Years rts sshrc cad ifm cad ifm cad

Jan Ericsson

V I T A E : J A N E R I C S S O N

	2012 – Associate Editor CJAS. 2010 – Academic Director, Investment Management Program, McGill University. 2010 – Desmarais Faculty Scholar.

Education

•1997 PhD in Financial Economics, Stockholm School of Economics.

Published and forthcoming papers

	“Estimating Structural Bond Pricing Models”. Joint with Joel Reneby. Journal of Business. vol. 78, no. 2, 2005. “Implementing Structural Credit Risk Models using both Stock and Bond Prices – an Empirical Study” (2004). Joint with Joel Reneby. Journal of Fixed Income, Vo. 13(4), pp. 38-49. Abstracted in the

• “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. •“Can Structural Models Price Credit Risk? Evidence from Bond and Credit Derivative Markets”. Joint with Joel Reneby, Stockholm School of Economics and Hao Wang, McGill University. Best Fixed Income Paper prize, FMA 2006.

•

•MBA core finance, 2010 (2.7, 2.9/5).

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

•Fixed Income Theory for the PhD program at McGill University , autumn 2001, winter 2003, 2004 (4.6/5) , winter 2005, 2011, 2012 (4.8/5).

•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.

Executive Teaching

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

•Credit Derivatives – single-name products (Institut de Finance Mathématique de Montréal), November 2002, May 2003.

•2010 - KPMG on financial reporting of volatility trading.

•2007-2008, CDP Valuation of leveraged super senior (LSS) CDO tranches.

Jan Ericsson

General Presentations (reverse chronological order)

•Invited speaker at the Risk management user group, Presima 2008.

•Invited Speaker at Insight Information conference on Derivatives & Securitization (Produits derivés et titrisation) in Montreal, June 2006, May 2007. Presentation on Recent advances in CDO modeling.

•“Exploring Dynamic Default Dependence” 2009 (*). EFA 2009 Bergen.

•“The cost of financial distress and the timing of default” NBER Corporate Finance program meeting 2009. On the EFA 2009 Bergen program. AFA 2011, Denver, SIFR 2010.

•“The Determinants of Credit Default Swap Premia” European Investment Review Annual Conference September 2004, London, CREDIT 2004 Venice poster, Bank of Canada workshop on fixed income markets, 2004, Hong Kong University of Science and Technology Finance Symposium, 2004.

•“Determinants of Bond Yield Spreads - Empirical Evidence from a Structural Model” Northern Finance Association, September 2004.

Jan Ericsson

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.

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

(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 Finance Research Centre committee, 2001 – 2004

o MBA electives committee, 2000,

o Merit Committee 2005, 2006

o Faculty tenure committee 2005,

Jan Ericsson

o Rodolfo Oviedo (Universidad Austral, Argentina),

o Hao Wang (Tsinghua University, China).

o Carlton Osakwe (University of Calgary),

o Xiaofei Li (York University).

•External examiner thesis proposal Iowa University 2011.

•Opponent Joni Kokkonen thesis defence, Aalto University 2011.

•2002 – 2005: Fonds Québecois de la Recherche sur la Société et la Culture (FQRSC), CAD 45,000.

•2002-2005 : IFM2 CAD 88,240.

•2010-2013 : IFM2 CAD 75,000.

•2013-2016 : IFM2 CAD 56,350.