Professor of Finance
Pierre Collin-Dufresne is a Professor at the Swiss Finance Institute of the École Polytechnique Fédérale de Lausanne.
He has published in leading academic journals such as Econometrica, The American Economic Review, and The Journal of Finance and won various research awards including Amundi Smith Breeden Prizes.
He has served as director of the American Finance Association, director of the Western Finance Association, associate editor for several leading finance journals, and has been a member of the Center of Economic Policy Research and of the National Bureau of Economic Research.
Before joining the SFI, he was the Carson Family Professor of Business at Columbia University. He previously held professorships at the Haas School of Business of UC Berkeley and at Carnegie Mellon University. Professor Collin-Dufresne also worked in the Quantitative Strategies group of Goldman Sachs Asset Management and as consultant for the Federal Reserve Bank of New York and the European Central Bank, as well as for Cornerstone Research.
Liquidity Regimes and Optimal Dynamic Asset Allocation forthcoming The Journal of Financial Economics, 2020 (with Kent Daniel and Mehmet Saglam).
Market Structure and Transaction Costs of Index CDSs forthcoming The Journal of Finance, 2020 (with Benjamin Junge and Anders Trolle).
Insider Trading, Stochastic Liquidity and Equilibrium Prices, Econometrica, 2016 (with Vyacheslav Fos)
Parameter Learning in General Equilibrium: Asset Pricing Implications American Economic Review, 2016. (with Michael Johannes and Lars Lochstoer).
On the Relative Pricing of Long Maturity Options and Collateralized Debt Obligations Journal of Finance 2012 (with Robert Goldstein and Fan Yang).
Portfolio Choice over the Life-Cycle when the Stock and Labor Markets are Cointegrated Journal of Finance 2007 (with Luca Benzoni and Robert Goldstein).
Do Bonds Span the Fixed-Income Markets? Theory and Evidence for Unspanned Stochastic Volatility Journal of Finance 2002 (with Robert Goldstein).
The Determinants of Credit Spreads Journal of Finance 2001 (with Robert Goldstein and Spencer Martin).
On The Term Structure of Default Premia in the Swap and Libor Market Journal of Finance 2001 (with Bruno Solnik).
“Is Credit-Event Risk Priced? Modeling Contagion Risk Via the Updating of Beliefs” 2003, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege.
“Generalizing the Affine Framework to HJM and Random Fields” 2002, Pierre Collin-Dufresne and Robert S. Goldstein.
What Drives Asset Prices In 2021 by Pierre Collin-Dufresne
Information Chasing Versus Adverse Selection by Gabor Pinter, Chaojun Wang and Junyuan Zou
Which Investors Drive Factor Returns? by Morad Elsaify
Marking To Market Corporate Debt by Lorenzo Bretscher, Peter Feldhutter, Andrew Kane, and Lukas Schmid
Monetary Policy Disconnect by Benedikt Ballensiefen, Angelo Ranaldo, and Hannah Winterberg
How integrated are Credit and Equity markets? Evidence from index options by Pierre Collin-Dufresne, Benjamin Junge and Anders Trolle
Informed Traders and Dealers in the FX Forward Market by Pierre Collin-Dufresne, Peter Hoffman and Sebastian Vogel
Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress by Zhiguo He, Paymon Khorrami and Zhaogang Song
Disastrous Defaults by C. Gourieroux, A. Monfort, S. Mouabbi and J.-P. Renne
Dynamic Asset Allocation with Transaction Costs:The Importance of Hedging Demands by Pierre Collin-Dufresne, Kent Daniel and Mehmet Saglam
Liquidity, Volume and Volatility by Vincent Bogousslavsky and Pierre Collin-Dufresne
A Unified Model of Distress Risk Puzzles by Zhiyao Chen, Dirk Hackbarth and Ilya Strebulaev
The FOMC Risk Shift by T. Kroenke, M. Schmeling and A. Schrimpf
Market Structure and Transaction Costs of Index Credit Default Swaps by Pierre Collin-Dufresne, Benjamin Junge and Anders Trolle
Private Equity Indices based on Secondary Market Transactions by Brian Boyer, Taylor Nadauld, Keith Vorkink and Michael Weisbach
The importance of Foreign shocks on Money Market Rates: Event Study Magnitude Restrictions by Roberto De Santis and Srecko Zimic
Contagion in the CDS Market by Mark Paddrik and Sriram Rajan and H. Peyton Young
