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

120

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47,580

SSRN CITATIONS

154

CROSSREF CITATIONS

185

Scholarly Papers (120)

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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 6,592 ( 1,310)
Citation 13

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

HEC Montreal Working Paper No. 05-03
Number of pages: 53 Posted: 07 Jun 2005
Georges Dionne and Thouraya Triki
HEC Montreal - Department of Finance and HEC Montreal
Downloads 5,245 (1,875)

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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 1,347 (18,025)
Citation 22

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risk management, corporate governance, financial knowledge

2.

Risk Management and Corporate Governance

HEC Montreal Risk Management Chair Working Paper No. 03-04
Number of pages: 8 Posted: 20 Oct 2003
Danielle Blanchard and Georges Dionne
Venture Capital Consultant and HEC Montreal - Department of Finance
Downloads 4,392 (2,642)
Citation 3

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

3.

Risk Management: History, Definition and Critique

Downloads 4,283 ( 2,759)
Citation 11

Risk Management: History, Definition and Critique

Number of pages: 34 Posted: 11 Mar 2013 Last Revised: 06 Sep 2013
Georges Dionne
HEC Montreal - Department of Finance
Downloads 4,281 (2,721)
Citation 13

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

Risk Management: History, Definition, and Critique

Risk Management and Insurance Review, Vol. 16, Issue 2, pp. 147-166, 2013
Number of pages: 20 Posted: 16 Nov 2013
Georges Dionne
HEC Montreal - Department of Finance
Downloads 2 (816,301)
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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 2,332 (7,690)
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 1,782 ( 11,859)
Citation 4

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 1,129 (23,474)
Citation 3

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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

CIRPEE Working Paper No. 03-46
Number of pages: 43 Posted: 15 Jan 2004
Georges Dionne
HEC Montreal - Department of Finance
Downloads 653 (50,368)
Citation 5

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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

Number of pages: 33 Posted: 11 Jun 2008 Last Revised: 11 Feb 2021
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 1,494 (15,685)
Citation 19

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

7.

On Risk Management Determinants: What Really Matters?

HEC Montreal Risk Management Chair Working Paper No. 04-04
Number of pages: 38 Posted: 28 Jun 2004 Last Revised: 22 Feb 2012
Georges Dionne and Thouraya Triki
HEC Montreal - Department of Finance and HEC Montreal
Downloads 1,405 (17,253)
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.

8.

Book Review of Risk Management

Downloads 1,374 ( 17,844)

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 1,374 (17,506)
Citation 2

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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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9.

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

Number of pages: 39 Posted: 08 Dec 2005
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 1,198 (21,893)
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.

Optimal Auditing for Insurance Fraud

CIRPEE Working Paper No. 03-29; Risk Management Chair Working Paper No. 02-05
Number of pages: 43 Posted: 25 Sep 2003
Georges Dionne, Florence Giuliano and Pierre Picard
HEC Montreal - Department of Finance, AGF Group and Ecole Polytechnique, Paris - Department of Economic Sciences
Downloads 957 (30,286)
Citation 8

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

11.

Structured Finance, Risk Management, and the Recent Financial Crisis

Number of pages: 5 Posted: 16 Oct 2009
Georges Dionne
HEC Montreal - Department of Finance
Downloads 919 (32,105)
Citation 6

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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

12.

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

Canada Research Chair in Risk Management Working Paper No. 04-06
Number of pages: 6 Posted: 08 Oct 2004
Georges Dionne
HEC Montreal - Department of Finance
Downloads 895 (33,290)
Citation 2

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Credit risk, pricing, measurement, management

13.

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

Number of pages: 22 Posted: 09 Jan 2013 Last Revised: 12 Mar 2013
Georges Dionne
HEC Montreal - Department of Finance
Downloads 874 (34,399)

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

14.

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

Downloads 761 ( 41,584)
Citation 19

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 548 (63,071)
Citation 18

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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

Number of pages: 50 Posted: 08 Sep 2010
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 213 (179,905)
Citation 3

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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

Number of pages: 66 Posted: 06 Oct 1998
El-Bachir Belhadji and Georges Dionne
Consulting and Audit Canada and HEC Montreal - Department of Finance
Downloads 687 (47,743)
Citation 3

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16.

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

Downloads 661 ( 50,203)
Citation 2

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 527 (66,290)
Citation 3

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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 134 (268,589)
Citation 2

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

17.

Corporate Risk Management and Dividend Signaling Theory

Number of pages: 9 Posted: 01 Feb 2010
Georges Dionne and Karima Ouederni
HEC Montreal - Department of Finance and HEC Montreal
Downloads 587 (58,503)

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

18.

