Redouane Elkamhi

Associate Professor of Finance
PhD Coordinator, Finance Area

Degrees:

PhD, McGill University
MBA, École Nationale des Ponts et Chaussées
Electrical Engineer, École Hassania des Travaux Publics

Email:

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Bio

Redouane Elkamhi is an Associate Professor of Finance at Rotman and the PhD Coordinator for the Finance Area. His research is focused on theoretical and empirical asset pricing. His recent work has been published in leading finance journals. He teaches in specialized programs such as Master of Finance, Master of Financial Risk Management as well as MBA, PhD, and undergraduate programs. Since 2014, he has spearheaded research work and seminars in blockchain technologies, token economics, and decentralized finance. He is also affiliated with the Rotman Financial Innovation Hub.

Academic Positions

2022-

PhD Coordinator, Finance Area, Rotman School of Management
2017 -

Associate Professor, Rotman School of Management, University of Toronto
2011 - 2017

Assistant Professor, Rotman School of Management, University of Toronto
2008 - 2011

Assistant Professor, Tippie Business School, The University of Iowa

Non-Academic Positions

1998 - 2003

Electrical Engineer, ONA/Alwataniya

Selected Publications - Papers

Global Equity Correlation in International Markets

with J. Bae

Management science, forthcoming

2021
Bridging the Gap between Strategic Allocation and Investment Risk

with J. Lee and S. Sadik

Journal of Portfolio Management

2021
Factor Investing using Capital Market Assumptions

with J. Lee and M. Salerno

R&R at Journal of Portfolio Management

2021
Portfolio Tilts using Views on Macroeconomic Regimes

with J. Lee and M. Salerno

Working paper

2021
When Are Financial Covenants Relevant?

with S. Davydenko and M. Salerno

Working paper

2021
A One-Factor Model of Corporate Bond Premia

with C. Jo and Y. Nozawa

Working paper

2021
Measuring State-level Economic Policy Uncertainty with News Media across the U.S. States

with C. Jo and M. Salerno

Working paper

2021
How Large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic

with M. Salerno

Working paper

2021
Fire-Sale Risk in the Leveraged Loan Market

with Y. Nozawa

R&R at Journal of Financial Economics

2020
A Benchmark for Collateralized Loan Obligations

with R. Li and Y. Nozawa

Working paper

2020
Business Cycles and the Bankruptcy Code: A Structural Approach

with Y. Nozawa and M. Salerno

Working paper

2020
Non-fundamental Uncertainty in Crypto-assets on Public Blockchains

with S. Ersoy

Working paper

2020
The Composition of Market Participants and Asset dynamics

with C. Jo

Working paper

2020
Countercyclical Stockholders’ Consumption Risk and Tests of Conditional CCAPM

with C. Jo

Working paper

2020
The Jury is Still Out On the Performance of Naive Diversification (1/N rule)

with C. Jo and M. Salerno

Working paper

2020
The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

with J. Bae and M. Simutin

Journal of Finance

2019
Time‐Varying Asset Volatility and the Credit Spread Puzzle

with D. Du and J. Ericsson

Journal of Finance

2019
The Term Structure of Expected Recovery Rates

with H. Doshi and C. Ornthanalai

Journal of Financial and Quantitative Analysis

2018
Rare Disasters, Credit, and Option Market Puzzles

with P. Christoﬀersen and D. Du

Management Science

2017
Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite Loans

with M. Billett, L. Popov, and R. Pungaliya

Journal of Financial and Quantitative Analysis

2016
Reputation and Loan Contract Terms: The Role of Principal Customers

with L. Cen, S. Dasgupta, and R. Pungaliya

Review of Finance

2016
Managerial Activeness and Mutual Fund Performance

with H. Doshi and M. Simutin

Review of Asset Pricing Studies

2015
The influence of investor identity and contract terms on firm value: Evidence from PIPEs

with M. Billett and I. Floros

Journal of Financial Intermediation

2015
Dynamic Hedging and Extreme Asset Co-movements

with D. Stefanova

Review of Financial Studies

2015
Bank Loan Price Reactions to Corporate Events: Evidence from Traded Syndicated Loans

with M. Billett, D. Mauer, and R. Pungaliya

Working paper

2015
Accounting Quality and Financial Covenants in Loan Contracts

with L. Popov and R. Pungaliya

Working paper

2015
What Do Credit Markets Tell Us About the Speed of Leverage Adjustment?

with R. Pungaliya and A. Vijh

Management Science

2014
The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

with K. Jacobs and X. Pan

Journal of Financial and Quantitative Analysis

2014
The Cost and Timing of Financial Distress

with J. Ericsson and C. Parsons

Journal of Financial Economics

2012
What Risks Do Corporate Bond Put Features Insure Against?

with J. Ericsson and H. Wang

Journal of Futures Markets

2012
Learning About Rare Economic Disasters and Asset Prices

with D. Du

Working paper

2012
Option Valuation with Conditional Heteroskedasticity and Nonnormality

with P. Christoﬀersen, B. Feunou, and K. Jacobs

Review of Financial Studies

2010
Time Varying Default Risk Premia in Corporate Bond Markets

with H. Doshi and J. Ericsson

R&R (2nd round) at Management Science

2008

Research and Teaching Interests

Theoretical and empirical asset pricing with special interests in credit and option markets.

Honors and Awards

2021

The Shimomura Fellowship, Development Bank of Japan (DBJ)
2020

Research Grant from the Pacific Center for Asset Management (PCAM), UC San Diego
2020

Honourable Mention from the International Centre for Pension Management,
2019

The Roger Martin Excellence in Research Award,
2016

SSHRC Insight Grant,
2016

Best Paper Award, Review of Asset Pricing Studies
2016

2nd Best Paper Award, French Finance Association (AFFI) Meetings
2009- 2011

Old Gold, University of Iowa
2010

Junior Faculty Research Award, University of Iowa
2010

Best Paper Award, HEC/IFM2 Conference, HEC, Montreal
2008

Best Paper Award, Global Association of Risk Professionals (GARP)

Redouane Elkamhi