Georges Dionne

HEC Montreal - Department of Finance

Canada Research Chair in Risk Management

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

http://www.hec.ca/gestiondesrisques/

  • HEC Montreal - Department of Finance

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    • Tel: 514-340-6596
    • Fax: 514-340-5019
SCHOLARLY PAPERS

126

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132

Scholarly Papers (126)

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1.

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge for the Board and the Audit Committee

Downloads 7,164 ( 1,557)
Citation 4

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge for the Board and the Audit Committee

Risk Management and Insurance Review 22, 247-277 2019
Number of pages: 53 Posted: 07 Jun 2005 Last Revised: 11 Jan 2023
Georges Dionne and Thouraya Triki
HEC Montreal - Department of Finance and HEC Montreal
Downloads 5,486 (2,393)

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Corporate governance, risk management, corporate hedging, financial knowledge, board independence, audit committee independence, board of directors, university education, empirical test, unrelated directors, NYSE rules, Sarbanes Oxley act, audit committee size, financially educated directors

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge for the Board and the Audit Committee

Number of pages: 50 Posted: 14 Jan 2012
Georges Dionne and Thouraya Triki
HEC Montreal - Department of Finance and HEC Montreal
Downloads 1,678 (16,841)
Citation 3

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risk management, corporate governance, financial knowledge

2.

Risk Management: History, Definition and Critique

Risk Management and Insurance Review 16, 2, 147-166, 2013
Number of pages: 34 Posted: 11 Mar 2013 Last Revised: 18 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 5,724 (2,247)
Citation 13

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History risk management, risk management and financial crisis, regulation, Basel Accords, banking

3.

Risk Management and Corporate Governance

Risk, vol. 17, no 5, p. S19-S-21, 2004
Number of pages: 8 Posted: 20 Oct 2003 Last Revised: 11 Jan 2023
Danielle Blanchard and Georges Dionne
Venture Capital Consultant and HEC Montreal - Department of Finance
Downloads 4,599 (3,349)
Citation 3

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governance, risk management, stock options, board of directors, Enron, independent director

4.

Banks' Capital, Securitization and Credit Risk: An Empirical Evidence for Canada

Insurance and Risk Management, vol. 75(4), January 2008, 459-485
Number of pages: 37 Posted: 11 Mar 2003 Last Revised: 14 May 2014
Georges Dionne and Tarek M. Harchaoui
HEC Montreal - Department of Finance and Statistics Canada - Microeconomic Analysis Division
Downloads 2,467 (9,305)
Citation 29

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Securitization, Credit Risk, Capital Regulation, Basel Committee, Banks' Regulation

5.

The Foundations of Banks' Risk Regulation: A Review of the Literature

Downloads 1,846 (14,812)
Citation 5

The Foundations of Banks' Risk Regulation: A Review of the Literature

HEC Montreal Working Paper No. 03-08
Number of pages: 42 Posted: 30 Dec 2003
Georges Dionne
HEC Montreal - Department of Finance
Downloads 1,155 (29,571)

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Bank, liquidity, deposit insurance, capital standard, national regulation, credit risk, capital regulation, subordinated debt, governance, capital requirement, central bank, regulatory agency.

The Foundations of Banks' Risk Regulation: A Review of the Literature

The Evolving Financial System and Public Policy, Proceedings of a Bank of Canada Conference, 177-215, 2004
Number of pages: 43 Posted: 15 Jan 2004 Last Revised: 11 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 691 (60,154)
Citation 7

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Bank, liquidity, deposit insurance, capital standard, national regulation, credit risk, capital regulation, subordinated debt, governance, capital requirement, central bank, regulatory agency

6.

The Costs and Benefits of Reinsurance

Geneva Papers on Risk and Insurance – Issues and Practice 46, 177-199, mars 2021
Number of pages: 33 Posted: 11 Jun 2008 Last Revised: 05 Jan 2023
J David Cummins, Georges Dionne, Robert Gagné and Abdelhakim Nouira
Temple University - Risk Management & Insurance & Actuarial Science, HEC Montreal - Department of Finance, HEC Montreal - Institute of Applied Economics and HEC Montreal - Department of Finance
Downloads 1,664 (17,368)
Citation 24

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Reinsurance, insolvency risk, risk management, financial intermediation, cost function, panel data.

7.

Book Review of Risk Management

Downloads 1,475 (20,914)

Book Review of Risk Management

HEC Working Paper No. 02-03
Number of pages: 11 Posted: 20 Feb 2003
Georges Dionne and Hela Dahen
HEC Montreal - Department of Finance and Ecole des Hautes Etudes Commerciales de Montreal (HEC)
Downloads 1,475 (20,533)
Citation 1

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Book Review of Risk Management

Posted: 20 Feb 2003
Georges Dionne and Hela Dahen
HEC Montreal - Department of Finance and Ecole des Hautes Etudes Commerciales de Montreal (HEC)

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8.

On Risk Management Determinants: What Really Matters?

European Journal of Finance 19, 2, 145-164, 2013
Number of pages: 38 Posted: 28 Jun 2004 Last Revised: 11 Jan 2023
Georges Dionne and Thouraya Triki
HEC Montreal - Department of Finance and HEC Montreal
Downloads 1,442 (21,648)
Citation 18

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Risk management determinants, corporate hedging, capital structure, managerial risk aversion, gold price, tax incentive, minimum distance estimator, panel data, Tobit, corporate governance.

9.

Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Journal of Empirical Finance, Vol. 16, No. 5, 2009
Number of pages: 39 Posted: 08 Dec 2005 Last Revised: 05 Jan 2023
Georges Dionne, Pierre Duchesne and Maria Pacurar
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads 1,272 (26,056)
Citation 9

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Value at Risk, tick-by-tick data, UHF-GARCH models, intraday market risk, high-frequency models, intraday Monte Carlo simulation, Intraday Value at Risk

10.

Gestion des Risques: Histoire, Définition et Critique (Risk Management: History, Definition and Criticism)

Insurance and Risk Management 81, 1-2, 19-46, March-April 2013
Number of pages: 22 Posted: 09 Jan 2013 Last Revised: 18 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 1,203 (28,336)

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Risk management, derivatives, regulation, financial crisis, insurance market, self-protection, self-insurance, governance

11.

Optimal Auditing for Insurance Fraud

Management Science 55, 58-70, 2009
Number of pages: 43 Posted: 25 Sep 2003 Last Revised: 11 Jan 2023
Georges Dionne, Florence Giuliano and Pierre Picard
HEC Montreal - Department of Finance, AGF Group and Ecole Polytechnique, Paris - Department of Economic Sciences
Downloads 1,009 (36,405)
Citation 8

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Optimal audit, scoring methodology, insurance fraud, red flags strategy, fraud indicators, suspicion index, morale cost of fraud

12.

Structured Finance, Risk Management, and the Recent Financial Crisis

Ivey Business Journal, November-December 2009
Number of pages: 5 Posted: 16 Oct 2009 Last Revised: 05 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 980 (37,901)
Citation 4

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structured finance, risk management, financial crisis, collateral debt obligation (CDO), asset back commercial paper (ABCP), rating, pricing, securitization, regulation of financial markets

13.

Book Review of Credit Risk: Pricing, Measurement, and Management

Canada Research Chair in Risk Management Working Paper No. 04-06, Journal of Risk and Insurance 72, 1, 177-182, 2005
Number of pages: 6 Posted: 08 Oct 2004 Last Revised: 05 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 940 (40,214)
Citation 2

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Credit risk, pricing, measurement, management

14.

Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France

Downloads 828 (47,952)
Citation 20

Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France

Canada Research Chair in Risk Management Working Paper No. 04-05
Number of pages: 47 Posted: 01 Sep 2004
Georges Dionne, Pierre-Carl Michaud and Maki Dahchour
HEC Montreal - Department of Finance, University of Quebec at Montreal (UQAM) - Department of Economics and Aviva Canada - National Personal Lines
Downloads 591 (73,679)
Citation 17

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Automobile insurance, road safety, asymmetric information, experience rating, moral hazard, adverse selection, dynamic panel data models, Granger causality test

Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France

Journal of the European Economic Association 11, 4, 897-917, 2013
Number of pages: 50 Posted: 08 Sep 2010 Last Revised: 13 Jan 2023
Georges Dionne, Pierre-Carl Michaud and Maki Dahchour
HEC Montreal - Department of Finance, University of Quebec at Montreal (UQAM) - Department of Economics and Aviva Canada - National Personal Lines
Downloads 237 (206,172)
Citation 7

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Moral hazard, adverse selection, learning, dynamic insurance contracting, panel data, empirical test

15.

Development of an Expert System for the Automatic Detection of Automobile Insurance Fraud

Geneva Papers on Risk and Insurance Issues and Practice, 25, 4, 517-538, 2000
Number of pages: 66 Posted: 06 Oct 1998 Last Revised: 11 Jan 2023
El-Bachir Belhadji and Georges Dionne
Consulting and Audit Canada and HEC Montreal - Department of Finance
Downloads 747 (54,945)
Citation 9

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16.

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge

Downloads 731 (56,608)

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge

Number of pages: 66 Posted: 14 Mar 2012 Last Revised: 11 Mar 2013
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 582 (74,991)
Citation 4

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Risk management, hedging using derivatives, SOX and NYSE regulations, university education of directors, firm performance

Risk Management and Corporate Governance: The Importance of Independence and Financial Knowledge

Number of pages: 64 Posted: 12 Jun 2012
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 149 (313,313)
Citation 2

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Corporate governance, risk management, Sarbanes Oxley act, university education

17.

Risk Classification in Insurance Contracting

Number of pages: 51 Posted: 12 Nov 2011 Last Revised: 22 Aug 2012
Georges Dionne and Casey Rothschild
HEC Montreal - Department of Finance and Wellesley College
Downloads 627 (69,153)
Citation 1

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Adverse selection, Classification risk, Diagnostic test, Empirical test of asymmetric information, Financial equity, Insurance rating, Insurance pricing, Moral hazard, Risk classification, Risk characteristic, Risk pooling, Risk separation, Social equity

18.

Corporate Risk Management and Dividend Signaling Theory

Finance Research Letters, Vol. 8, No. 4, 2011
Number of pages: 9 Posted: 01 Feb 2010 Last Revised: 05 Jan 2023
Georges Dionne and Karima Ouederni
HEC Montreal - Department of Finance and HEC Montreal
Downloads 600 (73,019)

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Signaling theory, Dividend policy, Risk management policy, Corporate hedging, Information asymmetry

19.

Does Asymmetric Information Affect the Premium in Mergers and Acquisitions?

Canadian Journal of Economics 48, 3, 819-852, 2015
Number of pages: 43 Posted: 13 Mar 2010 Last Revised: 17 Feb 2023
Georges Dionne, Mélissa La Haye and Anne-Sophie Bergerès
HEC Montreal - Department of Finance, Independent and Caisse de dépôt et placement du Québec
Downloads 598 (73,332)
Citation 7

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Asymmetric information, merger and acquisition, blockholder, premium, English auction, test for over-identifying restriction (Sargan test), test for endogeneity (Durbin-Wu-Hausman test)

20.

Detecting Regime Shifts in Credit Spreads

Journal of Financial and Quantitative Analysis, 49, 5/6, 1339-1364, 2014
Number of pages: 84 Posted: 16 Jun 2008 Last Revised: 05 Jan 2023
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 592 (74,583)
Citation 3

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Credit spread regimes, level regimes, volatility regimes, credit cycle, economic cycle, monetary effect, credit supply effect

21.

Default Risk in Corporate Yield Spreads

Canada Research Chair in Risk Management Working Paper No. 05-08, Financial Management 39, 2, 707-731, 2010
Number of pages: 36 Posted: 08 Nov 2010 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 560 (79,646)
Citation 3

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Corporate yield spread, default risk, estimation period, generator, recovery rate, data filtration, confidence intervals

22.

Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities

Journal of Productivity Analysis 32, 2, 145-159, 2009
Number of pages: 48 Posted: 10 May 2006 Last Revised: 05 Jan 2023
Georges Dionne, J David Cummins, Robert Gagné and Abdelhakim Nouira
HEC Montreal - Department of Finance, Temple University - Risk Management & Insurance & Actuarial Science, HEC Montreal - Institute of Applied Economics and HEC Montreal - Department of Finance
Downloads 551 (81,274)
Citation 5

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Risk management, US property-liability insurer, risk pooling, financial intermediation, economic efficiency, intermediate output, shadow price, cost function, translog approximation

23.

Scaling Models for the Severity and Frequency of External Operational Loss Data

Journal of Banking and Finance, Vol. 34, No. 7, 2010
Number of pages: 47 Posted: 24 Jan 2007 Last Revised: 05 Jan 2023
Hela Dahen and Georges Dionne
Ecole des Hautes Etudes Commerciales de Montreal (HEC) and HEC Montreal - Department of Finance
Downloads 539 (83,521)
Citation 10

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Operational risk in banks, scaling, severity distribution, frequency distribution, truncated count data regression models

24.

How Do Firms Hedge Risks? Empirical Evidence from U.S. Oil and Gas Producers

Energy Economics, Vol. 63, No. 1, 2017
Number of pages: 74 Posted: 07 Apr 2013 Last Revised: 05 Jan 2023
Mohamed Mnasri, Georges Dionne and Jean-Pierre Gueyie
University of Quebec at Montreal (UQAM), HEC Montreal - Department of Finance and University of Quebec in Montreal-Department of Finance
Downloads 516 (88,175)
Citation 2

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Risk management, derivative choice, hedging strategy, oil and gas industry

25.

The Profitability of Lead-Lag Arbitrage at High-Frequency

Number of pages: 53 Posted: 30 Sep 2022
Cédric Poutré, Georges Dionne and gabriel yergeau
University of Montreal - Department of Mathematics and Statistics, HEC Montreal - Department of Finance and HEC Montréal,
Downloads 514 (88,592)

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Lead-lag relationship, High-frequency trading, Statistical arbitrage, Limit order book, Cross-listed stocks, Econometric models.

26.

Determinants of Canadian Banks Securitization Activity

Cahier de Recherche No. 02-04
Number of pages: 34 Posted: 05 Feb 2003
Georges Dionne, Tarek M. Harchaoui and Rachid Aqdim
HEC Montreal - Department of Finance, Statistics Canada - Microeconomic Analysis Division and Societe Canadienne d'Hypotheques et de Logement
Downloads 509 (89,654)

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Securitization, capital ratio, statistical analysis, Basel Accord, bank regulation

27.

Heterogeneous Basket Options Pricing Using Analytical Approximations

Downloads 493 (93,207)
Citation 2

Heterogeneous Basket Options Pricing Using Analytical Approximations

Multinational Finance Journal, 2011, vol. 15 no. 1/2, pp. 47-85
Number of pages: 24 Posted: 27 Feb 2006 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 452 (102,340)
Citation 4

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Basket Options, Options Pricing, Analytical Approximations, Monte Carlo Simulation

Heterogeneous Basket Options Pricing Using Analytical Approximations

Multinational Finance Journal, Vol. 15, No. 1/2, p. 47-85, 2011
Number of pages: 39 Posted: 25 Jun 2015
Georges Dionne, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 41 (679,560)
Citation 1

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Basket Options; Options Pricing; Analytical Approximations; Monte Carlo Simulation

28.

