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

DOWNLOADS
Rank 1,479

SSRN RANKINGS

Top 1,479

in Total Papers Downloads

19,627

CITATIONS
Rank 1,282

SSRN RANKINGS

Top 1,282

in Total Papers Citations

307

Scholarly Papers (16)

1.
Downloads 4,290 ( 1,926)

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 4,290 (1,892)
Citation 120

Abstract:

Loading...

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

Abstract:

Loading...

Corporate bonds, financial distress, renegotiation, liquidity risk

2.
Downloads 2,839 ( 3,930)
Citation 12

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 2,839 (3,851)
Citation 12

Abstract:

Loading...

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

Abstract:

Loading...

3.
Downloads 2,531 ( 4,757)
Citation 31

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 2,531 (4,666)
Citation 31

Abstract:

Loading...

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

Abstract:

Loading...

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 2,020 (6,967)
Citation 74

Abstract:

Loading...

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 1,942 (7,464)
Citation 28

Abstract:

Loading...

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 1,856 (8,046)
Citation 44

Abstract:

Loading...

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 862 (26,442)
Citation 1

Abstract:

Loading...

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 756 (31,732)
Citation 14

Abstract:

Loading...

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 635 (40,125)
Citation 6

Abstract:

Loading...

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 (107,924)
Citation 3

Abstract:

Loading...

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 257 (116,759)
Citation 6

Abstract:

Loading...

Asset Volatility, Credit Spread Puzzle, Structural 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 388 (74,434)
Citation 8

Abstract:

Loading...

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 Central Bank of Luxembourg
Downloads 334 (88,470)
Citation 2

Abstract:

Loading...

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 286 (104,847)
Citation 26

Abstract:

Loading...

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 249 (121,200)

Abstract:

Loading...

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 105 (253,387)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

Credit risk, yield spreads, structural models

Other Papers (2)

Total Downloads: 453
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:

Loading...

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 110

Abstract:

Loading...

Financial leverage, stock volatility, panel data, VAR