloads: 455
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 344

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

2.

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 111

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Financial leverage, stock volatility, panel data, VAR