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Alexandre Jeanneret

Associate Professor,  Department of Finance


Alexandre Jeanneret

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: alexandre.jeanneret@hec.ca
Phone: 514 340-1557
Secretary: 514 340-6608
Fax: 514 340-5632
Office: 4.207

Personal page

Other title(s)

Chairholder Canada Research Chair in Macro Finance

Education

  • Ph. D. (Finance), Université de Lausanne, Swiss Finance Institute
  • M.A. (Economics), University of British Colombia
  • Licence en économie, HEC Lausanne

Expertise

  • International finance
  • Credit risk and bond markets
  • Asset pricing and risk management
  • Foreign exchange market

Current research

My current research interests focus on the understanding of sovereign credit risk and more specifically on the adverse consequences of such a risk for international equity markets. For example, one research improves our knowledge on how the rise in the risk of a European debt crisis can increase stock market volatility in the U.S. through a severe depreciation of the euro/dollar exchange rate. Another research develops a pricing formula that helps explain the daily time variation in sovereign credit risk. A complementary research provides evidence that information on the quality of a sovereign government, measured by several dimensions of governance, is important in the evaluation of a sovereign creditworthiness. Finally, I am also interested in analyzing how exchange rate volatility affects agent decisions, in particular the decision of multinationals to invest internationally.

This publication selection covers the last five years.


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Journal articles (6)


JEANNERET, Alexandre; « Sovereign Default Risk and the U.S. Equity Market », Journal of Financial and Quantitative Analysis, vol. 52, no 1, 2017, p. 305-339.

JEANNERET, Alexandre, SOUISSI, Slim; « Sovereign defaults by currency denomination », Journal of International Money and Finance, vol. 60, Février 2016, p. 197-222.

JEANNERET, Alexandre; « International Firm Investment under Exchange Rate Uncertainty », Review of Finance, vol. 20, no 5, 2016, p. 2015-2048.

JEANNERET, Alexandre, CHOUAIB, Elian; « La crise de la dette en Europe », L'actualité économique, Vol. 91, no 4, Décembre 2015, 35 p..

JEANNERET, Alexandre; « The Dynamics of Sovereign Credit Risk », Journal of Financial and Quantitative Analysis, vol. 50, no 5, Octobre 2015, p. 963-985.

DORION, Christian, FRANÇOIS, Pascal, GRASS, Gunnar, JEANNERET, Alexandre; « Convertible debt and shareholder incentives », Journal of Corporate Finance, vol. 24, Février 2014, p. 38-56.



This selection of supervision activities covers the last five years.

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Supervised project supervision – MSc in Management (13)

Gestion du taux de change et tarification alternative d'option sur devises , by Maxime Thiboutot
September 2018

Volatility Risk and the Cross-Section of Commodity Returns , by Ilia Polotskii
September 2018

What usage can be done with risk premias to improve a portfolio? , by Jean-Sébastien Beauparlant
October 2017

Stagiaire au département finance de Saferail , by Clément Seyé
March 2016

Risk Management - High frequency model for portfolio managers , by Alexandre Bouliane
March 2016

Cours du café et conditions climatiques au Brésil , by Yann Stanislas Yassin Doukkali
January 2016

Les déterminants de l'activité de "Carry Trade" , by Axel Giriat
January 2016

Currency hedging optimization for international equity and bond portfolios , by Arnaud Lerebours
January 2015

In codirection with : FRANÇOIS, Pascal
Analyse des accords du Club de Paris , by Mathieu Lapointe
January 2015

Analyse statistique de l'investissement en contrats à terme sur matières premières dans un contexte de gestion de portefeuille , by Carlos Molina Serrano
June 2014

Étude d'une stratégie d'investissement basée sur l'identification d'entreprises offrant des paiements de dividendes durables , by Julien Duquette
March 2014

Analyse de la stratégie du Carry Trade , by Charles Boucherie
January 2014

Determinants of Sovereign Credit Risk , by Manewa Kamgueu Kamga
March 2013


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