Patrick Augustin
- Canada Research Chair in Macrofinance and Derivatives, SSHRC (T2)
- Associate Fellow, Canadian Derivatives Institute
PhD, Finance, Stockholm School of Economics, Sweden
MSc, Banking and Finance, Luxembourg School of Finance, Luxembourg
Master's, Monetary and Financial Economics, University Louis Pasteur Strasbourg, France
Executive Certificate, Banking and Finance, New York University, USA
Professional Qualification/Charter: GARP FRM
Patrick Augustin is an Associate Professor of Finance at the Desautels Faculty of Management at McGill University. He holds the Canada Research Chair in Macrofinance and Derivatives and is an Associate Fellow at the Canadian Derivatives Institute. He holds a PhD degree in Finance from the Stockholm School of Economics, and held visiting research positions at the New York University Stern School of Business, the Stockholm School of Economics, the University of Sydney, and the Luxembourg School of Finance. He is certified as Financial Risk Manager by the Global Association of Risk Professionals, and served as a Fellow at the Global Future Councils of the World Economic Forum. Before joining academia, he worked as a structured credit officer at Dexia and as attaché to the Luxembourg Ministry of Foreign Affairs.
Patrick’s research interests lie at the intersection of macroeconomic and financial markets with a focus on sovereign credit risk, firm fundamentals and credit risk with a focus on credit derivatives, and law and finance with a focus on insider trading. His work has been published in the Review of Financial Studies, the Journal of Financial Economics, the Journal of Monetary Economics, Management Science, and the Journal of Financial and Quantitative Analysis, among others. His work on insider trading in options has been widely covered in the financial press, including The New York Times, The Wall Street Journal, The Washington Post, and Fortune.
Empirical Asset Pricing, International Finance, Sovereign Credit Risk, Derivatives, Credit and Liquidity Risk.
Selected Papers in Peer-Reviewed Journals
- Augustin, P., and R. Tedongap (2021), Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets, Management Science, Accepted for publication.
- Augustin, P, V. Sokolovski, M. G. Subrahmanyam and D. Tomio (2020), In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk, Journal of Financial Economics, Forthcoming - View paper; Watch video
- Augustin, P., M. Chernov, L. Schmid, and D. Song (2020), Benchmark interest rates when the government is risky, Journal of Financial Economics, Accepted for publication.
- Augustin, P., and M. G. Subrahmanyam (2020), Informed options trading before corporate events, Annual Review of Financial Economics, Vol. 12:327-355.
- Augustin, P., M. Chernov, and D. Song (2019), Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads, Journal of Financial Economics, 137(1):129-151.
- Augustin, P. and Y. Izhakian (2019), Ambiguity, volatility, and credit risk, Review of Financial Studies, 33(4):1618-1672.
- Augustin, P., J. Feng, S. Sarkissian, and M. J. Schill (2019), Cross-listings and the dynamics between credit and equity returns, Review of Financial Studies, 33(1):112-154.
- Augustin, P., M. Brenner, J. Hu, and M. G. Subrahmanyam (2019), Are corporate spin-offs prone to insider trading?, Critical Finance Review, Forthcoming.
- Augustin, P., M. Brenner, and M. G. Subrahmanyam (2019), Informed options trading prior to takeover announcements: Insider trading?, Management Science, 65(12):5449-5956.
- Augustin, P. (2018), The term structure of CDS spreads and sovereign credit risk, Journal of Monetary Economics, 96(1): 53-76.
- Augustin, P., H. Boustanifar, J. Breckenfelder, and J. Schnitzler (2018), Sovereign to corporate risk spillovers, Journal of Money, Credit, & Banking, 50(5):857-891.
- Augustin, P., M. G. Subrahmanyam, D. Y. Tang and S. Q. Wang (2016), Credit default swaps: Past, present, and future, Annual Review of Financial Economics, Vol 8:175-196.
- Augustin, P., and R. Tedongap (2016), Real economic shocks and sovereign credit risk, Journal of Financial and Quantitative Analysis, 51(2):541-587.
- Augustin, P. (2014), Sovereign Credit Default Swap Premia, Journal of Investment Management, 12(2): 65-102.
- Augustin, P., M. G. Subrahmanyam, D. Y. Tang, and S. Q. Wang (2014), Credit Default Swaps: A Survey, Foundations and Trends in Finance, 9(1-2), 1-196.
Chapters in books
Augustin, P., Essays on Sovereign Credit Risk and Credit Default Swap Spreads (2013), ISBN 978-91-7258-901-8, Doctoral Dissertation in Finance, Economic Research Institute, Stockholm School of Economics.
Awards
2019: Canadian Derivatives Associate Fellowship.
2018: Arthur Warga Award for Best Paper in Fixed Income at SFS Cavalcade North America 2018.
2017: FMA Europe Best Paper Award (Runner-up); Best Discussion Award, 2017 HEC-McGill Winter Finance Workshop.
2015: The Northern Finance Association (NFA) 2015 WRDS Best Paper Award on Empirical Finance.
2014: The Chinese Finance Association (TCFA) 2014 Best Paper Award; FNR Award for Outstanding PhD Thesis 2014 (EUR 5,000); Investor Responsibility Research Center Institute (IRRCi) Award for best paper on Post Modern Portfolio Theory (USD 10,000); 2014 IFM2 Mathematical Finance Days, Honorable Mention.
2014: The Chinese Finance Association 2014 Best Paper Award; FNR Award for Outstanding PhD Thesis 2014; Investor Responsibility Research Center Institute (IRCCi) Award for best paper on post modern portfolio theory; IFM2 Mathematical Finance Days, Honorable Mention.
2013: 2013 SAC Capital Ph.D. Candidate Award for Outstanding Research.
2002: CREPUQ Exchange Scholarship.
Grants
2020: Hong Kong Institute for Monetary Research - Regular Research Program.
2019: Canadian Securities Institute Research Foundation; Canadian Derivatives Institute Fellowship.
2018: Global Risk Institute; Canadian Derivatives Institute.
2017: SSHRC Insight Grant; Internal SSHD Grant; Montreal Institute of Structured Products and Derivatives (IFSID) 2017 Research Grant.
2016: SSHRC Insight Grant; Chicago Mercantile Exchange Research Grant; Montreal Institute of Structured Products and Derivatives (IFSID) 2016 Research Grant (2x); McGill Paper Presentation Grant.
2015: Montreal Institute of Structured Products and Derivatives (IFSID) 2015 Research Grant; FRQSC Start-up program for new research professors.
2014: Montreal Institute of Structured Products and Derivatives (IFSID) 2014 Research Grant; Nasdaq OMX Nordic Foundation Research Grant; SSHRC Insight Development Grant; Internal SSHRC Grant (declined); McGill Paper Presentation Grant, Internal SSHRC Grant (declined).
2013: McGill University Start-up Grant.
2012: Luxembourg Central Bank Visiting Scholar Grant; Siamon Foundation Scholarship for Conference Participation; Bankforskningsinstitutet PhD Scholarship; American Finance Association 2012 Travel Grant.
2011: Jan Wallander and Tom Hedelius Foundation Grant; Nasdaq OMX Nordic Foundation Research Grant; Fraenckel Scholarship for Research Travel; Liljevalch Scholarship for Conference Participation.
2010: Nordic Finance Network Travel Grant; Fraenckel Scholarship for Research Travel.
2009: Luxembourg National Research Fund Grant for studies abroad.
2008: PhD Research Grant from the Luxembourg National Research Fund (4-year Grant, accepted until October 2011).
