I am currently an Associate Professor in Finance and the academic director of the Investment Management program at the Desautels Faculty of Management, McGill University. I graduated from the Stockholm School of Economics with a PhD in finance 1997. I spent two years at the Catholic University of Louvain before going on the job market and ending up at McGill in 1999.

Research

Most of my research is in fixed income, with a particular focus on credit risk. I’ve published work in the Journal of Finance, Journal of Financial Economics, JFQA and Journal of Business, among other outlets.

I am currently working on papers on the impact of systematic risk and derivatives prices, reduced form credit risk models with observable covariates, and volatility risk premie in credit markets.

You can link to may papers at SSRN here, and here is a more detailed cv.

Teaching

I have taught a variety of courses at different levels throughout the last fifteen years or so. At McGill I’ve been responsible for courses in Derivatives, Hedge Funds, Fixed Income and Structured Finance at undergraduate, MBA and PhD levels. More recently I’ve taught introductory finance in our undergraduate and MBA programs. This coming year, I teach Alternative Investments in our Honours in Investment Management program, Derivatives in our MBA Japan program and a PhD course in fixed income. 

Consulting

I have taught extensively in executive programs for McGill / IFM2, Stockholm School of Economics and the New York Institute of Finance. These seminars have mainly dealt with Derivatives and Securitization.

I have in the past worked on a consulting basis for a Swedish real estate investment firm, the Swedish National Debt Office. More recently I was involved in the marking to model of a large portfolio of structured credit products for a Canadian pension fund. Currently I consult for KPMG on derivatives and a Swedish law firm on structured FX notes.

Forasizo Inc. is the name of my firm.

Other

I serve on the research committee of IFM2, on the board of the new Institute for Structured Finance and Derivatives in Montreal as well as the steering committee of PRMIA’s Montreal Chapter.