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 586 (58,765)
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

19.

Default Risk in Corporate Yield Spreads

Canada Research Chair in Risk Management Working Paper No. 05-08
Number of pages: 36 Posted: 08 Nov 2010
Georges Dionne, Geneviève Gauthier, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 532 (66,169)
Citation 3

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

20.

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

Number of pages: 48 Posted: 10 May 2006
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 528 (66,839)
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

21.

Detecting Regime Shifts in Credit Spreads

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 84 Posted: 16 Jun 2008 Last Revised: 11 Mar 2013
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 526 (67,286)
Citation 3

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

22.

Does Asymmetric Information Affect the Premium in Mergers and Acquisitions?

Downloads 514 ( 69,115)
Citation 9

Does Asymmetric Information Affect the Premium in Mergers and Acquisitions?

Number of pages: 43 Posted: 13 Mar 2010 Last Revised: 25 Feb 2014
Georges Dionne, Mélissa La Haye and Anne-Sophie Bergerès
HEC Montreal - Department of Finance, Independent and Caisse de dépôt et placement du Québec
Downloads 514 (68,365)
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)

Does Asymmetric Information Affect the Premium in Mergers and Acquisitions? (Est‐ce que l'information asymétrique affecte la prime payée dans les opérations de fusion et d'acquisition?)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 48, Issue 3, pp. 819-852, 2015
Number of pages: 34 Posted: 24 Mar 2016
Georges Dionne, Melissa La Haye and Anne-Sophie Bergerès
HEC Montreal - Department of Finance, HEC Montreal and Caisse de dépôt et placement du Québec
Downloads 0
Citation 2
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23.

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

Number of pages: 47 Posted: 24 Jan 2007
Hela Dahen and Georges Dionne
Ecole des Hautes Etudes Commerciales de Montreal (HEC) and HEC Montreal - Department of Finance
Downloads 500 (71,592)
Citation 10

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

24.

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 490 (73,270)

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

25.

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

Number of pages: 74 Posted: 07 Apr 2013 Last Revised: 27 Dec 2013
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 477 (75,757)
Citation 2

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

26.

Heterogeneous Basket Options Pricing Using Analytical Approximations

Downloads 448 ( 81,643)
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: 22 Jun 2016
Georges Dionne, Geneviève Gauthier, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences, IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 427 (85,653)
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, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences, IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 21 (655,651)

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

27.

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, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 398 (93,688)
Citation 1

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

28.

Credit Spread Changes within Switching Regimes

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 12 Feb 2009 Last Revised: 11 Mar 2013
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 388 (96,541)
Citation 2

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

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 387 (96,832)
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.

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

Number of pages: 45 Posted: 15 Jun 2006
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 379 (99,155)
Citation 3

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

31.

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

Downloads 361 (104,751)
Citation 3

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

HEC Montreal Working Paper No. 05-05
Number of pages: 35 Posted: 14 Jun 2005
Georges Dionne and Benoit Dostie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 361 (103,963)
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

32.

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 356 (106,424)
Citation 3

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

33.

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

Number of pages: 59 Posted: 20 Dec 2006
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 315 (121,729)
Citation 8

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

34.

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 309 (124,646)
Citation 4

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

35.

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

Number of pages: 51 Posted: 21 Feb 2014 Last Revised: 01 Mar 2014
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 288 (133,849)

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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

36.

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 273 (141,400)
Citation 4

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

37.

Insurance and Insurance Markets

Number of pages: 69 Posted: 03 Apr 2017
Georges Dionne and Scott E. Harrington
HEC Montreal - Department of Finance and University of Pennsylvania - Wharton School
Downloads 261 (148,062)
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

38.

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 255 (151,457)
Citation 21

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

39.

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 254 (152,689)
Citation 6

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

40.

Estimation of the Default Risk of Publicly Traded Canadian Companies

Number of pages: 50 Posted: 17 Apr 2006
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 242 (159,457)
Citation 3

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

41.

Securitization and Optimal Retention Under Moral Hazard

Number of pages: 13 Posted: 15 Apr 2012 Last Revised: 09 May 2012
Sara Malekan and Georges Dionne
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 240 (160,794)
Citation 6

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

42.

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

HEC Montreal, Risk Management Chair Working Paper Series No. 02-02
Number of pages: 35 Posted: 16 Jan 2003
Georges Dionne and Paul Lanoie
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 236 (163,389)
Citation 4

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

43.

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 233 (166,749)
Citation 1

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

44.

