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 1,713

SSRN RANKINGS

Top 1,713

in Total Papers Downloads

19,978

SSRN CITATIONS
Rank 3,504

SSRN RANKINGS

Top 3,504

in Total Papers Citations

226

CROSSREF CITATIONS

132

Scholarly Papers (16)

1.
Downloads 4,349 ( 2,256)

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 4,349 (2,218)
Citation 58

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 2,843 ( 4,675)
Citation 6

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 2,843 (4,581)
Citation 6

Abstract:

Loading...

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

Abstract:

Loading...

3.
Downloads 2,547 ( 5,584)
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 2,547 (5,476)
Citation 10

Abstract:

Loading...

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

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 2,042 (8,111)
Citation 180

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 2,011 (8,345)
Citation 25

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 1,876 (9,340)
Citation 58

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 863 (30,445)

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 767 (35,768)
Citation 10

Abstract:

Loading...

financial distress costs, default probabilities

9.

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 649 (44,836)
Citation 5

Abstract:

Loading...

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 332 (100,779)
Citation 11

Abstract:

Loading...

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 287 (118,143)
Citation 1

Abstract:

Loading...

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 410 (79,639)
Citation 10

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 Universite du Luxembourg - Luxembourg School of Finance
Downloads 336 (100,083)
Citation 1

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 293 (116,266)
Citation 17

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: 21 Jan 2020
Jan Ericsson, Redouane Elkamhi and Hao Wang
McGill University, University of Toronto - Rotman School of Management and Tsinghua University
Downloads 258 (132,857)

Abstract:

Loading...

Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

15.

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, McGill University - Desautels Faculty of Management and Finance Department, San Diego State University
Downloads 115 (267,525)

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

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: 458
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 345

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 113

Abstract:

Loading...

Financial leverage, stock volatility, panel data, VAR