Franck MORAUX

Full Professor

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  • CV de Franck MORAUX
  • CREM UMR CNRS 6211
Franck Moraux
Director, CREM 6 UMR 6211

My research concerns first of all financial securities, their markets and their use and second the firms’ decision-making (in financing, investment, financial risk management, etc.). My favorite set of financial assets are bonds and derivatives (such as options, futures and CDS). Derivatives are very useful tools to model and understand the decisions made by corporations. Real options allow one to assess investment opportunities and price intangible flexibilities. Investigating in–depth practical aspects, hedging strategies, valuation models and empirical stylized facts help to answer some open questions and solve challenging real-life problems.

Finance,

Financial Risk Management,

Quantitative Finance,

Options and Derivatives,

Asset Pricing,

Corporate Finance

 

Keywords: Quantitative Finance, quantitative methods and models for Finance

Teaching

  • Options and Derivatives
  • Credit Risk Management
  • Quantitative Finance

Anthony Miloudi, Franck Moraux. Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market. International Journal of Business, 2009, 14 (2), pp.105-122.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Franck Moraux. Continuous barrier range options. Journal of derivatives
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. On the Pricing and Design of Debt-Equity Swaps for Firms in Default. Bankers Markets
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Franck Moraux. On perpetual American strangles. The Journal of Derivatives, 2009, 4, pp.82-97.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Maxime Debon, Franck Moraux, Patrick Navatte. Make-whole callable bonds :Covenant yield premium insights. Congrès AFFI 2009, May 2009, Brest, France. 13 p.
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Author(s) : Franck MORAUX
Finance
Grégoire Leblon, Franck Moraux. Examining Performance of Quadratic Models of TermStructure of Interest Rates. Congrès AFFI 2009, May 2009, Brest, France. 37 p.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Pascal François, Franck Moraux. The immunization performance of traditional and stochastic durations: a mean-variance analysis. EFMA 2008 CONGRESS, Jun 2008, Athènes, Greece. 33 p.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Business risk targeting and rescheduling of distressed debt.. Finance, 2007, 28 (2), pp.43-78.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Business Risk Targeting AndRescheduling of Distressed Debt. congrès international de l’AFFI 2007 “Ethique et Gouvernance”, Jun 2007, Bordeaux, France. 33 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Rescheduling of distressed debt and business risk targeting ex ante the reorganization. European Financial Management Association 2007 Annual Conference, Jun 2007, Vienne, Austria. pp.30.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications. Congrès International de Finance, Dec 2007, France. 23 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Rescheduling debt in default : the Longstaff’s proposition revisited.. Banque
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. The active management of distressed debt. European Financial Management Association 2006 Annual Meeting, Jun 2006, 29 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing. International Review of Financial Analysis, 2004, 13 (1), pp.47-61.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Florence André-Le Pogamp, Franck Moraux. Valuing Callable Convertible Bonds : a reduced approach. Applied Financial Economics, 2004, 14 (10), pp.743-749.
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Author(s) : Florence ANDRE, Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Extending the Maturity of a defaulting debt : when it is worthwhile !. 21e Conférence internationale de l’AFFI, Cergy-Pontoise,, Jun 2004.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Anthony Miloudi. The relation between corporate credit spreads, treasury yields and the equity markets : new evidences from daily options-ajusted spreads indices. European Investiment Review Annual conference, E.I.R., London,, Sep 2004.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Christophe Villa. The dynamics of the term structure of interest rates : an independent component analysis. C. LESAGE M. COTTRELL. Connectionist Approaches in Economics and Management Sciences, Kluwer, 2003.
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Author(s) : Franck MORAUX
Finance
Florence André-Le Pogamp, Franck Moraux. Sur les obligations convertibles à clause de remboursement anticipé au gré de l’émetteur. Finance, 2003, 24 (1), pp.7-28.
Link to the publication (HAL)
Author(s) : Florence ANDRE, Franck MORAUX
Finance
Franck Moraux. Managing corporate liabilities of financially weakened firms. 32nd Meeting of the EURO working group in financial modelling, Londres, Apr 2003, 29 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. A closed form solution for pricing defaultable bonds. Finance Research Letters, 2003, 1 (2), pp.135-142.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach. 10e Rencontres Internationales de l’ACSEG, Nantes, Nov 2003, Nantes, France.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Pricing credit derivatives in credit classes frameworks. Geman H., Madam D., Pliska S.R., Vorst T. Mathematical Finance. Bachelier Congress 2001, Springer, pp.339-352, 2002, Finance.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, O. Renault. 30 ans de modèles structurels de risque de défaut. M. BELLALAH. Finance contemporaine. Analyse, évaluation et applications, Economica, pp.69-84, 2002.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. On cumulative parisian options. Finance, 2002, hors-série Mathématiques financières (23), pp.127-132.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Valuing corporate liabilities when the default threshold is not an absorbing barrier. Actes «CREDIT 2002 – Assessing the Risk of Corporate Default», Sep 2002, Venise, 30 p.
Link to the publication (HAL)
Author(s) : Franck MORAUX
Finance