International High-Frequency Arbitrage for Cross-Listed Stocks

Downloads 447 (104,717)

International High-Frequency Arbitrage for Cross-Listed Stocks

Number of pages: 90 Posted: 22 Jul 2021 Last Revised: 19 Sep 2022
Cédric Poutré, Georges Dionne and Gabriel Yergeau
University of Montreal - Department of Mathematics and Statistics, HEC Montreal - Department of Finance and University of Montreal
Downloads 361 (132,870)

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Latency arbitrage, high-frequency trading, cross-listed stocks, mean-reverting arbitrage, international arbitrage, supervised machine learning

International High-Frequency Arbitrage for Cross-Listed Stocks

Number of pages: 58 Posted: 26 Mar 2022
Georges Dionne, Cédric Poutré and gabriel yergeau
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and HEC Montréal,
Downloads 86 (467,104)

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Latency arbitrage, High-Frequency Trading, cross-listed stocks, mean-reverting arbitrage, international arbitrage, supervised machine learning.

29.

The impact of central clearing on the market for single-name credit default swaps

Number of pages: 58 Posted: 12 May 2018 Last Revised: 15 Dec 2020
Mohamed-Ali Akari, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne
HEC Montreal, University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 431 (109,382)
Citation 3

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Credit default swaps, central clearing, counterparty risk, liquidity, trading activity, bond default spread, difference-in-differences, parallel trend.

30.

Default Risk, Default Risk Premiums, and Corporate Yield Spreads

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 01 Mar 2006
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 416 (113,984)
Citation 1

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Corporate yield spread, default risk, default risk premium, credit spread level puzzle, macroeconomic risk premium

31.

Asymmetric Effects of the Limit Order Book on Price Dynamics

Number of pages: 74 Posted: 02 Dec 2016 Last Revised: 07 Dec 2021
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 408 (116,889)

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Limit order book slope, Hasbrouck model, High-frequency trading, Asymmetric price impact, Patient traders.

32.

Credit Spread Changes within Switching Regimes

Journal of Banking and Finance, Vol. 49, No. 1, 2014
Number of pages: 48 Posted: 12 Feb 2009 Last Revised: 05 Jan 2023
Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Pascal Francois
Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 408 (116,563)
Citation 1

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Credit spread, Markov switching regimes, market risk, liquidity risk, default risk, credit cycle, NBER economic cycle.

33.

Consolidation and Value Creation in the Insurance Industry: The Role of Governance

Journal of Banking and Finance, Vol. 32, No. 1, 2008
Number of pages: 45 Posted: 15 Jun 2006 Last Revised: 05 Jan 2023
Georges Dionne, Narjess Boubakri and Thouraya Triki
HEC Montreal - Department of Finance, American University of Sharjah - School of Business and Management and HEC Montreal
Downloads 407 (116,889)
Citation 3

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Merger and acquisition, property-liability insurance, governance, value creation, performance of bidders

34.

Determinants of Insurers' Performance in Risk Pooling, Risk Management, and Financial Intermediation Activities

Number of pages: 36 Posted: 25 May 2007
Georges Dionne, Robert Gagné, Abdelhakim Nouira and J David Cummins
HEC Montreal - Department of Finance, HEC Montreal - Institute of Applied Economics, HEC Montreal - Department of Finance and Temple University - Risk Management & Insurance & Actuarial Science
Downloads 385 (124,541)
Citation 3

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Risk pooling, risk management, financial intermediation, property-liability insurance, efficiency, agency costs.

35.

New Evidence on the Determinants of Absenteeism Using Linked Employer-Employee Data

Downloads 384 (124,905)

New Evidence on the Determinants of Absenteeism Using Linked Employer-Employee Data

Industrial and Labor Relations Review 61, 1, 108-120, 2007
Number of pages: 35 Posted: 14 Jun 2005 Last Revised: 11 Jan 2023
Georges Dionne and Benoit Dostie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 384 (123,856)
Citation 3

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Absenteeism, linked employer-employee data, unobserved heterogeneity, count data models

New Evidence on the Determinants of Absenteeism Using Linked Employer-Employee Data

Industrial and Labor Relations Review, Vol. 61, No. 1, 2007
Posted: 14 May 2011
Georges Dionne and Benoit Dostie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics

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absenteeism

36.

An Extension of the Consumption-Based CAPM Model

Number of pages: 42 Posted: 08 Mar 2012 Last Revised: 01 Oct 2012
Georges Dionne, Jingyuan Li and Cedric Okou
HEC Montreal - Department of Finance, Lingnan University - Department of Finance and Insurance and University of Quebec at Montreal (UQAM)
Downloads 363 (133,051)
Citation 7

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Consumption-based CAPM, Risk premium, Equity premium puzzle, Expectation dependence, Ross risk aversion

37.

The Value of a Statistical Life: A Meta-Analysis with a Mixed Effects Regression Model

Journal of Health Economics, Vol. 28, No. 2, 2009
Number of pages: 59 Posted: 20 Dec 2006 Last Revised: 05 Jan 2023
Georges Dionne, François Bellavance and Martin Lebeau
HEC Montreal - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 336 (144,733)
Citation 8

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Value of a statistical life, meta-analysis, mixed effects regression model, hedonic wage method, risk

38.

What about Underevaluating Operational Value at Risk in the Banking Sector?

Number of pages: 45 Posted: 14 Sep 2007
Georges Dionne and Hela Dahen
HEC Montreal - Department of Finance and Ecole des Hautes Etudes Commerciales de Montreal (HEC)
Downloads 332 (146,605)
Citation 4

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Operational risk in banks, severity distribution, frequency distribution, operational VaR, operational risk measurement.

39.

Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management: An Application to Data from Deutsche Börse

Journal of Banking and Finance, Vol. 59, No. 1, 2015
Number of pages: 51 Posted: 21 Feb 2014 Last Revised: 05 Jan 2023
Georges Dionne, Maria Pacurar and Xiaozhou Zhou
HEC Montreal - Department of Finance, Dalhousie University - Rowe School of Business and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 321 (151,950)

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Liquidity-adjusted Intraday Value at Risk, Tick-by-tick data, Log-ACD-VARMA-MGARCH, Ex-ante Liquidity premium, Limit Order Book

40.

Insurance and Insurance Markets

Handbook of the Economics of Risk and Uncertainty, 1st Edition, W.K. Viscusi and M. Machina (Eds.), North Holland, Amsterdam, 203-261, 2014
Number of pages: 69 Posted: 03 Apr 2017 Last Revised: 11 Jan 2023
Georges Dionne and Scott E. Harrington
HEC Montreal - Department of Finance and University of Pennsylvania - Wharton School
Downloads 316 (154,474)
Citation 1

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Insurance, Insurance Market, Risk Sharing, Moral Hazard, Adverse Selection, Demand for Insurance, Financial Pricing of Insurance, Price Volatility, Insurance Regulation, Capital Regulation, Securitization, Insurance-Linked Security, Organization Form, Governance of Insurance Firms

41.

Statistical Analysis of Value-of-Life Estimates Using Hedonic Wage Method

Risk Management Chair, HEC Montreal Working Paper No. 02-01
Number of pages: 30 Posted: 06 Feb 2003
Georges Dionne and Pierre-Carl Michaud
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - Department of Economics
Downloads 314 (155,532)
Citation 4

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value-of-life, willingness to pay, probability of death, estimate, methodology

42.

The Role of Memory in Long-Term Contracting with Moral Hazard: Empirical Evidence in Automobile Insurance

Number of pages: 61 Posted: 04 Aug 2005
Georges Dionne, Mathieu Maurice, Jean Pinquet and Charles Vanasse
HEC Montreal - Department of Finance, HEC Montréal, Université Paris X Nanterre and TD Asset Management
Downloads 290 (169,031)
Citation 21

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Memory, long-term contracting, moral hazard, empirical evidence, automobile

43.

