Details about Franck Moraux

Access statistics for papers by Franck Moraux.

Last updated 2023-01-03. Update your information in the RePEc Author Service.

Short-id: pmo266

Working Papers

2022

1. Trade credit contracts: Design and regulation
   Post-Print, HAL View citations (4)
   See also Journal Article Trade credit contracts: Design and regulation, European Journal of Operational Research, Elsevier (2022) View citations (4) (2022)

2020

2. American Step Options
   Post-Print, HAL View citations (6)
   See also Journal Article American step options, European Journal of Operational Research, Elsevier (2020) View citations (3) (2020)
3. Fuel up with OATmeals! The case of the French nominal yield curve
   Post-Print, HAL View citations (1)
4. Impact of retail-platform loan programs on the SC performance under CSR dependent stochastic demand
   Post-Print, HAL

2019

5. A switching self-exciting jump diffusion process for stock prices
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
   Also in Post-Print, HAL (2019) View citations (11)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2018) View citations (5)
   See also Journal Article A switching self-exciting jump diffusion process for stock prices, Annals of Finance, Springer (2019) View citations (9) (2019)
6. On Bankruptcy Procedures and the Valuation of Corporate Securities
   Post-Print, HAL View citations (1)
   See also Journal Article On Bankruptcy Procedures and the Valuation of Corporate Securities, Finance, Presses universitaires de Grenoble (2019) View citations (2) (2019)
7. Valuing corporate liabilities when the default threshold is not an absorbing barrier
   Post-Print, HAL View citations (2)
   Also in Post-Print, HAL (2002) View citations (20)

2018

8. Hedging of options in presence of jump clustering
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (10)
   Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017)
   Post-Print, HAL (2018) View citations (6)
9. René M. Stulz: latitude managériale et politique financière
   Post-Print, HAL

2017

10. Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models
    Post-Print, HAL
    Also in Post-Print, HAL (2013)

2016

11. De l’absence au dilemme de la diversification des fournisseurs dans la gestion du risque de rupture d’approvisionnement des supply chains
    Post-Print, HAL
12. Pricing and hedging American and hybrid strangles with finite maturity
    Post-Print, HAL View citations (6)
    See also Journal Article Pricing and hedging American and hybrid strangles with finite maturity, Journal of Banking & Finance, Elsevier (2016) View citations (7) (2016)

2015

13. How do reservation prices impact distressed debt rescheduling?
    Post-Print, HAL
    See also Journal Article How do reservation prices impact distressed debt rescheduling?, Economic Modelling, Elsevier (2015) (2015)
14. Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty
    Post-Print, HAL View citations (1)
    See also Journal Article Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty, Energy Policy, Elsevier (2015) View citations (2) (2015)
15. Optimal payoffs under state-dependent preferences
    Post-Print, HAL View citations (12)
    Also in Papers, arXiv.org (2014) View citations (2)
    See also Journal Article Optimal payoffs under state-dependent preferences, Quantitative Finance, Taylor & Francis Journals (2015) View citations (10) (2015)
16. The cost of financing with callable bonds: an empirical study
    (Le coût du financement par obligations rachetables: une étude empirique)
    Post-Print, HAL
    Also in Grenoble Ecole de Management (Post-Print), HAL (2015)

2014

17. Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds
    Post-Print, HAL View citations (20)
    See also Journal Article Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds, Journal of Corporate Finance, Elsevier (2014) View citations (22) (2014)
18. What Moves Euro-Bund Futures Contracts on Eurex? Surprises!
    Post-Print, HAL

2013

19. Debt renegotiation
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2012)
20. Foreign exchange risk management: evidence from French non-financial firms
    Post-Print, HAL
21. La finance serait-elle devenue anormale au XXIe siècle ?
    Post-Print, HAL
22. Optimal payoffs under state-dependent constraints
    Post-Print, HAL View citations (2)
23. Pricing and hedging american strangles with finite maturity
    Post-Print, HAL
24. Recherches et innovations en sciences de gestion
    Post-Print, HAL
25. Strategic management of private benefits in a contingent claim framework
    Post-Print, HAL View citations (1)

2012

26. Bond portfolio management with affine and quadratic term structure models: selection, risk management and performance
    Post-Print, HAL

2011

27. How valuable is your VaR? Large sample confidence intervals for normal VaR
    Post-Print, HAL View citations (8)
    See also Journal Article How valuable is your VaR? Large sample confidence intervals for normal VaR, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2011) (2011)
28. Private Benefits in a contingent claim framework: Valuation effects and other implications
    Post-Print, HAL
    Also in Post-Print, HAL (2011)

2010

29. How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation
    Post-Print, HAL
30. Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time
    Post-Print, HAL
31. Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework
    Post-Print, HAL View citations (3)

2009

32. Continuous barrier range options
    Post-Print, HAL
33. Examining Performance of Quadratic Models of TermStructure of Interest Rates
    Post-Print, HAL
34. Make-whole callable bonds:Covenant yield premium insights
    Post-Print, HAL
35. On perpetual American strangles
    Post-Print, HAL View citations (6)
36. On the Pricing and Design of Debt-Equity Swaps for Firms in Default
    Post-Print, HAL View citations (3)
37. Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market
    Post-Print, HAL View citations (3)
38. Should Executive Compensation rules govern Audit fees? An Analysis of Executive Compensation driven Frauds
    Post-Print, HAL
    Also in Post-Print, HAL (2009)

