Quick Links

Patrick Augustin

Patrick Augustin
Assistant Professor, Finance
Degree(s): 

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

Area(s): 
Finance
Phone: 
+1 514 398 4726
Email Address: 
patrick [dot] augustin [at] mcgill [dot] ca
Alternate Email Address: 
karen [dot] robertson [at] mcgill [dot] ca
Address: 

1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 2R7

Office: 
514
Biography: 

Patrick Augustin is Assistant Professor of Finance at the Desautels Faculty of Management at McGill University. He earned a PhD degree in Finance from the Stockholm School of Economics in 2013, a Master degree in Banking and Finance from the Luxembourg School of Finance, and a Master degree in Financial and Monetary Economics from the University Louis Pasteur in Strasbourg. He is also certified as Financial Risk Manager by the Global Association of Risk Professionals.

Professor Augustin’s research interests include derivatives, risk management, empirical asset pricing, sovereign credit risk and macro-finance. He has published in the Journal of Financial and Quantitative Analysis and in the Journal of Investment Management. His work on insider trading has been widely covered in the financial press, including The New York Times, The Wall Street Journal, The Washington Post, and The Globe and Mail. Before joining academia, he worked as a structured credit officer at Dexia and as attaché to the Luxembourg Ministry of Foreign Affairs.

Courses: 

FINE 448 Financial Derivatives 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

FINE 639 Derivatives & Risk Management 3 Credits
    Offered in the:
  • Fall
  • Winter
  • Summer

Areas of Expertise: 

Empirical Asset Pricing, International Finance, Sovereign Credit Risk, Derivatives, Credit and Liquidity Risk.

Curriculum Vitae: 
Research Areas: 
Empirical Asset Pricing
International Finance
Sovereign Credit Risk
Taught previously at: 

Selected Publications : 

Papers in Peer-Reviewed Journals

Augustin, P., and R. Tédongap  (2014), Real Economic Shocks and Sovereign Credit Risk. Forthcoming in the Journal of Financial and Quantitative Analysis.

Augustin, P.  (2014), Sovereign Credit Default Swap PremiaJournal 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, Honours, and Fellowships: 

Awards

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

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.

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).

Connect with the Desautels Faculty of Management

Desautels Faculty of Management at McGill on FacebookDesautels Faculty of Management at McGill on TwitterFollow the Desautels Faculty of Management University page on LinkedInDesautels Faculty of Management at McGill, BCom Program on LinkedInDesautels Faculty of Management at McGill, MBA Program on LinkedInDesautels Faculty of Management at McGill on YouTubeDesautels Faculty of Management at McGill on Facebook

Research at the Desautels Faculty of Management

Accounting at Desautels Faculty of ManagementFinance at Desautels Faculty of ManagementInformation Systems at Desautels Faculty of ManagementMarketing at Desautels Faculty of ManagementOperations Management at Desautels Faculty of ManagementOrganizational Behaviour at Desautels Faculty of ManagementStrategy and Organization at Desautels Faculty of ManagementHealth Care at Desautels Faculty of Management