Risk Classification and Health Insurance

Number of pages: 16 Posted: 23 Aug 2012
Georges Dionne and Casey Rothschild
HEC Montreal - Department of Finance and Wellesley College
Downloads 231 (166,749)
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

45.

On the Determinants of the Implied Default Barrier

Downloads 211 (181,811)
Citation 2

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 116 (298,952)
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

Number of pages: 44 Posted: 14 Mar 2009 Last Revised: 27 Feb 2012
Georges Dionne and Sadok Laajimi
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 95 (343,001)

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

46.

Adverse Selection in Insurance Contracting

Number of pages: 74 Posted: 22 Aug 2012
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 203 (188,369)
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

47.

Asymmetric Effects of the Limit Order Book on Price Dynamics

Number of pages: 48 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
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 197 (193,638)

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Ultra-high frequency data, Hasbrouck model, Limit order book slope, High-frequency trading, Asymmetric Effect

48.

Extremal Events in a Bank Operational Losses

Number of pages: 27 Posted: 28 Feb 2010
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 179 (210,809)

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

49.

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

HEC Montreal Working Paper No. 03-02
Number of pages: 17 Posted: 16 Apr 2003
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 173 (217,045)
Citation 1

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

50.

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 172 (218,206)
Citation 1

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

51.

Basket Options on Heterogeneous Underlying Assets

Number of pages: 30 Posted: 26 May 2009
Georges Dionne, Geneviève Gauthier, Geneviève Gauthier and Nadia Ouertani
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences and IESEG School of Management
Downloads 168 (222,546)
Citation 2

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

52.

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 162 (229,485)

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

53.

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

Number of pages: 37 Posted: 26 Jul 2009 Last Revised: 11 Aug 2009
Shady Aboul-Enein, Georges Dionne and Nicolas A. Papageorgiou
HEC Montreal, HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 162 (229,485)

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

54.

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

Downloads 157 (235,738)
Citation 7

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

HEC Montreal Working Paper No. 03-07
Number of pages: 28 Posted: 10 Nov 2003
Georges Dionne and Olfa Ghali
HEC Montreal - Department of Finance and Institut Supérieur de Gestion de Tunis
Downloads 142 (256,548)
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

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

Journal of Risk and Insurance, Vol. 72, No. 4, pp. 609-633, December 2005
Number of pages: 25 Posted: 30 Dec 2005
Georges Dionne and Olfa Ghali
HEC Montreal - Department of Finance and Institut Supérieur de Gestion de Tunis
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55.

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

Canada Research Chair in Risk Management Working Paper No. 06-04
Number of pages: 29 Posted: 22 Mar 2006
Georges Dionne, Claude Fluet and Denise Desjardins
HEC Montreal - Department of Finance, Université Laval and University of Montreal - Center for Research on Transportation
Downloads 151 (243,348)
Citation 1

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

56.

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 147 (248,736)
Citation 1

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

57.

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 142 (255,752)
Citation 4

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

58.

Book Review of the Theory of Corporate Finance

Number of pages: 5 Posted: 16 Jun 2011
Georges Dionne
HEC Montreal - Department of Finance
Downloads 132 (270,624)

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

59.

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

Number of pages: 43 Posted: 26 Jan 2012 Last Revised: 06 Oct 2012
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 131 (275,369)
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Road safety, point-record driver's license, asymmetric information, road safety management, empirical test

60.

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

Number of pages: 67 Posted: 13 Oct 2004
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 129 (275,369)
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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

61.

International High-Frequency Arbitrage for Cross-Listed Stocks

Number of pages: 85 Posted: 22 Jul 2021
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 127 (278,573)

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Latency arbitrage, cross-listed stock, high-frequency trading, limit order, market order, synthetic hedging instrument, mean-reverting arbitrage, international arbitrage, supervised machine learning.

62.

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 123 (285,362)

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

63.

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: 30 Oct 2014
Georges Dionne and Marc Santugini
HEC Montreal - Department of Finance and University of Virginia - Department of Economics
Downloads 123 (285,362)
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Cournot, Entry, Futures, Hedging, Imperfect Competition

64.

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

Number of pages: 13 Posted: 31 Aug 2006 Last Revised: 17 Jan 2012
Georges Dionne
HEC Montreal - Department of Finance
Downloads 122 (287,095)

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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

65.

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

Number of pages: 43 Posted: 10 Jul 2011 Last Revised: 18 Feb 2013
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 120 (290,563)

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

66.

Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle

Number of pages: 34 Posted: 20 Oct 2006
Georges Dionne, Oussama Chakroun and Amélie Dugas-Sampara
HEC Montreal - Department of Finance, HEC Montreal and HEC Montreal
Downloads 117 (295,735)

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

67.

