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Jan Ericsson

Title: 
Director, Master of Management in Finance; Associate Professor, Finance
Academic title(s): 

Desmarais Faculty Scholar

Jan Ericsson
Contact Information
Phone: 
514-398-3186
Email address: 
jan.ericsson [at] mcgill.ca
Alternate email address: 
christine.nguli [at] mcgill.ca
Address: 

Bronfman Building []
1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 1G5

Degree(s): 

PhD, Financial Economics, Stockholm School of Economics, Sweden
MSc, Financial Economics, Stockholm School of Economics, Sweden

Area(s): 
Finance
Office: 
508
Biography: 

Professor Ericsson joined the Desautels Faculty of Management in the autumn of 1999 with a PhD from the Stockholm School of Economics (1997). A former Marie Curie Fellow at the Catholic University of Louvain, Belgium, he is now an associate professor, Director of the Master of Management in Finance.听

Ericsson鈥檚 current research focuses on risk premia in corporate bond and credit derivative markets, and has been published in the聽Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Business, JFQA and others.听

At 捆绑SM社区, Professor Ericsson has given derivatives, and fixed income courses at BCOM, MMF,聽MBA and PhD levels.听

At the executive level, Ericsson has spearheaded single- and multi-name credit derivative courses, as well as general seminars on derivatives theory in Montreal, Stockholm, and New York. He has also acted as guest speaker at industry conferences in North America and the Caribbean. Furthermore, Professor Ericsson has carried out consulting projects for a Nordic real estate investment firm, the Swedish National Debt Office, acted as advisor / expert witness to a 聽number of law firms on topics related to derivatives and structured products.听

Courses: 

FINE 452 Applied Quantitative Finance 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

FINE 455 Alternative Investments 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

FINE 682 Derivatives 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

FINE 684 Fixed Income Analysis 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

FINE 710 Fixed Income Securities Theory 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

Curriculum vitae: 
PDF icon vitae_jan_ericsson_august_2024.pdf
Group: 
Faculty
Tenured & Tenure Track
Research areas: 
Corporate Bonds
Credit Derivatives
Default Risk Premia
Financial Distress
Liquidity in Fixed Income Markets
Risk Management
Sovereign Default Risk
Selected publications: 

Selected Publications

鈥淭he Risk and Return of Equity and Credit Index Options鈥� (2024), joint with Hitesh Doshi, Mathieu Fournier and Sang Seo.听Journal of Financial Economics,聽161.

鈥淭ime-varying Asset Volatility and the Credit Risk Puzzle鈥澛�(2019), joint with Du Du and Redouane Elkamhi. Journal of Finance,聽74,听1841-1885.听

鈥淟everage and asymmetric volatility: the firm level evidence鈥� (2017), joint with Stefano Mazzotta and Xiao Huang, Journal of Empirical Finance, 38, 1-21.

鈥淐an Structural Models Price Credit Risk? Evidence from Bond and Credit Derivative Markets鈥� (2015). Joint 鈥╳ith Joel Reneby and Hao Wang. Quarterly Journal of Finance, 5(2).听

鈥淧ricing Default Swaps with Observable Covariates鈥� (2013), joint with Hitesh Doshi, Kris Jacobs and Stuart Turnbull, Review of Financial Studies, 26, 2049-2094.听

鈥淭he Cost of Financial Distress and the Timing of Default鈥� (2012), joint with Redouane Elkamhi and Chris Parsons. Journal of Financial Economics, 105, 62-81. Presented at NBER, AFA.

鈥淲hat Risks do Corporate Bond Put Features Insure Against?鈥� (2012). Journal of Futures Markets, 32, 1060-1090.听

鈥淭he Determinants of Default Swap Premia鈥� (2009), joint with Kris Jacobs and Rodolfo Oviedo Helfenberger. Journal of Financial and Quantitative Analysis.

鈥淟iquidity and Credit Risk鈥� (2006), joint with Olivier Renault (StormHarbour). Journal of Finance, 61.

鈥淓stimating Structural Bond Pricing Models鈥� (2005), joint with Joel Reneby. Journal of Business. vol. 78, no. 2.

Chapters in Books

鈥淎tt v盲rdera ett f枚retag och dess skulder.鈥� (鈥淰aluing a Company and its Debt鈥�) in 鈥淔r氓n optionspriss盲ttning till konkurslagstiftning.鈥� (鈥淔rom Option Pricing to Bankruptcy Law鈥�, 1997, Clas Bergstr枚m & Tomas Bj枚rk (eds.)).

Awards, honours, and fellowships: 

Fellowships

1997-1999: EU TMR fellowship

Grants

2010-2013: IFM2

2008-2011: SSHRC

2008-2011: SSHRC

2006-2008: IFM2

2005-2007: IFM2

2002-2005: Fonds Qu茅becois de la Recherche sur la Soci茅t茅 et la Culture (FQRSC)

1999-2001: Start-up grant

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