Pascal Francois

HEC Montreal - Department of Finance

Full Professor

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

  • HEC Montreal - Department of Finance

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    • Tel: 514-340-7743
    • Fax: 514-340-5632
SCHOLARLY PAPERS

23

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Top 22,653

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30

CROSSREF CITATIONS

13

Scholarly Papers (23)

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1.

Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures

Number of pages: 32 Posted: 02 Nov 2001
Erwan Morellec and Pascal Francois
Ecole Polytechnique Fédérale de Lausanne and HEC Montreal - Department of Finance
Downloads 799 (42,671)
Citation 27

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2.

Credit Derivatives with Multiple Debt Issues

Number of pages: 39 Posted: 22 Nov 2001
Georges Hübner and Pascal Francois
HEC Liège and HEC Montreal - Department of Finance
Downloads 563 (67,317)
Citation 1

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credit derivatives, credit risk, structural model

3.

Detecting Regime Shifts in Credit Spreads

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 84 Posted: 16 Jun 2008 Last Revised: 11 Mar 2013
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 540 (70,904)
Citation 3

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Credit spread regimes, level regimes, volatility regimes, credit cycle, economic cycle, monetary effect, credit supply effect

4.

The Agency Structure of Loan Syndicates

Downloads 498 ( 78,378)
Citation 4

The Agency Structure of Loan Syndicates

Number of pages: 50 Posted: 06 May 2005
Franck Missonier-Piera and Pascal Francois
University of Geneva - Graduate School of Business (HEC-Geneva) and HEC Montreal - Department of Finance
Downloads 498 (77,597)
Citation 4

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banking, loan syndication, specialization, monitoring

The Agency Structure of Loan Syndicates

Financial Review, Vol. 42, No. 2, May 2007
Posted: 24 Apr 2007
Franck Missonier-Piera and Pascal Francois
University of Geneva - Graduate School of Business (HEC-Geneva) and HEC Montreal - Department of Finance

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Loan syndication, Monitoring, Bank specialization, Coagents

5.

Credit Spread Changes within Switching Regimes

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 12 Feb 2009 Last Revised: 11 Mar 2013
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 394 (103,172)
Citation 2

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Credit spread, Markov switching regimes, market risk, liquidity risk, default risk, credit cycle, NBER economic cycle.

6.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
Christian Dorion, Pascal Francois, Gunnar Grass and Alexandre Jeanneret
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 350 (117,854)

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Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

7.

A Dynamic Model of Risk-Shifting Incentives with Convertible Debt

Number of pages: 43 Posted: 21 Feb 2006 Last Revised: 17 Aug 2009
Pascal Francois, Georges Hübner and Nicolas A. Papageorgiou
HEC Montreal - Department of Finance, HEC Liège and HEC Montreal - Department of Finance
Downloads 290 (143,919)

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Convertible debt, Risk shifting, Non-cooperative game

8.

Pricing Installment Options with an Application to Asx Installment Warrants

Number of pages: 26 Posted: 07 Jan 2003
Hatem Ben Ameur, Michèle Breton and Pascal Francois
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 276 (151,359)
Citation 2

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Option Pricing, Exotic Options, Dynamic Programming, Installment Options

9.

Venturing into Uncharted Territory: An Extensible Parametric Implied Volatility Surface Model

Number of pages: 66 Posted: 19 Jul 2021 Last Revised: 15 Feb 2022
Pascal Francois, Rémi Galarneau-Vincent, Geneviève Gauthier, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montréal, Students, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 261 (160,207)

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Implied volatility surfaces, Incomplete Markets, Derivatives pricing, Factor models.

10.

Optimal Hedging When the Underlying Asset Follows a Regime-Switching Markov Process

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 17 Aug 2012 Last Revised: 19 Aug 2012
Pascal Francois, Geneviève Gauthier, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 241 (173,126)
Citation 1

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Dynamic programming, hedging, risk management, regime switching

11.

A Structural Balance Sheet Model of Sovereign Credit Risk

Number of pages: 35 Posted: 22 Dec 2011
Pascal Francois, Georges Hübner and Jean-Roch Sibille
HEC Montreal - Department of Finance, HEC Liège and Riskdynamcis
Downloads 222 (187,198)
Citation 4

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Sovereign Credit Spread, Balance Sheet, Recovery Rate, Contingent Claims Analysis, Contagion Effects

12.

Currency Total Return Swaps: Valuation and Risk Factor Analysis

Number of pages: 38 Posted: 03 Jun 2011
Romain Cuchet, Pascal Francois and Georges Hübner
Barclays Corporate Banking, HEC Montreal - Department of Finance and HEC Liège
Downloads 209 (198,134)

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Credit derivative, credit risk, currency risk

13.