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 113 (303,084)
Citation 1

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

68.

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

Number of pages: 53 Posted: 09 Nov 2010
Georges Dionne, Geneviève Gauthier, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 112 (306,898)
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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

69.

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

Number of pages: 62 Posted: 12 Nov 2010 Last Revised: 29 Nov 2010
Georges Dionne and Martin Lebeau
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 110 (308,877)

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

70.

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Downloads 100 (329,344)

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Number of pages: 37 Posted: 05 Apr 2019
Gilles Boevi Koumou, Gilles Boevi Koumou and Georges Dionne
Université Laval - Département d'ÉconomiqueUniversité Mohammed VI Polytechnique and HEC Montreal - Department of Finance
Downloads 100 (331,658)
Citation 1

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portfolio theory, portfolio diversification, preference for diversification, correlation diversification, expected utility theory, dual theory

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Posted: 21 Sep 2016 Last Revised: 27 Mar 2019
Gilles Boevi Koumou, Gilles Boevi Koumou and Georges Dionne
Université Laval - Département d'ÉconomiqueUniversité Mohammed VI Polytechnique and HEC Montreal - Department of Finance

Abstract:

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Portfolio Theory, Portfolio Diversification, Preference for Diversification, Correlation Diversification, Expected Utility Theory, Dual Theory

71.

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

HEC Montreal Risk Management Chair Working Paper No. 02-06
Number of pages: 24 Posted: 28 May 2003
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 99 (331,465)

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

72.

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

Number of pages: 50 Posted: 23 Aug 2012 Last Revised: 17 Sep 2012
Georges Dionne
HEC Montreal - Department of Finance
Downloads 98 (333,629)
Citation 3

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

73.

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

Number of pages: 42 Posted: 15 Mar 2007
Jean-Marc Bourgeon and Georges Dionne
French National Institute for Agricultural Research (INRA) - UMR Economie Publique and HEC Montreal - Department of Finance
Downloads 97 (335,900)
Citation 2

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

74.

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

Downloads 95 (340,383)
Citation 2

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

Canadian Journal of Economics, Forthcoming
Number of pages: 39 Posted: 21 Aug 2013 Last Revised: 17 Sep 2013
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 95 (343,001)

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

Default and Liquidity Regimes in the Bond Market During the 2002–2012 Period (Régimes de risque de défaut de paiement et de liquidité dans le marché obligataire pour la période 2002–2012)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 46, Issue 4, pp. 1160-1195, 2013
Number of pages: 36 Posted: 15 Nov 2013
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
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75.

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 94 (342,584)
Citation 1

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

76.

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 93 (344,931)

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

77.

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

Number of pages: 39 Posted: 27 Jul 2011
Georges Dionne and Kili C. Wang
HEC Montreal - Department of Finance and Tamkang University
Downloads 90 (352,171)
Citation 2

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

78.

Dynamic Corporate Risk Management: Motivations and Real Implications

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 08 Jul 2016 Last Revised: 16 Aug 2017
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 86 (362,136)
Citation 3

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

79.

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

HEC Montreal Risk Management Chair Working Paper No. 04-01
Number of pages: 31 Posted: 29 Apr 2004
Kais Dachraoui and Georges Dionne
Statistics Canada and HEC Montreal - Department of Finance
Downloads 83 (370,031)
Citation 3

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

80.

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 81 (375,486)

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

81.

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

Number of pages: 42 Posted: 18 Jul 2018 Last Revised: 07 Sep 2021
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
HEC Montreal, HEC Montréal and HEC Montreal - Department of Finance
Downloads 78 (383,733)
Citation 1

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Value-at-Risk, Expected Shortfall, Conditional Value-at-Risk, Elicitability, modelcomparison, backtesting, Fama-French and momentum factors

82.

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

Number of pages: 46 Posted: 28 Aug 2018 Last Revised: 07 Mar 2020
Georges Dionne and Mohamed Mnasri
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM)
Downloads 74 (395,392)
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

83.

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

Canada Research Chair in Risk Management Working Paper No. 06-02
Number of pages: 48 Posted: 26 Feb 2006
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 72 (401,440)

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

84.

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 71 (407,636)

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

85.

Lottery Qualities

Canada Research Chair in Risk Management Working Paper No. 06-07
Number of pages: 42 Posted: 16 May 2006
Georges Dionne and Yves Alarie
HEC Montreal - Department of Finance and University of Montreal - Center for Research on Transportation
Downloads 69 (410,782)

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

86.

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 67 (417,244)

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

87.