2008

39. The immunization performance of traditional and stochastic durations: a mean-variance analysis
    Post-Print, HAL

2007

40. Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications
    Post-Print, HAL
41. Business Risk Targeting AndRescheduling of Distressed Debt
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2007) View citations (4)
    See also Journal Article Business Risk Targeting and Rescheduling of Distressed Debt, Finance, Presses universitaires de Grenoble (2007) View citations (4) (2007)
42. Rescheduling of distressed debt and business risk targeting ex ante the reorganization
    Post-Print, HAL

2006

43. Rescheduling debt in default: the Longstaff's proposition revisited
    Post-Print, HAL
44. The active management of distressed debt
    Post-Print, HAL

2004

45. Extending the Maturity of a defaulting debt: when it is worthwhile !
    Post-Print, HAL
46. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing
    Post-Print, HAL
    See also Journal Article Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing, International Review of Financial Analysis, Elsevier (2004) (2004)
47. The relation between corporate credit spreads, treasury yields and the equity markets: new evidences from daily options-ajusted spreads indices
    Post-Print, HAL
48. Valuing Callable Convertible Bonds: a reduced approach
    Post-Print, HAL View citations (1)
    See also Journal Article Valuing callable convertible bonds: a reduced approach, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (1) (2004)

2003

49. Empirical analysis of term structures of credit spreads indices: a Kalman filtering approach
    Post-Print, HAL
50. Managing corporate liabilities of financially weakened firms
    Post-Print, HAL
51. Sur les obligations convertibles à clause de remboursement anticipé au gré de l'émetteur
    Post-Print, HAL
52. The dynamics of the term structure of interest rates: an independent component analysis
    Post-Print, HAL View citations (1)

2002

53. 30 ans de modèles structurels de risque de défaut
    Post-Print, HAL View citations (2)
54. On cumulative parisian options
    Post-Print, HAL View citations (5)
55. Pricing credit derivatives in credit classes frameworks
    Post-Print, HAL View citations (1)

Journal Articles

2022

1. Trade credit contracts: Design and regulation
   European Journal of Operational Research, 2022, 296, (3), 980-992 View citations (4)
   See also Working Paper Trade credit contracts: Design and regulation, Post-Print (2022) View citations (4) (2022)

2020

2. American step options
   European Journal of Operational Research, 2020, 282, (1), 363-385 View citations (3)
   See also Working Paper American Step Options, Post-Print (2020) View citations (6) (2020)

2019

3. A switching self-exciting jump diffusion process for stock prices
   Annals of Finance, 2019, 15, (2), 267-306 View citations (9)
   See also Working Paper A switching self-exciting jump diffusion process for stock prices, LIDAM Reprints ISBA (2019) View citations (7) (2019)
4. On Bankruptcy Procedures and the Valuation of Corporate Securities
   Finance, 2019, 40, (3), 141-191 View citations (2)
   See also Working Paper On Bankruptcy Procedures and the Valuation of Corporate Securities, Post-Print (2019) View citations (1) (2019)

2016

5. Pricing and hedging American and hybrid strangles with finite maturity
   Journal of Banking & Finance, 2016, 62, (C), 112-125 View citations (7)
   See also Working Paper Pricing and hedging American and hybrid strangles with finite maturity, Post-Print (2016) View citations (6) (2016)

2015

6. How do reservation prices impact distressed debt rescheduling?
   Economic Modelling, 2015, 46, (C), 269-282
   See also Working Paper How do reservation prices impact distressed debt rescheduling?, Post-Print (2015) (2015)
7. Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty
   Energy Policy, 2015, 82, (C), 310-320 View citations (2)
   See also Working Paper Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty, Post-Print (2015) View citations (1) (2015)
8. Le coût du financement par obligations rachetables:une étude empirique
   Revue Finance Contrôle Stratégie, 2015, 18, (2), 17-35
9. Optimal payoffs under state-dependent preferences
   Quantitative Finance, 2015, 15, (7), 1157-1173 View citations (10)
   See also Working Paper Optimal payoffs under state-dependent preferences, Post-Print (2015) View citations (12) (2015)

2014

10. Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds
    Journal of Corporate Finance, 2014, 27, (C), 269-295 View citations (22)
    See also Working Paper Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds, Post-Print (2014) View citations (20) (2014)

2011

11. How valuable is your VaR? Large sample confidence intervals for normal VaR
    Journal of Risk Management in Financial Institutions, 2011, 4, (2), 189-200
    See also Working Paper How valuable is your VaR? Large sample confidence intervals for normal VaR, Post-Print (2011) View citations (8) (2011)

2007

12. Business Risk Targeting and Rescheduling of Distressed Debt
    Finance, 2007, 28, (2), 43-78 View citations (4)
    See also Working Paper Business Risk Targeting AndRescheduling of Distressed Debt, Post-Print (2007) View citations (1) (2007)

2004

13. A closed form solution for pricing defaultable bonds
    Finance Research Letters, 2004, 1, (2), 135-142 View citations (2)
14. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing
    International Review of Financial Analysis, 2004, 13, (1), 47-61
    See also Working Paper Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing, Post-Print (2004) (2004)
15. Valuing callable convertible bonds: a reduced approach
    Applied Financial Economics, 2004, 14, (10), 743-749 View citations (1)
    See also Working Paper Valuing Callable Convertible Bonds: a reduced approach, Post-Print (2004) View citations (1) (2004)

1999

16. The Predictive Power of the French Market Volatility Index: A Multi Horizons Study
    Review of Finance, 1999, 2, (3), 303-320 View citations (16)