Search Results - "François, Pascal"

OLSC France : comment supporter à distance le Liverpool Football Club dans un monde global by François, Pascal

“…Remote supportism is an avatar of globalisation. Communication techniques allow, but do not explain, the process by which an individual, by voluntary and…”
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Secured and unsecured debt in creditor-friendly bankruptcy by François, Pascal, Naqvi, Hassan

“…This article develops a continuous-time asset pricing model for valuing corporate securities in the presence of both secured and unsecured debt. We consider a…”
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The mean–variance (in)efficiency of duration‐based immunization by François, Pascal, Moraux, Franck

“…Empirical studies report inconclusive assessment of duration‐based immunization, notably showing that more sophisticated strategies do not outperform…”
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Smile‐implied hedging with volatility risk by François, Pascal, Stentoft, Lars

“…Options can be dynamically replicated using model‐free Greeks extracted from the volatility smile. However, smile‐implied delta and delta–gamma hedging do not…”
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Credit Value Adjustment with Market-implied Recovery by François, Pascal, Jiang, Weiyu

“…We present a model for CVA calculation in which the recovery rate is inferred from the term structure of CDS spreads. The negative relation between recovery…”
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Comoment risk in corporate bond yields and returns by François, Pascal, Heck, Stephanie, Hübner, Georges, Lejeune, Thomas

“…In this article, we provide a comoment factor analysis of corporate bond returns using sector indices. We split returns into systematic default risk premiums…”
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The determinants of market-implied recovery rates by François, Pascal

“…In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectation can be inferred from the prices of defaultable…”
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Could Chapter 11 redeem itself? Wealth and welfare effects of the redemption option by Annabi, Amira, Breton, Michèle, François, Pascal

“…•Redemption option is a proposed reform to accelerate Chapter 11 procedure, by granting the value of a call on the firm assets to junior creditors as they exit…”
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Rotation-equivariant graph neural networks for learning glassy liquids representations by Pezzicoli, Francesco Saverio, Charpiat, Guillaume, Landes, François Pascal

“…The difficult problem of relating the static structure of glassy liquids and their dynamics is a good target for Machine Learning, an approach which excels at…”
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Venturing into uncharted territory: An extensible implied volatility surface model by François, Pascal, Galarneau‐Vincent, Rémi, Gauthier, Geneviève, Godin, Frédéric

“…A new factor‐based representation of implied volatility (IV) surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile…”
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Convertible debt and shareholder incentives by Dorion, Christian, François, Pascal, Grass, Gunnar, Jeanneret, Alexandre

“…Given equity's convex payoff function, shareholders can transfer wealth from bondholders by increasing firm risk. We test the existing hypothesis that…”
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Heterogeneous beliefs and the choice between private restructuring and formal bankruptcy by François, Pascal, Raviv, Alon

“…We present a theory for the puzzling issue regarding why certain firms in financial distress, prefer a costlier formal bankruptcy procedure over direct…”
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Optimal hedging when the underlying asset follows a regime-switching Markov process by François, Pascal, Gauthier, Geneviève, Godin, Frédéric

“…•A flexible discrete-time hedging approach for a general regime-switching framework.•Minimization of the expected value of any desired penalty function of the…”
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Credit spread changes within switching regimes by Maalaoui Chun, Olfa, Dionne, Georges, François, Pascal

“…Empirical studies on credit spread determinants are predicated on the presence of a single-regime over the entire sample period and thus find limited…”
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La tenture des Métamorphoses des Gobelins : émulation artistique et stratégies commerciales by Bertrand, Pascal-François

“…La tenture des Métamorphoses, tissée à partir de 1680 durant une cinquantaine d’années, à la manufacture royale des Gobelins, est une des plus vastes…”
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Microhydro-PV-hybrid system: Sizing a small hydro-PV-hybrid system for rural electrification in developing countries by Kenfack, Joseph, Neirac, François Pascal, Tatietse, Thomas Tamo, Mayer, Didier, Fogue, Médard, Lejeune, André

“…In most countries of equatorial Africa, it is difficult to satisfy power demand all year long by hydro sources alone. In some remote areas, where this is the…”
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Detecting Regime Shifts in Credit Spreads by Chun, Olfa Maalaoui, Dionne, Georges, François, Pascal

“…Using an innovative random regime shift detection methodology, we identify and confirm two distinct regime types in the dynamics of credit spreads: a level…”
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Game theoretic analysis of negotiations under bankruptcy by Annabi, Amira, Breton, Michèle, François, Pascal

“…► We model the resolution of financial distress as a non-cooperative dynamic game. ► Claimants negotiate under the supervision of the bankruptcy judge in…”
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Resolution of financial distress under Chapter 11 by Annabi, Amira, Breton, Michèle, François, Pascal

“…We develop a contingent claims model for a firm in financial distress with a formal account for renegotiations under the U.S. bankruptcy procedure (known as…”
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Prepayment risk on callable bonds: theory and test by François, Pascal, Pardo, Sophie

“…We develop a framework for analyzing prepayment risk on defaultable callable bonds. We argue that prepayment risk emanates from the following informational…”
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