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 66 (420,590)
Citation 1

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Liquidity Creation, Reinsurance, Risk Transformation, Insurance

88.

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 66 (420,590)
Citation 4

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Incentives, road safety, point-record mechanisms

89.

Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks

Number of pages: 25 Posted: 10 Feb 2012 Last Revised: 05 Apr 2019
Georges Dionne and Jingyuan Li
HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 65 (423,914)
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Comparative cross Ross risk aversion, dependent background risk, partial risk premium, decreasing cross Ross risk aversion, n-switch independence property

90.

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

Journal of Operational Risk, Forthcoming
Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 10 Mar 2017
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 63 (430,667)
Citation 1

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

91.

Production Flexibility and Hedging

Risks, 3(4):543-552, 2015
Number of pages: 14 Posted: 26 Apr 2014 Last Revised: 09 Dec 2015
Georges Dionne and Marc Santugini
HEC Montreal - Department of Finance and University of Virginia - Department of Economics
Downloads 62 (434,171)

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

92.

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 61 (437,670)

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

93.

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 61 (437,670)

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

94.

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

Number of pages: 34 Posted: 08 Mar 2014
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 60 (441,252)

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

95.

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 57 (452,216)

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

96.

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 56 (455,884)

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

97.

Economic Effects of Risk Classification Bans

Number of pages: 42 Posted: 09 Jul 2014
Georges Dionne and Casey Rothschild
HEC Montreal - Department of Finance and Wellesley College
Downloads 55 (459,625)
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Adverse selection, Classification risk, Classification bans, Equity, Efficiency.

98.

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

Downloads 54 (467,296)
Citation 2

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

Number of pages: 79 Posted: 05 Jun 2019
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 54 (474,946)
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risk management governance, financial knowledge, financial and accounting education of director, financial experience of director, independence of director, policy implications

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

Risk Management and Insurance Review, Vol. 22, Issue 3, pp. 247-277, 2019
Number of pages: 31 Posted: 05 Jun 2020
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 affiliation not provided to SSRN
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99.

Optimal Form of Retention for Securitized Loans Under Moral Hazard

Number of pages: 28 Posted: 29 Nov 2015
Georges Dionne and Sara Malekan
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 54 (463,400)

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

100.

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 53 (467,296)

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

101.

Modelling and Estimating Individual and Firm Effects with Count Panel Data

Number of pages: 82 Posted: 02 May 2015 Last Revised: 17 Jan 2018
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 51 (475,307)
Citation 1

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

102.

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

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 70 Posted: 16 Nov 2016 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 48 (491,939)

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

103.

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 45 (505,252)

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

104.

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

Number of pages: 63 Posted: 13 Jul 2020
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 45 (500,735)

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Reinsurance Demand, Liquidity Creation, Causality, Bi-Causality, Generalized Method of Moments, Maximum Likelihood, Structural Equation Modeling

105.

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

Number of pages: 46 Posted: 17 Mar 2017 Last Revised: 17 Oct 2019
Georges Dionne and Ying Liu
HEC Montreal - Department of Finance and Shandong University
Downloads 43 (518,986)

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

106.

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 41 (518,986)

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

107.

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

108.

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 Dept. Maths & Statis, Concordia University
Downloads 25 (607,595)

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

109.

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 20 (642,218)
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Cournot, Entry, Futures, Hedging, Imperfect Competition

110.

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

111.

Book Reviews

Number of pages: 14 Posted: 15 Feb 2003
Hela Dahen, Georges Dionne, Karen Hamilton, James F. Fryer, James Kallman and Jason Hecht
Ecole des Hautes Etudes Commerciales de Montreal (HEC), HEC Montreal - Department of Finance, Appalachian State University - Brantley Risk and Insurance Center, Assessment Systems, Inc., St. John's University and Ramapo College of New Jersey
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112.

Road Safety for Fleets of Vehicles

Number of pages: 38 Posted: 26 Mar 2021
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 17 (663,799)

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

113.

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 12 (701,864)

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

114.

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
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hidden Markov regime, operational risk, 2007–9 financial crisis, skew-t type-4 distribution, banks’ regulatory capital

115.

When Can Expected Utility Handle First-Order Risk Aversion?

Posted: 09 Jan 2013 Last Revised: 20 Jan 2016
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

116.

The Impact of Prudence on Optimal Prevention Revisited

Posted: 15 Jul 2010 Last Revised: 20 Jan 2016
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

117.

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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118.

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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119.

Deductible Contracts Against Fraudulent Claims: Evidence from Automobile Insurance

Posted: 30 Mar 2001
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

120.

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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