Scientific outreach

Director of the SHOS doctoral school (2014-2016)
Co-Editor-in-Chief of Finance (ranked journal FNEGE A, CNRS cat. 2)
Member of the Board of Directors and Executive Committee of the French Finance Association
Member of the Editorial Board of The Accounting, Finance and Governance Review (Ireland), Review of Finance and Banking (Romania), Lahore Journal of Business (Pakistan, for finance)
Member of the scientific committee of the AFFI conferences, of the Forecasting Financial Markets conference (since Rennes, 2015) and more occasionally of the Financial Management Association Annual Meeting

Article reviews

Review of Finance, Journal of Banking and Finance, Finance, Applied Mathematical Finance, Applied Financial Economics, European Journal of Finance, Journal of Derivatives, Journal of Risk, Theory and Decision, Annales d’Economie et de Statistique
2nd vice-president of the Doctoral School Directors’ Conference in Economics and Management Sciences

Interactions with the social, economic and cultural environment

HCERES Agency: Participation in visiting committees for the evaluation of university structures: EM Lyon-Recherche (2015, member), ED 486 SEG University of Lyon (2015, President)
Brittany Region: Participation in the “Social and Citizen Innovations” group evaluating the so-called SHS doctoral projects submitted to the Brittany Region in 2015, 2016 in order to apply for funding.
Various universities: Participation in selection committees for the recruitment of lecturers or Professors: 2 to 3 committees per year

Term structure of interest rates models, nominal government debt and inflation-protected securities
PhD student : PAKULYAK Olga
Date : 04/12/2019
PhD supervisor : Franck MORAUX
Finance
Optimalité de la décision financière et la théorie des options américaines et exotiques
PhD student : LAMINOU ABDOU Souleymane
Date : 02/11/2016
PhD supervisor : Franck MORAUX
Finance
Exposition au risque de change, politique de couverture et conflits d’agence
PhD student : NOUAJAA Ghassen
Date : 19/12/2014
PhD supervisor : Jean-Laurent VIVIANI, Franck MORAUX
Finance
Credit Risk Analysis under Normal and Extreme Conditions : Empirical Investigations on the European CDS Market
PhD student : QI Ziqiong
Date : 17/11/2014
PhD supervisor : Franck MORAUX
Finance
Insights on debt renegotiation : Implications for the corporate and residential housing market
PhD student : SILAGHI Florina
Date : 27/10/2014
PhD supervisor : Franck MORAUX
Finance
Modélisation et gestion sur les marchés obligataires souverains
PhD student : MOUNGALA Wilfried Paterne
Date : 29/04/2013
PhD supervisor : Franck MORAUX
Finance
Quadratic term structure models of interest rates : theory, implementation and applications
PhD student : LEBLON Grégoire
Date : 26/11/2012
PhD supervisor : Franck MORAUX
Finance
De l’usage d’une clause de rachat au gré de l’émetteur dans le contrat obligataire : déterminants et valorisation
PhD student : DEBON Maxime
Date : 26/11/2010
PhD supervisor : Franck MORAUX, Patrick NAVATTE
Finance