Risk Classification and Health Insurance

Encyclopedia of Health Economics vol 3, 272-280, 2014
Number of pages: 16 Posted: 23 Aug 2012 Last Revised: 05 Jan 2023
Georges Dionne and Casey Rothschild
HEC Montreal - Department of Finance and Wellesley College
Downloads 280 (175,371)
Citation 1

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Adverse selection, Classification risk, Distributional equity, Empirical test, Ex-ante efficiency, Financial equity, Group equity, Horizontal equity, Insurance rating, Interim efficiency, Moral hazard, Risk characteristic, Risk classification, Risk pooling, Risk separation, Social Equity

44.

How to Make a Public Choice About the Value of a Statistical Life: The Case of Road Safety

Journal of Transport Economics and Policy 38, 2, 247-274, 2004
Number of pages: 35 Posted: 16 Jan 2003 Last Revised: 11 Jan 2023
Georges Dionne and Paul Lanoie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 276 (177,975)
Citation 4

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Value of a statistical life, estimate, transportation, road safety, cost-benefit analysis

45.

Effects of the Limit Order Book on Price Dynamics

Number of pages: 45 Posted: 14 Nov 2014
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 271 (181,211)
Citation 1

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Vector Autoregressive model, Ultra High Frequency data, Limit Order Book, Trading strategy

46.

Securitization and Optimal Retention Under Moral Hazard

Journal of Mathematical Economics, Vol. 55, No. 1, 2014
Number of pages: 13 Posted: 15 Apr 2012 Last Revised: 05 Jan 2023
Sara Malekan and Georges Dionne
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 266 (184,674)
Citation 6

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Securitization, optimal retention, moral hazard, principal-agent model, default, screening, monitoring

47.

On the Determinants of the Implied Default Barrier

Downloads 260 (188,928)
Citation 3

On the Determinants of the Implied Default Barrier

Number of pages: 44 Posted: 16 Feb 2009
Georges Dionne and Sadok Laajimi
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 140 (329,466)
Citation 1

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Barrier option, Default barrier, Bankruptcy prediction, Maximum likelihood estimation, Strategic default

On the Determinants of the Implied Default Barrier

Journal of Empirical Finance, Vol. 19, No. 3, 2012
Number of pages: 44 Posted: 14 Mar 2009 Last Revised: 05 Jan 2023
Georges Dionne and Sadok Laajimi
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 120 (370,903)

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Barrier option, default barrier. bankruptcy prediction, maximum likelihood estimation, strategic default, liquidity shortage

48.

Estimation of the Default Risk of Publicly Traded Canadian Companies

Canadian Journal of Administrative Sciences 25, 2, 134-152, 2008
Number of pages: 50 Posted: 17 Apr 2006 Last Revised: 05 Jan 2023
Georges Dionne, Sadok Laajimi, Sofiane Mejri and Madalina Petrescu
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 256 (191,846)
Citation 4

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Default risk, public firm, structural model, reduced form model, hybrid model, probit model, Toronto Stock Exchange, correlations between default probabilities

49.

Adverse Selection in Insurance Contracting

Handbook of Insurance, Second Edition, 231-280, 2014
Number of pages: 74 Posted: 22 Aug 2012 Last Revised: 05 Jan 2023
Georges Dionne, Nathalie Fombaron and Neil A. Doherty
HEC Montreal - Department of Finance, Université Paris X Nanterre and University of Pennsylvania - Insurance & Risk Management Department
Downloads 228 (214,847)
Citation 15

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Adverse selection, insurance markets, monopoly, competitive contracts, self-selection mechanisms, single-period contracts, multi-period contracts, commitment, contract renegotiation, accident underreporting, risk categorization, participating contracts

50.

An Alternative Representation of the C-CAPM with Higher-Order Risks

Number of pages: 47 Posted: 02 Oct 2012 Last Revised: 06 Apr 2018
Georges Dionne, Jingyuan Li and Cedric Okou
HEC Montreal - Department of Finance, Lingnan University - Department of Finance and Insurance and University of Quebec at Montreal (UQAM)
Downloads 199 (243,729)

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C-CAPM, Expectation dependence, Higher-order risk, equity risk premium, variance risk premium

51.

A Theoretical Extension of the Consumption-Based CAPM Model

Number of pages: 27 Posted: 13 Dec 2010 Last Revised: 02 Jun 2011
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 196 (247,094)
Citation 2

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Consumption-Based CAPM, Risk Premium, Equity Premium Puzzle, Expectation Dependence, Ross risk aversion

52.

Comparative Mixed Risk Aversion: Definition and Application to Self-Protection and Willingness to Pay

Journal of Risk and Uncertainty 29, 3, 261-276, 2004
Number of pages: 17 Posted: 16 Apr 2003 Last Revised: 11 Jan 2023
Georges Dionne, Kais Dachraoui, Louis Eeckhoudt and Philippe Godfroid
HEC Montreal - Department of Finance, Statistics Canada, Facultes Universitaires Catholiques de Mons (FUCAM) and Facultes Universitaires Catholiques de Mons (FUCAM)
Downloads 194 (249,379)
Citation 1

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Mixed risk aversion, comparative mixed risk aversion, self-protection, willingness to pay, background risk

53.

Extremal Events in a Bank Operational Losses

Journal of Operational Risk, 5, 2, 63-78, 2010
Number of pages: 27 Posted: 28 Feb 2010 Last Revised: 05 Jan 2023
Hela Dahen, Georges Dionne and Daniel Zajdenweber
Ecole des Hautes Etudes Commerciales de Montreal (HEC), HEC Montreal - Department of Finance and affiliation not provided to SSRN
Downloads 190 (253,970)

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Bank operational loss, value at risk, Pareto distribution, insurance premium, extremal event

54.

Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche

The European Journal of Finance 19, 6, 518-553
Number of pages: 37 Posted: 26 Jul 2009 Last Revised: 05 Jan 2023
Shady Aboul-Enein, Georges Dionne and Nicolas A. Papageorgiou
HEC Montreal, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 186 (258,959)

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Collateralized Fund Obligation (CFO), hedge funds, structured finance, portfolio optimization, performance analysis, multivariate linear regression, systematic risk

55.

Basket Options on Heterogeneous Underlying Assets

Journal of Futures Markets 33, 4, 299-326, 2013
Number of pages: 30 Posted: 26 May 2009 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier and Nadia Ouertani
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and IESEG School of Management
Downloads 185 (260,179)
Citation 1

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basket options, maximum likelihood, hedging performance, options pricing, Monte Carlo simulation

56.

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Downloads 171 (278,747)
Citation 1

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Risks 2022, 10(11), 205; https://doi.org/10.3390/risks10110205
Number of pages: 19 Posted: 05 Apr 2019 Last Revised: 06 Jan 2023
Gilles Boevi Koumou and Georges Dionne
Université Laval - Département d'Économique and HEC Montreal - Department of Finance
Downloads 170 (280,256)
Citation 1

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portfolio theory; diversification measurement; correlation diversification; diversification ratio; portfolio variance; rank-dependent expected utility theory

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Risks 2022, 10(11), 205; https://doi.org/10.3390/risks10110205
Number of pages: 19 Posted: 21 Sep 2016 Last Revised: 05 Jan 2023
Gilles Boevi Koumou and Georges Dionne
Université Laval - Département d'Économique and HEC Montreal - Department of Finance
Downloads 1 (1,017,871)

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portfolio theory; diversification measurement; correlation diversification, diversification ratio; portfolio variance; rank-dependent expected utility theory

57.

Perception of the Risks Associated with Impaired Driving and Effects on Driving Behavior

Journal of Risk and Uncertainty 35, 3, 237-264, December 2007
Number of pages: 29 Posted: 22 Mar 2006 Last Revised: 11 Jan 2023
Georges Dionne, Claude Fluet and Denise Desjardins
HEC Montreal - Department of Finance, Université Laval and University of Montreal - Center for Research on Transportation
Downloads 171 (278,747)
Citation 1

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Risk perception, impaired driving, driving behavior, traffic violation, road accident, regulation, public policy

58.

