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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 [Map]
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. 

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

At McGill, Professor Ericsson has given derivatives, and fixed income courses at BCOM, MMF, MBA and PhD levels. 

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  number of law firms on topics related to derivatives and structured products. 

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

“The Risk and Return of Equity and Credit Index Options” (2024), joint with Hitesh Doshi, Mathieu Fournier and Sang Seo. Journal of Financial Economics, 161.

“Time-varying Asset Volatility and the Credit Risk Puzzle” (2019), joint with Du Du and Redouane Elkamhi. Journal of Finance, 74, 1841-1885. 

“Leverage and asymmetric volatility: the firm level evidence” (2017), joint with Stefano Mazzotta and Xiao Huang, Journal of Empirical Finance, 38, 1-21.

“Can Structural Models Price Credit Risk? Evidence from Bond and Credit Derivative Markets” (2015). Joint 
with Joel Reneby and Hao Wang. Quarterly Journal of Finance, 5(2). 

“Pricing Default Swaps with Observable Covariates” (2013), joint with Hitesh Doshi, Kris Jacobs and Stuart Turnbull, Review of Financial Studies, 26, 2049-2094. 

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

“What Risks do Corporate Bond Put Features Insure Against?” (2012). Journal of Futures Markets, 32, 1060-1090. 

“The Determinants of Default Swap Premia” (2009), joint with Kris Jacobs and Rodolfo Oviedo Helfenberger. Journal of Financial and Quantitative Analysis.

“Liquidity and Credit Risk” (2006), joint with Olivier Renault (StormHarbour). Journal of Finance, 61.

“Estimating Structural Bond Pricing Models” (2005), joint with Joel Reneby. Journal of Business. vol. 78, no. 2.

Chapters in Books

“Att värdera ett företag och dess skulder.” (“Valuing a Company and its Debt”) in “Från optionsprissättning till konkurslagstiftning.” (“From Option Pricing to Bankruptcy Law”, 1997, Clas Bergström & Tomas Björk (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 Québecois de la Recherche sur la Société et la Culture (FQRSC)

1999-2001: Start-up grant

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