Deviations from Covered Interest Rate Parity by Wenxin Du, Alexander Tepper and Adrian Verdelhan
Volume, Volatility, and Public News Announcements by Tim Bollerselev, Jia Li and Yuan Xue
Payments, Credit, and Asset Prices by Monika Piazzesi and Martin Schneider
Monetary policy and bank equity values in a time of low interest rates by Miguel Ampudia and Skander van den Heuvel
Debt, Information, and Illiquidity by Efraim Benmelech and Nittai Bergman
Deflation, Sticky Leverage and Asset Prices by Harjoat Bhamra, Christian Dorion, Alexandre Jeanneret, and Michael Weber
2006 – 2016
Decomposing the Yield Curve by John H Cochrane and Monika Piazzesi
The Impact of the Credit Crunch on Quant Investing by Pierre Collin-Dufresne
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds by Campbell, Sunderam and Viceira
Economic Catastrophe Bonds by Coval, Jurek and Stafford
A preferred-Habitat Model of the Term structure of interest rates by Dimitri Vayanos and Jean-Luc Vila
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms, by Benjamin Zhang, Hao Zhou and Haibin Zhu
An empirical analysis of the pricing of collateralized Debt obligation by Francis Longstaff and Arvind Rajan
Alternative (?) Perspective on Fixed Income Markets by Pierre Collin-Dufresne
Notes on Bonds: Liquidity at all Costs in the Great Recession, by David Musto, Greg Nini and Krista Schwarz
Liquidity Premium in the Eye of the beholder: An Analysis of the Clientele Effect in the Corporate Bond Market by Jing-Zhi Huang, Zhengshen Sun, Tong Yao and Tong Yu
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility by Pierre Collin-Dufresne, Robert Goldstein and Christopher Jones
Do Central Bank Liquidity Operations Affect Interbank Lending Rates? by Jens Christensen, Jose Lopez and Glenn Rudebusch
Modeling Commodity Futures: Reduced Form vs. Structural Models by Pierre Collin-Dufresne
Humpbacks in Credit Spreads by Deepak Agrawal and John Bohn
On the Relation Between Credit Spread Puzzles and the Equity Premium Puzzle by Long Chen, Pierre Collin-Dufresne and Robert Goldstein
Gold, Platinum and Expected Stock Returns by Darien Huang
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads by Barry Eichengreen, Ashoka Mody, Milan Nedeljkovic and Lucio Sarno
Hedging in Fixed Income Markets by Malkhozov, Mueller, Vedolin and Venter
Anticipated and Repeated Shocks in Liquid Markets by Dong Lou, Hongjun Yan and Jinfan Zhang
Optimal Option Portfolio Strategies by Jose Afonso Faias and Pedro Santa-Clara
Quantifying Liquidity and Default Risks of Corporate bonds over the Business Cycle by Chen, Cui, He, and Milbradt
Liquidity and Liquidity Risk in the cross-section of stock returns by Volodymyr Vovchak
CDS Auctions by Michael Chernov, Alexander Gorbenko and Igor Makarov
Credit and Liquidity in Interbank Rates: A Quadratic Approach by Simon Dubecq, Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
The Cross section of Credit Risk Premia and Equity returns by Nils Friedwalkd, Christian Wagner and Josef Zechner
Carry by Ralph Koijen, Tobias Moskowitz, Lasse Pedersen and Ewert Vrugt
Short selling activity and waiting games by Francesco Franzoni, Massimo Massa and Carlo Sommavilla
Dynamic Dependence and diversification in Corporate Credit by Peter Christoersen, Kris Jacobs, Xisong Jin and Hugues Langlois
Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs by Pierre Collin-Dufresne, Robert Goldstein and Jean Helwege
On The Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches by Pierre Collin-Dufresne, Robert Goldstein and Fan Yang
Introductory Finance (Undergraduate)
Information and Asset Pricing (PhD)
Theory of Financial Economics (PhD)
Credit derivatives (Masters in Financial Engineering)
Advanced Derivatives (MBA)
Continuous Time Finance (PhD)
Advanced Debt Markets (Master in Computational Finance)
Term Structure Theory and Credit Derivatives (Master in Computational Finance)
Futures, Options and Other Derivatives (MBA)
Applied Stochastic Calculus for Finance (Master in Financial Engineering)
PhD (Finance), HEC School of Management, Paris, France
Master in Mathematical Economics, EHESS, Paris, France
Master in Business, HEC School of Management, Paris, France