The (1992) Bonus-Malus System in Tunisia: An Empirical Evaluation

Journal of Risk and Insurance 72, 4, 609-633, 2005
Number of pages: 28 Posted: 10 Nov 2003 Last Revised: 11 Jan 2023
Georges Dionne and Olfa Ghali
HEC Montreal - Department of Finance and Institut Supérieur de Gestion de Tunis
Downloads 164 (288,751)
Citation 1

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Road safety, automobile insurance rating, bonus-malus, Tunisia, road accidents, panel data, probit, negative binomial distribution, Poisson distribution, random effects

59.

The Maturity Structure of Corporate Hedging: The Case of the U.S. Oil and Gas Industry

Number of pages: 57 Posted: 23 Oct 2013 Last Revised: 18 Jan 2014
Mohamed Mnasri, Georges Dionne and Jean-Pierre Gueyie
University of Quebec at Montreal (UQAM), HEC Montreal - Department of Finance and University of Quebec in Montreal-Department of Finance
Downloads 163 (290,214)
Citation 1

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Risk management, maturity choice, early termination, economic effects, oil and gas industry

60.

Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

Swiss Finance Institute Research Paper No. 08-40
Number of pages: 56 Posted: 08 Dec 2008
Georges Dionne, Pascal St-Amour and Désiré Vencatachellum
HEC Montreal - Department of Finance, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and African Development Bank
Downloads 162 (291,751)
Citation 4

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Information Asymmetry, Adverse Selection, English Auction, Private Value, Slavery, Mauritius

61.

A Review of Recent Theoretical and Empirical Analyses of Asymmetric Information in Road Safety and Automobile Insurance

Research in Transportation Economics 43, 85-97, 2013
Number of pages: 43 Posted: 26 Jan 2012 Last Revised: 05 Jan 2023
Georges Dionne, Pierre-Carl Michaud and Jean Pinquet
HEC Montreal - Department of Finance, University of Quebec at Montreal (UQAM) - Department of Economics and Université Paris X Nanterre
Downloads 158 (297,984)
Citation 6

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Road safety, point-record driver's license, asymmetric information, road safety management, empirical test

62.

Book Review of the Theory of Corporate Finance

Journal of Risk and Insurance 78, 3, 791-793, 2011
Number of pages: 5 Posted: 16 Jun 2011 Last Revised: 05 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 150 (311,090)

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Corporate finance, corporate governance, ownership and control, managerial incentive, outsider incentive, stakeholder society

63.

The Calculation of the Statistical Value of Human Life (Le Calcul De La Valeur Statistique D'Une Vie Humaine) (French)

L’Actualité économique 86, 4, 487-530, 2010
Number of pages: 62 Posted: 12 Nov 2010 Last Revised: 05 Jan 2023
Georges Dionne and Martin Lebeau
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 149 (312,834)

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Value of Statistical Life, Meta-Analysis, Mixed Effects Regression Model, Hedonic Wage Method, Risk, Income Effect, Risk Aversion

64.

Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles

Working paper 04-07, Canada Research Chair on Risk Management, Astin Bulletin, 36, 1, 25-77, 2006
Number of pages: 67 Posted: 13 Oct 2004 Last Revised: 05 Jan 2023
Georges Dionne, Jean-François Angers, Denise Desjardins and François Guertin
HEC Montreal - Department of Finance, University of Montreal - Center for Research on Transportation, University of Montreal - Center for Research on Transportation and University of Montreal - Center for Research on Transportation
Downloads 146 (317,901)
Citation 4

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Fleet of vehicles, random effects, vehicle effect, fleet effect, insurance rating, behaviors of owners and drivers, Poisson, gamma, Dirichlet, parametric model

65.

Is There Any Dependence between Consumer Credit Line Utilization and Default Probability on a Term Loan? Evidence from Bank-Level Data

Journal of Empirical Finance, Vol. 33, No. 1, 2015
Number of pages: 43 Posted: 10 Jul 2011 Last Revised: 05 Jan 2023
Anne-Sophie Bergerès, Philippe d'Astous and Georges Dionne
Caisse de dépôt et placement du Québec, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 142 (325,061)

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Consumer finance, consumer risk management, credit line, term loan, default probability, ability to pay, endogeneity, simultaneous equations

66.

Entry, Imperfect Competition, and Futures Market for the Input

International Journal of Industrial Organization, 35(C):70-83, 2014.
Number of pages: 50 Posted: 20 Mar 2012 Last Revised: 05 Jan 2023
Georges Dionne and Marc Santugini
HEC Montreal - Department of Finance and University of Virginia - Department of Economics
Downloads 141 (326,876)
Citation 3

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Cournot, Entry, Futures, Hedging, Imperfect Competition

67.

Book Review of 'Foundations of Economic Analysis of Law,' by Steven Shavell

Journal of Risk and Insurance 73, 4, 737-743, 2006
Number of pages: 13 Posted: 31 Aug 2006 Last Revised: 05 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 140 (328,711)

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Economic analysis of law, positive analysis of law, normative analysis of law, property law, accident law, contracts law, crimes law, litigation process, fairness, morality, property rights, externalities, risk-creating behavior, strict liability, negligence rule

68.

Bank Capital, Securitization and Credit Risk: An Empirical Evidence

Insurance and Risk Management, Vol. 75 (4), 459-485, 2008
Number of pages: 28 Posted: 15 May 2014
Georges Dionne and Tarek M. Harchaoui
HEC Montreal - Department of Finance and Statistics Canada - Microeconomic Analysis Division
Downloads 139 (330,581)

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Securitization, credit risk, capital regulation, Canadian financial sector, bank regulation

69.

Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle

Economics Letters 100, 304-307, 2008
Number of pages: 34 Posted: 20 Oct 2006 Last Revised: 05 Jan 2023
Georges Dionne, Oussama Chakroun and Amélie Dugas-Sampara
HEC Montreal - Department of Finance, HEC Montreal and HEC Montreal
Downloads 136 (336,317)

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Investor rationality, asset allocation puzzle, risk tolerance, separation theorem, bonds/stocks ratio

70.

Can Higher-Order Risks Explain the Credit Spread Puzzle?

Number of pages: 51 Posted: 01 Jun 2016
Cedric Okou, Olfa Maalaoui, Olfa Maalaoui, Georges Dionne and Jingyuan Li
University of Quebec at Montreal (UQAM), Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 134 (340,206)
Citation 1

Abstract:

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Credit Spread Puzzle, Asymmetry, Illiquidity, Higher-Order Risks

71.

First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification

Number of pages: 20 Posted: 02 Apr 2011 Last Revised: 24 May 2011
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 131 (346,090)
Citation 1

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Expected utility theory, first-order conditional dependent risk aversion, background risk, risk diversification, stock market participation puzzle.

72.

A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors

Journal of Banking and Finance, Vol. 35, No. 8, 2011
Number of pages: 53 Posted: 09 Nov 2010 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 131 (346,090)
Citation 2

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Credit Spread, Default Spread, Markov Switching, Macroeconomic Factors, Reduced Form Model of Default, Random Subjective Discount Factor, Credit Default Swap, CDS

73.

Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?

Number of pages: 44 Posted: 18 Jul 2018 Last Revised: 07 Dec 2021
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
HEC Montreal, HEC Montréal and HEC Montreal - Department of Finance
Downloads 123 (362,704)
Citation 1

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Fama-French and momentum factors, Value-at-Risk, Expected Shortfall, Condi- tional Value-at-Risk, Elicitability, Model comparison, Backtesting, Comparative predictive ac- curacy, Model confidence set

74.

