Pascal François

Professor, Department of Finance

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : pascal.francois@hec.ca
Phone : 514 340-7743
Secretary: 514 340-6609
Fax : 514 340-5632
Office : 4.224

Personal page

Education

D.E.A. (finance), Paris I Sorbonne
Doctorat conjoint (sciences de gestion), Paris I Sorbonne et ESSEC

Expertise

Corporate Finance
Credit Risk
Debt Pricing

This publication selection covers the last five years.

Journal articles (8)

FRANÇOIS, Pascal, MORAUX, Franck; « The mean–variance (in)efficiency of duration-based immunization », International Review of Finance, vol. 24, no 2, 2024, p. 253-290.

FRANÇOIS, Pascal, NAQVI, Hassan; « Secured and unsecured debt in creditor-friendly bankruptcy », Journal of Corporate Finance, vol. 80, 2023, p. 1-18.

FRANÇOIS, Pascal, HECK, Stephanie, HÜBNER, Georges, LEJEUNE, Thomas; « Comoment risk in corporate bond yields and returns », The Journal of Financial Research, vol. 45, no 3, 2022, p. 471-512.

FRANÇOIS, Pascal, GALARNEAU-VINCENT, Rémi, GAUTHIER, Geneviève, GODIN, Frédéric; « Venturing into uncharted territory: An extensible implied volatility surface model », Journal of Futures Markets, vol. 42, no 10, 2022, p. 1912-1940.

FRANÇOIS, Pascal, STENTOFT, Lars; « Smile-implied hedging with volatility risk », Journal of Futures Markets, vol. 41, no 8, 2021, p. 1220-1240.

ANNABI, Amira, BRETON, Michèle, FRANÇOIS, Pascal; « Could Chapter 11 redeem itself? Wealth and welfare effects of the redemption option », International Review of Law and Economics, vol. 67, 2021, p. 1-15.

FRANÇOIS, Pascal, JIANG, Wei Yu; « Credit Value Adjustment with Market-implied Recovery », Journal of Financial Services Research, vol. 56, no 2, 2019, p. 145-166.

FRANÇOIS, Pascal; « The Determinants of Market-Implied Recovery Rates », Risks, vol. 7, no 2, 2019, p. 1-15.

Book chapters (1)

BOYER, Martin, BRETON, Michèle, FRANÇOIS, Pascal; « Designing Insurance Against Extreme Weather Risk: The Case of HuRLOs », Ecological, Societal, and Technological Risks and the Financial Sector, Palgrave Macmillan, 2020, p. 91-122.

This selection of supervision activities covers the last five years.

Master's thesis direction – MSc in Management (8)

VaR Calculations and Backtesting for S&P 500 Index Option Straddles, by Mukesh Kumar
October 2023

The Sustainable Communication of Canadian Mining Companies and their Corporate Financial Actions, by Maria Bou-Assi
May 2023

Testing investors' risk expectations during the Covid Crisis using the Bates Model, by Mohamad Bahij Ghrayeb
November 2022

Gestion du risque de crédit: Étude du modèle structurel de KMV pour la prédiction du risque de défaut, by Salamata Ka
March 2022

Modelling CDS Market-implied Recovery Rates with the Beta Distribution, by Hon Cheung Hui
September 2021

Analyse factorielle des effets de liquidité sur le marché des actions, by Ekpo Hermann Isaie Beugre
September 2021

Mean-variance analysis of barbell strategies, by Anishi Jatin Shah
May 2020

L'origine des différentes structures de dettes dans les LBO Européens et leurs conséquences, by Arthur Gautier
September 2018

Supervised project supervision – MSc in Management (18)

Recherche empirique des fusions et acquisitions selon le modèle de Lambrecht (2004) , by Michaël Larose
March 2024

Construction d'un indice sur l'attractivité des marchés mondiaux du financement immobilier commercial , by Vincent Lepeytre
August 2023

La capitulation du marché obligataire corporatif américain high yield , by Vincent Harvey
August 2023

Analysis of Derivatives Value Adjustments for a Major Canadian Financial Institution , by Geoffrey Tremblay-Cotnoir
August 2023

Prediction of Credit Rating and Bankruptcy Using Stock and Option Prices , by Yue Zhang
March 2023

Crise Covid-19 : La réaction des transactions repos bilatérales de BNP Paribas en période de stress de liquidité , by Hugo Marticoréna
August 2022

Modèle d'évaluation des produits dérivés sur commodités , by Djamila Jessica Mariam Saloucou
August 2022

Effect of moral hazard and repeated business on Canadian syndicated loan pricing , by Anis Bouguena
August 2022

Mise en application du Ratio de liquidité des Fonds Propres pour la Banque Nationale du Canada sur la base des exigences du BSIF, réplication et analyse de scénarios , by Donnell Baptiste Hincati
August 2022

Analyse des notes ESG chez BNP Paribas , by Nicolas Rheault
March 2022

Trade credit and debt structure , by Yihan Wang
November 2021

Les options réelles sont-elles prédicteurs de la structure de marché nord-américain minier ? , by Axel Texier
September 2021

Performance analysis on North American entities of Société Générale in the context of Covid-19 pandemic , by Margaux Delaviere
March 2021

Solvabilité II » : Dispositions, applications & limites , by Stanley Casteran
September 2020

Smile-Implied Hedging: An Empirical Performance Review , by Félix-Antoine Groulx
March 2020

Analyse Factorielle des Taux de Recouvrement Inférés du Marché , by Jean-Michel Ostiguy
March 2019

In codirection with : LAROCQUE, Denis
Application of a prediction model to trading , by Jonathan Cadet
November 2018

Estimation du modèle structurel de Leland (1994), par méthode itérative et par maximum de vraisemblance , by Pamela Audrey Bouobda Moghomyie
September 2018