A Portfolio Approach to Venture Capital Financing

Number of pages: 79 Posted: 01 Dec 2009 Last Revised: 09 Nov 2021
Yan Alperovych, Pascal Francois and Georges Hübner
emlyon business school, HEC Montreal - Department of Finance and HEC Liège
Downloads 205 (201,731)

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Venture capital, portfolio theory, financial contracting, entrepreneur's risk aversion, cost of capital

14.

Credit Default Swaps and the Cost of Capital

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 77 Posted: 24 Apr 2020 Last Revised: 13 Oct 2020
Harjeet Bhabra, Pascal Francois, Thomas John Walker and Chunrong Wang
Saint Mary's University, HEC Montreal - Department of Finance, Concordia University, Quebec - Department of Finance and Concordia University
Downloads 186 (220,076)

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Credit Default Swaps, Weighted Average Cost of Capital, Empty Creditors, Capital Structure, Public debt, Bank debt

15.

Credit Value Adjustment with Market-Implied Recovery

Number of pages: 42 Posted: 28 Jun 2016 Last Revised: 09 Oct 2017
Pascal Francois and Wei Yu Jiang
HEC Montreal - Department of Finance and McGill University, Students
Downloads 163 (246,076)
Citation 1

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CVA, Implied recovery, Credit risk, OTC derivatives

16.

Smile-Implied Hedging with Volatility Risk

Number of pages: 37 Posted: 16 Oct 2020
Pascal Francois and Lars Stentoft
HEC Montreal - Department of Finance and Department of Economics, University of Western Ontario
Downloads 144 (272,408)

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Options, Hedging, Volatility smile, Stochastic implied volatility

17.

Heterogeneous Beliefs and the Choice between Private Restructuring and Formal Bankruptcy

Number of pages: 33 Posted: 27 Nov 2013 Last Revised: 13 Dec 2016
Pascal Francois and Alon Raviv
HEC Montreal - Department of Finance and Bar-Ilan University - Graduate School of Business Administration
Downloads 142 (275,352)
Citation 3

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formal procedure, informal process, heterogeneous beliefs, judicial discretion, bankruptcy, liquidation

18.

Comoment Risk in Corporate Bond Yields and Returns

Number of pages: 42 Posted: 10 Oct 2017 Last Revised: 09 May 2018
Pascal Francois, Stephanie Heck, Georges Hübner and Thomas Lejeune
HEC Montreal - Department of Finance, HEC-Management School of the University of Liège, HEC Liège and National Bank of Belgium
Downloads 112 (328,145)
Citation 1

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Credit risk, Bond returns, Comoment risk

19.

Could Chapter 11 Redeem Itself? Wealth and Welfare Effects of the Redemption Option

Number of pages: 40 Posted: 26 Nov 2018 Last Revised: 25 Nov 2019
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 90 (378,309)

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Chapter 11, bankruptcy, APR violation, recovery, game theory, dynamic programming

20.

How Does a Cap on Interest Expense Change the Tax Benefits of Debt?

Number of pages: 58 Posted: 11 Sep 2020 Last Revised: 21 Dec 2021
Karan Bhanot, Pascal Francois and Palani-Rajan Kadapakkam
University of Texas at San Antonio - Department of Finance, HEC Montreal - Department of Finance and University of Texas at San Antonio - Department of Finance
Downloads 73 (427,138)

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Tax Cuts and Jobs Act, Tax Benefits

21.

Minimum Variance Immunization

Number of pages: 59 Posted: 12 Jan 2021
Pascal Francois and Franck Moraux
HEC Montreal - Department of Finance and Université de Rennes I and CREM
Downloads 50 (512,615)

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Immunization, Mean-variance, Duration, Risk management

22.

Game Theoretic Analysis of Negotiations under Bankruptcy

European Journal of Operational Research, Volume 221, Issue 3, 16 September 2012, Pages 603-613.
Posted: 31 May 2011 Last Revised: 08 Nov 2019
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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bankruptcy procedure, game theory, dynamic programming

23.

Resolution of Financial Distress Under Chapter 11

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Resolution of Financial Distress Under Chapter 11

Journal of Economic Dynamics and Control, Vol. 36, No. 12, 2012
Posted: 12 Dec 2010 Last Revised: 08 Nov 2019
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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Credit risk, Chapter 11, game theory, dynamic programming

Resolution of Financial Distress Under Chapter 11

29th International Conference of the French Finance Association (AFFI) 2012
Posted: 19 Sep 2012
Amira Annabi, Amira Annabi, Michèle Breton and Pascal Francois
Manhattan CollegeManhattan College, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance

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Credit risk, Chapter 11, Game theory, Dynamic programming