Working Papers

From HEC Montreal, Canada Research Chair in Risk Management
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25-2: The effect of inflation on US insurance markets: A Markov-switching model analysis

Georges Dionne, Akouété-Tognikin Fenou and Mohamed Mnasri

25-1: The effect of inflation on US insurance markets

Georges Dionne, Akouété-Tognikin Fenou and Mohamed Mnasri

24-3: High price impact trades identication and its implication for volatility and price efficiency

Georges Dionne and Xiaozhou Zhou

24-2: Insurers’ M&A in the United States during the 1990-2022 period: Is the Fed monetary policy a causal factor

Georges Dionne, Akouété Fenou and Mohamed Mnasri

24-1: Developments in risk and insurance economics: The past 50 years

Henri Loubergé and Georges Dionne

23-5: Adverse selection in insurance

Georges Dionne, Nathalie Fombaron and Wanda Mimra

23-4: Causality in empirical analyses with emphasis on asymmetric information and risk management

Georges Dionne

23-3: Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers

Georges Dionne, Rayane El Hraiki and Mohamed Mnasri

23-2: Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation

Samir Saissi Hassani and Georges Dionne

23-1: Consolidation of the US property and casualty insurance industry: Is climate risk a causal factor for mergers and acquisitions?

Georges Dionne, Akouété Fenou and Mohamed Mnasri

22-5: The Profitability of Lead-Lag Arbitrage at High-Frequency

Cédric Poutré, Georges Dionne and Gabriel Yergeau

22-4: Determinants and real effects of joint hedging: An empirical analysis of the US petroleum industry

Georges Dionne, Rayane El Hraiki and Mohamed Mnasri

22-3: Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Samir Saissi Hassani and Georges Dionne

22-2: A re-examination of the U.S. insurance market’s capacity to pay catastrophe losses

Georges Dionne and Denise Desjardins

21-5: Précisions importantes sur le backtesting comparatif de la VaR

Samir Saissi Hassani

21-4: International High-Frequency Arbitrage for Cross-Listed Stocks

Cédric Poutré, Georges Dionne and Gabriel Yergeau

21-3: Road safety for fleets of vehicles

Georges Dionne, Denise Desjardins and Jean-François Angers

21-2: Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet

Denise Desjardins, Georges Dionne and Yang Lu

21-1: The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation

Samir Saissi Hassani and Georges Dionne

20-4: Deep limit order book events dynamics

Yann Bilodeau

20-3: The new international regulation of market risk: Roles of VaR and CVaR in model validation

Samir Saissi Hassani and Georges Dionne

20-2: Sécurité routière des flottes et des conducteurs de véhicules lourds

Georges Dionne, Denise Desjardins and Jean-François Angers

20-1: Reinsurance demand and liquidity creation: A search for bi-causality

Denise Desjardins, Georges Dionne and N’Golo Koné

19-4: The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage

Sahar Guesmi, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne

19-3: Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency

Georges Dionne and Xiaozhou Zhou

19-2: Coherent diversification measures in portfolio theory: An axiomatic foundation

Nettey Boevi Gilles Koumou and Georges Dionne

19-1: Nonparametric testing for information asymmetry in the mortgage servicing market

Helmi Jedidi and Georges Dionne

18-7: The Governance of Risk Management: The Importance of Directors’ Independence and Financial Knowledge

Georges Dionne, Olfa Maalaoui Chun and Thouraya Triki

18-6: Machine Learning and Risk Management: SVDD Meets RQE

Georges Dionne and Gilles Boevi Koumou

18-5: Real implications of corporate risk management: Evidence from U.S. oil producers

Georges Dionne and Mohamed Mnasri

18-4: Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?

Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne

18-3: Cyclical variations in liquidity risk of corporate bonds

Cassandre Anténor-Habazac, Georges Dionne and Sahar Guesmi

18-1: The impact of central clearing on the market for single-name credit default swaps

Mohamed-Ali Akari, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne

17-3: Reinsurance Demand and Liquidity Creation

Georges Dionne and Denise Desjardins

17-2: Insurance and Insurance Markets

Georges Dionne and Scott Harrington

17-1: Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China

Georges Dionne and Ying Liu

16-5: Asymmetric Effects of the Limit Order Book on Price Dynamics

Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou

16-4: The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis

Georges Dionne and Xiaozhou Zhou

16-3: Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation

Gabriel Yergeau

16-2: Dynamic Corporate Risk Management: Motivations and Real Implications

Georges Dionne, Jean-Pierre Gueyie and Mohamed Mnasri

16-1: Can Higher-Order Risks Explain the Credit Spread Puzzle?

Cedric Okou, Olfa Maalaoui Chun, Georges Dionne and Jingyuan Li

15-6: Policy making and climate risk insurability: How can (re)insurers contribute to economic resilience in climate risk events?

Georges Dionne

15-5: The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis

Georges Dionne and Xiaozhou Zhou

15-4: Optimal form of retention for securitized loans under moral hazard

Georges Dionne and Sara Malekan

15-3: Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis

Georges Dionne and Samir Saissi-Hassani

15-2: Modelling and Estimating Individual and Firm Effects with Count Panel Data

Jean-François Angers, Denise Desjardins, Georges Dionne and François Guertin

15-1: Étude des comportements de sécurité routière des propriétaires, exploitants et conducteurs des véhicules lourds au Québec

Georges Dionne, Jean-François Angers and Denise Desjardins

14-5: Effects of the Limit Order Book on Price Dynamics

Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou

14-4: Economic Effects of Risk Classification Bans

Georges Dionne and Casey Rothschild

14-3: Production Flexibility and Hedging

Georges Dionne and Marc Santugini