Ifm cad ifm cad ifm cad sshrc cad

C U R R I C U L U M V I T A E J A N E R I C S S O N

McGill University - Faculty of Management
1001 Sherbrooke Street West
H3A 1G5 Montreal, Canada.

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•“Systematic Volatility Risk: Evidence from Equity Option and Credit Derivatives Markets”. Joint with Christian Dorion and Redouane Elkamhi.

•“Accounting Transparency and the Implied Volatility Smile”. Joint with Fan Yu and Hitesh Doshi.

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•Quantitative Finance (2015, 4.4/5, 2016, 3.9/5&4.7/5).

•Derivatives & Risk Management for the McGill MBA Japan program, Tokyo, Autumn 2002. •Fixed Income Analysis at McGill University BCOM program, autumn 2001, winter 2003 (6.5/7), 2004 (4.5/5), winter 2005 (4.8/5).

•Fixed Income Markets at McGill University MBA program, autumn 2001, winter 2003 (5.7/7), 2004 (4.3/5), winter 2005 (4.2/5).

•Risk Management for the Masters of Financial Economics program at the NSM, spring 1999, Oslo. •Corporate Finance at the Catholic University of Louvain Master of Science program, Belgium, spring 1998.

•Derivatives at the Stockholm School of Economics (SSE) Master of Science program, Sweden, spring 1998. Teaching assistant Corporate Finance 1992, Derivatives 1993-1994 (SSE), Sweden.

•Structured Credit Modeling (New York Institute of Finance), April, November 2007, April 2008. •Collateralized debt obligations (CDOs) and other multi-name credit derivatives (Institut de Finance Mathématique de Montréal.), April 2005, November 2006 (in collaboration with the McGill Executive Institute).

•CDO modeling (New York Institute of Finance), December 2006, January 2007.

•2015 Expert witness, mortgage valuation, Burns & Cohan, San Diego. •2014 –2015 Advisor Waimanu Technologies.

•2012 - Vinge Advokatbyrå, on the valuation of structured products.

•Valuation of embedded options in bond issues for the Swedish Treasury.

•Valuation of financial guarantees for the Swedish Treasury.

•Invited speaker National Forum on Management, Montreal, 2009. Talk on Derivatives and the crisis.

•Invited speaker at RiskLab Madrid conference 2009. Talk on the compensation for risk in credit markets.

•“Time-varying asset volatility and the credit spread puzzle”. University of Houston 2011, Iowa University 2011, Case Western University 2011, Université Laval 2011, Ifm2 conference 2010, University of Konstanz 2012, Tremblant risk management conference 2012, ITAM Mexico city 2012, HEC McGill workshop Fernie 2016, Affi 2016.

•“On Pricing Credit Default Swaps with Observable Covariates” (*). Office of the Comptroller of the Currency, 2010.

•“Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets” Gerzensee ESSFM July 2004, CREDIT 2004 Venice poster, McGill University 2004, European Finance Association 2005, Moscow, Wilfrid Laurier University, 2005, NFA Vancouver 2005, CFP Vallendar, Germany 2006, Bank of Canada 2006, Queen’s University (invited 2006), Carnegie Mellon University, 2006, NYU Salomon Center/ Moody’s KMV Advances in credit risk conference, New York 2006, Federal Reserve Board Credit Risk conference, Washington 2007.

•“What risks do corporate bond put features insure against?” Swiss Finance Institute conference on Portfolio management and derivatives, Lugano May 2007 (*).

•“Estimating Structural Bond Pricing Models”. CREDIT conference Venice 2002. European Investment Review annual conference, London School of Economics 2002.

•“Valuing Corporate Liabilities”. HEC Montreal, 2001. McGill University, 2001. European Finance Association Annual Meetings in Barcelona August 2001. International Conference on Credit Risk in Montreal 2002. Thiele Symposium on Financial Econometrics, Copenhagen 2002, Binghamton University 2003, University of California at Irvine 2003, IASTED Financial Engineering, Banff 2003, University of Southern Switzerland, Lugano 2004.

•A New Compound Option Pricing Model”, joint with Joel Reneby. Nordic Symposium on Contingent Claims Analysis in Finance 1996, Reykjavik, Iceland. Mathematical Finance I 1996, Aarhus, Denmark. French Finance Association 1996, Geneva, Switzerland.

•“Transaction Taxes and Trading Volume: an International Comparison”, joint with Ragnar Lindgren. CEPR Network on International Taxation, 1992, Bergen, Norway. European Finance Association (EFA) meeting in Lisbon 1992, Portugal.

•Co-chair of the McGill / Ifm2 conference on Risk Management, Mont Tremblant March 2006, 2008, 2010, 2012, 2014, 2016.

•Program Committee European Finance Association 2009, 2011, 2012, 2013, 2014, 2015, 2016.

•Conference discussant Workshop on Securities and Derivatives 1994, French Finance 1996, 1997,

(2), Social Sciences and Humanities Research Council (SSHRC) 2001, 2004 (2), 2006, Fonds

Québécois de la Recherche sur la Nature et les Technologies (FQRNT) 2003 and 2004, Natural

•Member of 2004-2005 and 2005-2006 SSHRC/McGill Majors evaluation committee. 2005-2006 chair

for Public Policy subcommittee.

Montreal.

•McGill activities

o Recruiting committee, 2000, 2006

o Research committee, 2000,

Research funding

•1994-1997: Tore Browaldhs Stiftelse, Bankforskningsinstitutet and Nordbanken.

•2008-2011 : SSHRC CAD 128,000, PI, 3 years RTS.

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