The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation

Number of pages: 44 Posted: 11 Feb 2021
Samir Saissi Hassani and Georges Dionne
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 118 (373,861)

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Basel III, VaR, CVaR, Expected Shortfall, Back-Testing, Parametric Model, Non-Parametric Model, Mixture of Distributions, Fat-Tail Distribution

75.

The Empirical Measure of Information Problems with Emphasis on Insurance Fraud and Dynamic Data

Handbook of Insurance, Second Edition, 423-448, 2014
Number of pages: 50 Posted: 23 Aug 2012 Last Revised: 05 Jan 2023
Georges Dionne
HEC Montreal - Department of Finance
Downloads 115 (380,782)
Citation 3

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Empirical measure, information problem, moral hazard, adverse selection, learning, insurance fraud, causality tests, dynamic data

76.

Real Implications of Corporate Risk Management: Review of Main Results and New Evidence From a Different Methodology

L’actualité économique 94, 407-452, 2018
Number of pages: 46 Posted: 28 Aug 2018 Last Revised: 09 Jan 2023
Georges Dionne and Mohamed Mnasri
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM)
Downloads 113 (385,592)
Citation 1

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Corporate Risk Management, Real Implications, Value Creation, Risk Reduction, Hedging Benefits, Oil Producers, Marginal Treatment Effect, Average Treatment Effect, Essential Heterogeneity Model

77.

On Debt Service and Renegotiation when Debt-Holders are More Strategic

Journal of Financial Intermediation, Vol. 22, No. 3, 2013
Number of pages: 42 Posted: 15 Mar 2007 Last Revised: 05 Jan 2023
Jean-Marc Bourgeon and Georges Dionne
French National Institute for Agricultural Research (INRA) - UMR Economie Publique and HEC Montreal - Department of Finance
Downloads 112 (388,099)
Citation 2

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debt service, debt renegotiation, recovery rate, strategic bank, bankruptcy, contingent claim, liquidation value, loss given default (LGD)

78.

Traffic Safety Diagnostic and Application of Countermeasures for Rural Roads in Burkina Faso

Transportation Research Record 1846, 2003, 39-43
Number of pages: 24 Posted: 28 May 2003 Last Revised: 11 Jan 2023
Dominique Lord, Hamidou Mamadou Abdou, Antoine N'Zue and Georges Dionne
Texas A&M University - Texas Transportation Institute, The CIMA Companies, Inc. - CIMA International, Ministry of Education of Quebec and HEC Montreal - Department of Finance
Downloads 112 (388,099)

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Safety, developing countries, rural highways, policy, accidents, Burkina Faso

79.

Default and Liquidity Regimes in the Bond Market During the 2002-2012 Period

Canadian Journal of Economics 46, 4, 1160-1195, 2013
Number of pages: 39 Posted: 21 Aug 2013 Last Revised: 05 Jan 2023
Georges Dionne, Olfa Maalaoui and Olfa Maalaoui
HEC Montreal - Department of Finance and Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 110 (393,147)

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Credit spread, credit default swaps, real-time regime detection, market risk, liquidity cycle, default cycle, credit cycle, NBER economic cycle

80.

The Dynamics of Ex-Ante High-Frequency Liquidity: An Empirical Analysis

Number of pages: 44 Posted: 21 Jan 2016
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 109 (395,619)

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Decomposition model, Limit order book, Xetra Liquidity Measure (XLM), Ex-ante liquidity, LogACD process

81.

Dynamic Corporate Risk Management: Motivations and Real Implications

Journal of Banking and Finance 95, 97-111, 2018
Number of pages: 53 Posted: 08 Jul 2016 Last Revised: 05 Jan 2023
Georges Dionne, Jean-Pierre Gueyie and Mohamed Mnasri
HEC Montreal - Department of Finance, University of Quebec in Montreal-Department of Finance and University of Quebec at Montreal (UQAM)
Downloads 105 (406,167)
Citation 4

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Hedging maturity; Early termination of contracts; Firm value; Heterogeneous treatment effects; Essential heterogeneity models; Oil industry

82.

Does Opportunistic Fraud in Automobile Theft Insurance Fluctuate with the Business Cycle?

Journal of Risk and Uncertainty 47, 67-92, 2013
Number of pages: 39 Posted: 27 Jul 2011 Last Revised: 05 Jan 2023
Georges Dionne and Kili C. Wang
HEC Montreal - Department of Finance and Tamkang University
Downloads 105 (406,167)
Citation 2

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Opportunistic fraud, replacement cost endorsement, no-deductible endorsement, automobile theft insurance, business cycle

83.

Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors

The European Journal of Finance 13, 397-404, 2007
Number of pages: 31 Posted: 29 Apr 2004 Last Revised: 11 Jan 2023
Kais Dachraoui and Georges Dionne
Statistics Canada and HEC Montreal - Department of Finance
Downloads 98 (426,168)
Citation 3

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Portfolio choice, investment effect, hedging effect, quadrant dependence, two-fund separation, asset demand model.

84.

Point-Record Incentives, Asymmetric Information and Dynamic Data

Number of pages: 52 Posted: 27 Aug 2007
Jean L. Pinquet, Georges Dionne, Charles Vanasse and Mathieu Maurice
Economix, HEC Montreal - Department of Finance, TD Asset Management and HEC Montréal
Downloads 92 (443,690)
Citation 4

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Incentives, road safety, point-record mechanisms

85.

Poisson Models with Employer-Employee Unobserved Heterogeneity: An Application to Absence Data

Number of pages: 25 Posted: 25 May 2007
Jean-François Angers, Denise Desjardins, Georges Dionne, Benoit Dostie and François Guertin
University of Montreal - Center for Research on Transportation, University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance, HEC Montreal - Institute of Applied Economics and University of Montreal - Center for Research on Transportation
Downloads 92 (443,690)

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Absenteeism, Linked Employer-Employee Data, Employer-Employee Unobserved Heterogeneity, Count Data Models, Dirichlet Distribution

86.

The CDS-Bond Basis: Negativity Persistence and Limits to Arbitrage

Number of pages: 50 Posted: 14 Nov 2019
Sahar Guesmi, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne
HEC Montreal, University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 86 (462,740)

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CDS-bond basis, Markov regime, arbitrage, liquidity, financial crisis, Basel regulation, Dodd-Frank Act

87.

Nonparametric Testing for Information Asymmetry in the Mortgage Servicing Market

Number of pages: 65 Posted: 03 Apr 2019 Last Revised: 29 Oct 2019
Helmi Jedidi and Georges Dionne
HEC Montreal and HEC Montreal - Department of Finance
Downloads 86 (462,740)

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Mortgage servicing market, securitization, information asymmetry test, parametric model, nonparametric model, kernel estimation, instrumental variable, causality

88.

Reinsurance Demand and Liquidity Creation

Number of pages: 58 Posted: 07 Apr 2017
Denise Desjardins and Georges Dionne
University of Montreal - Center for Research on Transportation and HEC Montreal - Department of Finance
Downloads 85 (465,971)
Citation 1

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Liquidity Creation, Reinsurance, Risk Transformation, Insurance

89.

Correlated Poisson Processes with Unobserved Heterogeneity: Estimating the Determinants of Paid and Unpaid Leave

IZA Discussion Paper No. 3642
Number of pages: 31 Posted: 18 Aug 2008
Georges Dionne and Benoit Dostie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 84 (469,384)

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absenteeism, linked employer-employee data, unobserved heterogeneity, count data model, correlated random effects

90.

Adverse Selection in the Market for Slaves in Mauritius, 1825-1835

Canada Research Chair in Risk Management Working Paper No. 06-02, Review of Economic Studies 76, 1269-1295, 2009
Number of pages: 48 Posted: 26 Feb 2006 Last Revised: 05 Jan 2023
Georges Dionne, Pascal St-Amour and Desire Vencatachellum
HEC Montreal - Department of Finance, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and HEC Montreal
Downloads 82 (476,266)

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Adverse Selection, Information Asymmetry Test, English Auctions, Slavery, Mauritius

91.

Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 67 Posted: 25 Jun 2019 Last Revised: 08 Nov 2019
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 80 (483,226)
Citation 1

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Price efficiency, Price discovery, Limit Order Book, Trade size clustering, Stealth trading

92.

Estimating the Effect of a Change in Insurance Pricing Regime on Accidents with Endogenous Mobility

Number of pages: 21 Posted: 03 Oct 2007
Georges Dionne and Benoit Dostie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 80 (483,226)

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Bonus-malus, contract duration, automobile accident, Poisson distribution, right- and left-censoring, exponential distribution

93.

Lottery Qualities

Canada Research Chair in Risk Management Working Paper No. 06-07, Journal of Risk and Uncertainty 32, 195-216, 2006
Number of pages: 42 Posted: 16 May 2006 Last Revised: 05 Jan 2023
Georges Dionne and Yves Alarie
HEC Montreal - Department of Finance and University of Montreal - Center for Research on Transportation
Downloads 80 (483,226)

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Lottery choice, common ratio, preference reversal, pricing, lottery test, cognitive process, certainty equivalent

94.

Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis

Journal of Operational Risk 12, 1, 23-51, 2017
Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 05 Jan 2023
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 79 (486,667)
Citation 3

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Hidden Markov Regime, operational risk, 2007-2009 financial crisis, skew t type 4 distribution, banks’ regulatory capital.

95.

Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks

Journal of Mathematical Economics, Vol. 51, No. 1, 2014
Number of pages: 25 Posted: 10 Feb 2012 Last Revised: 05 Jan 2023
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 79 (486,667)
Citation 3

Abstract:

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Comparative cross Ross risk aversion, dependent background risk, partial risk premium, decreasing cross Ross risk aversion, n-switch independence property

96.

Reinsurance Demand and Liquidity Creation: A Search for Bi-Causality

Number of pages: 106 Posted: 13 Jul 2020 Last Revised: 01 Feb 2022
Denise Desjardins, Georges Dionne and N'Golo Koné
University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance and Queen's University - Department of Economics
Downloads 76 (501,451)

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Reinsurance demand; liquidity creation; liquidity risk management; bicausality; GMM; ML-SEM; policy implication; insurer regulation.

97.

The Governance of Risk Management: The Importance of Directors’ Independence and Financial Knowledge

Risk Management and Insurance Review 22, 247-277, 2019
Number of pages: 79 Posted: 05 Jun 2019 Last Revised: 09 Jan 2023
Georges Dionne, Olfa Maalaoui, Olfa Maalaoui and Thouraya Triki
HEC Montreal - Department of Finance, Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and HEC Montreal
Downloads 75 (501,451)
Citation 1

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risk management governance, financial knowledge, financial and accounting education of director, financial experience of director, independence of director, policy implications

98.

Economic Effects of Risk Classification Bans

The Geneva Risk and Insurance Review 39, 184-221, 2014
Number of pages: 42 Posted: 09 Jul 2014 Last Revised: 05 Jan 2023
Georges Dionne and Casey Rothschild
HEC Montreal - Department of Finance and Wellesley College
Downloads 75 (501,451)
Citation 4

Abstract:

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Adverse selection, Classification risk, Classification bans, Equity, Efficiency.

99.

On the Necessity of Using Lottery Qualities

Canada Research Chair in Risk Management Working Paper No. 04-03
Number of pages: 36 Posted: 20 Jun 2004
Yves Alarie and Georges Dionne
University of Montreal - Center for Research on Transportation and HEC Montreal - Department of Finance
Downloads 75 (501,451)
Citation 1

Abstract:

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Lottery choice, common ratio, preference reversal, pricing, lottery test, cognitive process, certainty equivalent, lottery quality

100.

Production Flexibility and Hedging

Risks, 3(4):543-552, 2015
Number of pages: 14 Posted: 26 Apr 2014 Last Revised: 05 Jan 2023
Georges Dionne and Marc Santugini
HEC Montreal - Department of Finance and University of Virginia - Department of Economics
Downloads 72 (512,870)

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Hedging, Full-hedging result, Production flexibility, Price and output uncertainty

101.

Health Care Workers’ Risk Perceptions of Personal and Work Activities and Willingness to Report for Work During an Influenza Pandemic

Risks 2018, 6, 8, doi:10.3390/risks6010008
Number of pages: 34 Posted: 08 Mar 2014 Last Revised: 05 Jan 2023
Georges Dionne, Denise Desjardins, Martin Lebeau, Stéphane Messier and André Dascal
HEC Montreal - Department of Finance, University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance, HEC Montreal and McGill University
Downloads 72 (512,870)

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Influenza pandemic, pandemic preparedness, risk perception, reporting for work, health policy, personal and work activities.

102.

A re-examination of the U.S. Insurance Market’s Capacity to Pay Catastrophe Losses

Risk Management and Insurance Review 25, 4, 515-549, 2022
Number of pages: 152 Posted: 20 May 2022 Last Revised: 08 Jan 2023
Georges Dionne and Denise Desjardins
HEC Montreal - Department of Finance and University of Montreal - Center for Research on Transportation
Downloads 71 (516,885)

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Catastrophe loss, U.S. insurance industry, industry capacity, reinsurance, climate finance, climate risk, weather risk.

103.

Modelling and Estimating Individual and Firm Effects with Count Panel Data

Astin Bulletin 48, 1049-1078, 2018
Number of pages: 82 Posted: 02 May 2015 Last Revised: 05 Jan 2023
Jean-François Angers, Denise Desjardins, Georges Dionne and François Guertin
University of Montreal - Center for Research on Transportation, University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance and University of Montreal - Center for Research on Transportation
Downloads 69 (524,851)
Citation 1

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Individual effect, firm effect, non-linear model, panel data, Poisson, Dirichlet, insurance pricing, R code

104.

Testing Explanations of Preference Reversal: A Model

Canada Research Chair in Risk Management Working Paper No. 05-02
Number of pages: 9 Posted: 04 May 2005
Yves Alarie and Georges Dionne
University of Montreal - Center for Research on Transportation and HEC Montreal - Department of Finance
Downloads 69 (524,851)

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Standard preference reversal, counter preference reversal, choice task, money valuation task, probability valuation task, lottery, test.

105.

Optimal Form of Retention for Securitized Loans Under Moral Hazard

Risks, https://www.mdpi.com/2227-9091/5/4/55/pdf
Number of pages: 28 Posted: 29 Nov 2015 Last Revised: 05 Jan 2023
Georges Dionne and Sara Malekan
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 67 (533,098)

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Securitization, optimal retention, moral hazard, principal-agent model, tranching, credit enhancement, conditional loss distribution.

106.

Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet

Number of pages: 61 Posted: 23 Feb 2021
Denise Desjardins, Georges Dionne and Yang Lu
University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance and Department of Maths & Statis, Concordia University
Downloads 63 (550,228)

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Hierarchical model, vehicle insurance pricing, posterior ratemaking, random effect, hierarchical random effects, panel data.

107.

Cyclical Variations in Liquidity Risk of Corporate Bonds

Number of pages: 35 Posted: 14 Jun 2018
Cassandre Anténor-Habazac, Georges Dionne and Sahar Guesmi
HEC Montreal, HEC Montreal - Department of Finance and HEC Montreal
Downloads 62 (554,577)

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Liquidity Risk, Corporate Bonds, Financial Crisis, Regime Change, Markov Model, Principal Component Analysis

108.

Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China

Scandinavian Journal of Economics 123, 2, 453–477, 2021
Number of pages: 46 Posted: 17 Mar 2017 Last Revised: 11 Jan 2023
Georges Dionne and Ying Liu
HEC Montreal - Department of Finance and Shandong University
Downloads 60 (563,671)

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Difference-in-differences, experience rating, traffic violation, past claim, moral hazard

109.

Trade Volume Choice and Price Discovery: Evidence from Deutsche Börse

Number of pages: 20 Posted: 09 Jan 2018
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 50 (612,846)

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Limit order book, Trade size clustering, Price discovery, Stealth trading

110.

Determinants and Real Effects of Joint Hedging an Empirical Analysis of the Us Petroleum Industry

Downloads 48 (623,503)

Determinants and Real Effects of Joint Hedging an Empirical Analysis of the Us Petroleum Industry

Number of pages: 54 Posted: 05 Sep 2022
Georges Dionne, Rayane El Hriki and Mohamed Mnasri
HEC Montreal - Department of Finance, HEC Montreal and HEC Montreal
Downloads 26 (790,205)

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Joint hedging, enterprise risk management, oil price, gas price, hedging intensity, bivariate probit, causality, firm value

Determinants and Real Effects of Joint Hedging: An Empirical Analysis of The Us Petroleum Industry

Number of pages: 65 Posted: 15 Sep 2022
Georges Dionne, Rayane El Hraiki and Mohamed Mnasri
HEC Montreal - Department of Finance, University of Quebec at Montreal (UQAM) and University of Quebec at Montreal (UQAM)
Downloads 22 (824,460)

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Joint hedging, enterprise risk management, oil price, gas price, hedging intensity, bivariate probit, causality, firm value

111.

Health Care Workers’ Risk Perceptions and Willingness to Report for Work During an Influenza Pandemic

Risks 2018, 6, 8; doi:10.3390/risks6010008
Number of pages: 18 Posted: 01 Mar 2018
Georges Dionne, Denise Desjardins, Martin Lebeau, Stéphane Messier and André Dascal
HEC Montreal - Department of Finance, University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance, HEC Montreal and McGill University
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influenza pandemic, pandemic preparedness, risk perception, reporting for work, health policy, personal and work activities, principal component analysis

112.

Online Appendix: Entry, Imperfect Competition, and Futures Market for the Input

Number of pages: 20 Posted: 17 Jun 2014 Last Revised: 18 Jun 2014
Georges Dionne and Marc Santugini
HEC Montreal - Department of Finance and University of Virginia - Department of Economics
Downloads 33 (714,988)
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Cournot, Entry, Futures, Hedging, Imperfect Competition

113.

Consolidation of the US Property and Casualty Insurance Industry: Is Climate Risk a Causal Factor for Mergers and Acquisitions?

Number of pages: 106 Posted: 25 Feb 2023
Georges Dionne, Akouété Fenou and Mohamed Mnasri
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and HEC Montreal
Downloads 32 (721,974)

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Mergers and acquisition, US insurance industry, property and casualty insurance, life insurance, health insurance, climate risk, capital management, reinsurance, ILS, CAT bonds, premium management, risk regulation.

114.

Sécurité Routière Des Flottes Et Des Conducteurs De Véhicules Lourds (Road Safety for Fleets and Drivers of Trucks)

Number of pages: 44 Posted: 12 Nov 2020
Georges Dionne, Denise Desjardins and Jean-François Angers
HEC Montreal - Department of Finance, University of Montreal - Center for Research on Transportation and University of Montreal - Center for Research on Transportation
Downloads 27 (758,492)

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Road Safety, Fleets of Trucks, Professional Drivers, Infractions to Road Safety, SAAQ, Road Safety Policy

115.

Road Safety for Fleets of Vehicles

International Journal of Banking, Finance and Insurance Technologies 1, 1, 31-59, 2021
Number of pages: 38 Posted: 26 Mar 2021 Last Revised: 11 Jan 2023
Georges Dionne, Denise Desjardins and Jean-François Angers
HEC Montreal - Department of Finance, University of Montreal - Center for Research on Transportation and University of Montreal - Center for Research on Transportation
Downloads 24 (781,956)

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Road safety, truck fleets, professional drivers, road safety infractions, road safety policy, zero-inflated model, negative binomial model.

116.

Forecasting VaR and CVaR Based on a Skewed Exponential Power Mixture, in Compliance With the New Market Risk Regulation

Number of pages: 56 Posted: 21 Jul 2022
Samir Saissi Hassani and Georges Dionne
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 20 (814,921)

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Conditional forecasting, VaR, CVaR, Backtesting, Basel regulation for market risk, Heavy tailed distributions.

117.

Determinants and Real Effects of Joint Hedging: An Empirical Analysis of Us Oil and Gas Producers

Number of pages: 79 Posted: 31 May 2023
Georges Dionne, Rayane El Hraiki and Mohamed Mnasri
HEC Montreal - Department of Finance, HEC Montreal and HEC Montreal
Downloads 16 (850,086)

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Joint hedging, enterprise risk management, oil price, gas price, hedging intensity, bivariate probit, causality, firm value.

118.

Using Skewed Exponential Power Mixture for VaR and CVaR Forecasts to Comply with Market Risk Regulation

Number of pages: 58 Posted: 17 Mar 2023
Samir Saissi Hassani and Georges Dionne
HEC Montreal and HEC Montreal - Department of Finance
Downloads 16 (850,086)

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conditional forecasting, VaR, CVaR, backtesting, Basel regulation for market risk, heavy tailed distributions

119.

Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis

Journal of Operational Risk, 12(1), 23–51 DOI:10.21314/JOP.2017.188
Number of pages: 30 Posted: 11 Feb 2017
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 1 (976,451)
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hidden Markov regime, operational risk, 2007–9 financial crisis, skew-t type-4 distribution, banks’ regulatory capital

120.

The Dynamics of Ex-Ante Weighted Spread: An Empirical Analysis

Quantitative Finance 20, 4, 593-617, 2020
Posted: 16 Nov 2016 Last Revised: 05 Jan 2023
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 0 (984,188)

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Limit order book, Ex-ante weighted spread, Decomposition model, Liquidity, Resilience

121.

When Can Expected Utility Handle First-Order Risk Aversion?

Journal of Economic Theory, Vol. 154, No. 1, 2014
Posted: 09 Jan 2013 Last Revised: 05 Jan 2023
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance

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expected utility theory, first-order conditional dependent risk aversion, background cycles, coward gambler, stock market participation, rank-dependent expected utility model

122.

The Impact of Prudence on Optimal Prevention Revisited

Economics Letters, Vol. 113, No. 2, 2011
Posted: 15 Jul 2010 Last Revised: 05 Jan 2023
Jingyuan Li and Georges Dionne
Lingnan University - Department of Finance and Insurance and HEC Montreal - Department of Finance

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Absolute prudence, Moments of the loss distribution, Self-protection, Variance, Skewness

123.

Lottery Decisions and Probability Weighting Function

Posted: 15 Oct 2001
Yves Alarie and Georges Dionne
University of Montreal - Center for Research on Transportation and HEC Montreal - Department of Finance

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124.

Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment

Posted: 01 May 2001
Georges Dionne, Christian Gourieroux and Charles Vanasse
HEC Montreal - Department of Finance, University of Toronto - Department of Economics and TD Asset Management

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125.

Deductible Contracts Against Fraudulent Claims: Evidence from Automobile Insurance

Review of Economics and Statistics 83, 2, 290-301, 2001
Posted: 30 Mar 2001 Last Revised: 11 Jan 2023
Georges Dionne and Robert Gagné
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics

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Insurance Fraud, Deductible, Econometric Model, Truncated Dependent Variable

126.

Investment Under Demand Uncertainty: The Newsboy Problem Revisited

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol 20 No 2, December 1996
Posted: 02 Apr 1997
Georges Dionne
HEC Montreal - Department of Finance

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