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A structural balance sheet model of sovereign credit risk

François, Pascal; Hübner, Georges; Sibille, Jean-Roch - In: Finance : revue de l'Association Française de Finance 32 (2011) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10009519893

Asset dynamics estimation and its impact on CDS pricing

François, Pascal; Hübner, Georges - In: The credit derivatives handbook : global perspectives, …, (pp. 121-141). 2008

Persistent link: https://www.econbiz.de/10003748411

Credit derivatives with multiple debt issues

François, Pascal - In: Journal of banking & finance 28 (2004) 5, pp. 997-1021

Persistent link: https://www.econbiz.de/10002006684

The determinants of market-implied recovery rates

François, Pascal - In: Risks : open access journal 7 (2019) 2/57, pp. 1-15

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 instruments. I extract market-implied recovery rates from the term structures of credit default swap spreads for a sample of 497 United States...

Persistent link: https://www.econbiz.de/10012019023

The credit risk components of a swap portfolio

Hübner, Georges - In: The journal of futures markets 24 (2004) 1, pp. 93-115

Persistent link: https://www.econbiz.de/10001850816

Prepayment risk on callable bonds : theory and test

François, Pascal; Pardo, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 2, pp. 147-176

Persistent link: https://www.econbiz.de/10011342200

Resolution of financial distress under Chapter 11

Annabi, Amira; Breton, Michèle; François, Pascal - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1867-1887

Persistent link: https://www.econbiz.de/10009701920

Credit spread changes within switching regimes

Chun, Olfa Maalaoui; Dionne, Georges; François, Pascal - In: Journal of banking & finance 49 (2014), pp. 41-55

Persistent link: https://www.econbiz.de/10010508076

Credit value adjustment with market-implied recovery

François, Pascal; Jiang, Weiyu - In: Journal of financial services research : JFSR 56 (2019) 2, pp. 145-166

Persistent link: https://www.econbiz.de/10012303112

Secured and unsecured debt in creditor-friendly bankruptcy

François, Pascal; Naqvi, Hassan - In: The journal of corporate finance : contracting, … 80 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014365661